风险厌恶与碳价格回报：来自市场极端的证据

摘要

While considerable attention is devoted to the effects of various market and policy factors on carbon returns, the role of investor risk aversion remains underexplored. This paper examines whether the effect of investor risk aversion (RA) on European Union Allowance (EUA) returns varies across market conditions using a quantile regression approach and daily data from 2 January 2008, to 24 June 2024. The results show that RA negatively affects EUA returns under bearish market conditions but positively affects EUA returns under extreme bullish market conditions, with stronger effects observed during extreme market conditions. Further analysis shows that the Paris Agreement and the COVID-19 pandemic strengthen the effect of RA on EUA returns, while public attention to climate change amplifies this effect during extreme downturns. Historical return information mitigates the effect of RA on EUA returns. These findings underscore the importance of investor risk aversion for carbon returns and contribute to a better understanding of how behavioural factors affect carbon markets.