高效的市场理论正在运作：投资者价格证券与气候风险牢记

Chalk one up for Efficient Market Theory, a hypothesis that the prices of stocks and other assets reflect all available information.

Although evidence is accumulating about the effect of climate change on everything from weather patterns to human health, scientists can still only paint a partial picture of the future. Nonetheless, stock, corporate and municipal bond, futures, and options markets are doing a good job of incorporating climate risks into asset prices, despite the complexity and uncertainty.

在最近research, which includes a review of outside academic studies, Dimensional Fund Advisors sought to address the question of whether and how well climate risks are priced into different markets. Dimensional looked at how the markets priced both physical risks and transitional risk, which arises as economies move away from fossil fuels and to a low carbon economy. The new research grew out of Dimensional’s study of气候变化的经济学published in October.

“Many of the effects are hard to predict, hard to quantify, hard to bring to the present in terms of value or cost,” Savina Rizova, the firm’s global head of research, told亚博赞助欧冠。“首先，尽管有复杂性甚至更长的气候变化影响，但金融市场确实注意了这些风险。其次，公司拥有竞争性金融市场提供的奖励，以便如果他们希望拥有较低的资本成本，更好地管理他们的气候风险。“

下罗娃表示，她审查的学术研究之一专注于市政当局。“你无法避免气候作为物理实体的物理影响，”她说。该研究发现，由于海平面上升风险的地方，市政债券收益率较高。“但大多数效果都有在长期债券中发现，这对市场确实反映了关于气候变化较长持续风险的考虑，”她补充道。

尺寸发现了与房屋市场的学术研究类似的类似证据。与住房相比，海平面上升的房屋价格没有销售7％折扣的风险。但市场不仅仅是纳入短期信息。大部分折扣可归因于至少未来50年不会暴露于洪水风险的房屋。“你看到市场正在考虑气候变化的较长后果，”罗佐瓦说。

在其研究中，维数也引用了在期刊上发表的论文Naturein 2009, which sent the stock prices of 63 U.S. oil and gas companies down by 1.5 percent to 2 percent within three days of its publication, even though it wasn’t publicized by the mainstream press until years later. TheNaturearticle argued that most fossil fuels would have to be left alone if global warming was to be kept under 2 degrees Celsius by 2050. The signal for investors in these companies was that fossil fuel reserves still in the ground would be worthless if countries met that standard and therefore the stocks should be worth a lot less.

Rizova said she also found that markets are very much in line with objective scientific evidence. One study of climate futures traded on the Chicago Mercantile Exchange between 2002 and 2018 found that warming trends predicted by scientific climate models, warming trends inferred in the price of climate futures, and actual rises of temperature over the period all coincided. “That tells you that first the climate futures market reflects expectations in line with scientific models, and second, in general the participants in climate futures don’t systematically overestimate or underestimate future warming trends,” she said.

投资者interested in owning securities that don’t contribute to climate risk may not need to own funds with an ESG label.

Rizova said Dimensional, which constructs its funds based on efficient markets theory, expects its broadly diversified investment strategies to have more value coming from companies somewhat insulated from climate risk than from at-risk companies. “It’s inherent in the price,” she said.

Some investors, however, may want funds that are more focused on sustainability and have a portfolio where they see a measurable reduction in greenhouse emissions, she said.

[IIDeep Dive:What Happens When a Company Gets an A From One ESG Rater and an F From Another?]

One issue that has been raised by Dimensional's research is the role of ESG ratings services, whose rankings are often wildly divergent from one another. Investors who rely on these to build portfolios may not be getting what they want, said Rizova. Relying on market forces may be a better alternative.

Dimensional is currently working on a paper on the economics of corporate governance and the costs and benefits of different approaches, including stewardship, activism, and proxy voting. Next year the firm’s research team will study the economics of social issues.