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Climate risk concern and green premium in the stock market: Evidence from China

Author

Listed:
  • Yan, Guan
  • Li, Fanglin
  • Liu, Zhidong
  • Zhou, Lu Jolly

Abstract

Are the green premium and media coverage of climate risk related? We investigate the relationship between the daily green premium in China’s A-share market and the proportion of sentences on climate risk in Xinwen Lianbo (News Simulcast), produced by state broadcaster China Central Television, which is China’s most widely watched news program. We find that our proposed climate risk concern (CRC) and CRC shock indices, based on analysis of Xinwen Lianbo, are positively correlated with the green premium on the next trading day, even after controlling for market risk. We also construct the daily green premium in the A-share market from 2017 to 2023, where greenness is measured by ESG ratings. This research contributes to the understanding of green premiums in stock markets, providing new evidence on how climate risk reported in news media is priced in the Chinese context.

Suggested Citation

  • Yan, Guan & Li, Fanglin & Liu, Zhidong & Zhou, Lu Jolly, 2025. "Climate risk concern and green premium in the stock market: Evidence from China," Finance Research Letters, Elsevier, vol. 84(C).
    • Handle: RePEc:eee:finlet:v:84:y:2025:i:c:s1544612325009997
    DOI: 10.1016/j.frl.2025.107741
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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming

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