Carbon Returns Across the Globe

Fisher College of Business Working Paper No. 2022-03-006

Charles A. Dice Working Paper No. 2022-6

52 Pages Posted: 19 May 2022 Last revised: 12 Apr 2024

Multiple version iconThere are 2 versions of this paper

Date Written: November 11, 2022


The pricing of carbon transition risk is central to the debate on climate-aware investments. This paper documents that emissions grow linearly with firm sales and the data is only available to investors with significant lags. The positive carbon return, or brown-minus-green return differential, documented in previous studies arises from the forward-looking firm performance information contained in emissions rather than risk premium. After accounting for the data release lag, carbon returns turn negative in the U.S. and insignificant globally. Developed markets experience lower carbon returns due to intense climate concern shocks, while countries with stringent climate policies exhibit higher carbon returns.

Keywords: climate change, carbon-transition risk, predictability, stock return

JEL Classification: G10, G12, G15

Suggested Citation

Zhang, Shaojun, Carbon Returns Across the Globe (November 11, 2022). Fisher College of Business Working Paper No. 2022-03-006, Charles A. Dice Working Paper No. 2022-6, Available at SSRN: or

Shaojun Zhang (Contact Author)

The Ohio State University

2100 Neil Avenue
Columbus, OH 43210-1144
United States


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