【论文速递】-2022-JF-The Pollution Premium

【论文原文】：The Pollution Premium

【作者信息】：Po-Hsuan Hsu (National Tsing Hua University - Department of Quantitative Finance)；Chi-Yang Tsou (University of Manchester)

获取地址：https://doi.org/10.1111/jofi.13217

博主关键词： 工业污染、资产定价

摘要：

This paper studies the asset pricing implications of industrial pollution. A long-short portfolio constructed from firms with high versus low toxic emission intensity within a given industry generates an average return of 4.42% per annum, which remains significant after controlling for risk factors. This pollution premium cannot be explained by several explanations, including existing systematic risks, investors' preference, market sentiment, political connections, a