报告题目：Does Air-Pollution Matter in Asset Pricing?
Air-pollution affects firms' operating costs, reduces firms' productivity, and future investment opportunities. Therefore, surprises in air-pollution level constitute an added risk factor to individual firms, which will be priced by rational investors. Using the Chinese data, we construct a simple measure of air-pollution risk for individual firms. Cross-sectional evidence suggests that differences in air-pollution betas are related to firms' future fundamentals, including profit margins and investment. More important, future return differences of individual stocks can be explained by the differences in their air-pollution betas, which is consistent with the pricing story of air-pollution risk. In addition, we present natural experiments to account for alternative channels and potential endogeneity issues. Different from the current research on the subject that adopts a behavioral approach, our study provides robust evidence on air-pollution as an independent risk factor that firms should care.
刘博，浙江大学管理学院讲师，复旦大学博士，曾赴美国德州大学达拉斯分校访学。主要研究方向涉及公司金融、金融中介、资产定价等。已有研究发表于《管理世界》、《Review of Quantitative Finance and Accounting》等期刊。