国际清算银行-绿色投资者对股票价格的影响（英）-2023.9-43页_634kb

The Impact of Green Investors on Stock Prices

Abstract
This paper analyzes how green investors, who progressively exclude high-emission firms from their portfolios, affect stock prices in a dynamic equilibrium asset-pricing model. Green, passive, and active investors are incorporated into a framework that identifies price drops for excluded firms and price increases for less polluting firms. The results show a significant price impact at announcement and during a transition period, driven by imperfect stock substitution and a smaller proportion of active investors. A first-mover advantage encourages early adoption of decarbonization strategies under perfect foresight.

Key Findings

1. Price and Capital Cost Effects:
   • Stocks of firms excluded early experience immediate 6.9–7.1% price drops and 0.16–0.24% capital cost increases.
   • Non-excluded firms see steady price increases and lower capital costs over 10 years.
2. Imperfect Substitution:
   • Significant passive investor presence reduces liquidity for sold brown stocks, amplifying price effects.
   • Contrast with literature neglecting active investor availability, leading to quantitatively larger effects (27 vs. ~0.5 basis points).
3. First-Mover Advantage:
   • Early adopters of exclusion benefit from higher initial sale prices, offsetting gradual declines.
4. Climate Risk Extension:
   • Incorporating climate risk exacerbates disparities, particularly for high-emission firms.

Model Contribution

• Dynamic equilibrium model with three investor types (green, passive, active) and imperfect stock substitution.
• Incorporates climate risk as a systemic factor influencing asset prices.

Policy Implications

• Internalizing environmental goals through institutional investment strategies may constrain portfolio flows for brown firms.

References
Cite sources demonstrating prior literature on green investing (e.g., Berk and van Binsbergen, 2022), climate finance, and institutional investor shifts toward sustainability policies.