近年來，全球氣候變遷與淨零排放議題受到高度重視，各國陸續推動碳稅、碳排放交易制度與碳邊境調整機制等碳定價政策，使碳排放成本逐漸成為企業經營與資本市場評價的重要考量。對高碳排企業而言，碳價上升可能代表未來營運成本、減碳支出與轉型風險提高，進而影響投資人對企業價值與股票報酬之評估。本文以2016年至2025年間屬於電力、燃氣供應業及製造業，且年溫室氣體排放量達2.5萬公噸二氧化碳當量以上之台灣上市櫃公司為研究對象，並以歐盟EUA碳權期貨報酬率作為國際碳價變動之代理變數，以個股股票超額報酬為應變數，採用Fama-French三因子模型與五因子模型作為風險控制基礎，進一步納入企業碳曝險程度及其與EUA碳權期貨報酬率之交互作用項，以檢驗碳價變動對股票報酬之影響是否因企業碳曝險程度不同而有所差異。實證結果顯示，EUA碳權期貨報酬率本身對台灣高碳排上市櫃公司股票超額報酬並未呈現穩定且顯著的直接影響；惟當進一步考量企業碳曝險程度後，交互作用項呈現負向且達統計顯著水準，顯示企業每股排放強度越高時，EUA碳權期貨價格上升對其股票超額報酬之影響越偏向負面。此結果表示，國際碳價訊號對台灣高碳排企業股票報酬之影響，較可能因企業自身碳曝險程度不同而呈現差異化反應。本文期望透過上述發現，為台灣高碳排企業之碳風險定價議題提供初步觀察，並作為後續研究與實務討論之參考。

As carbon pricing policies expand worldwide, carbon emission costs have become an increasingly important consideration in corporate operations and capital market valuation. This study examines whether changes in international carbon prices affect the stock returns of high-emission firms in Taiwan. The sample consists of firms listed on the Taiwan Stock Exchange (TWSE) and the Taipei Exchange (TPEx) in the electricity and gas supply and manufacturing industries from 2016 to 2025, with annual greenhouse gas emissions of at least 25,000 metric tons of CO2 equivalent. The return on EUA carbon futures is used as a proxy for international carbon price changes, while individual stock excess returns serve as the dependent variable. Based on the Fama-French three-factor and five-factor models, this study further incorporates firm-level carbon exposure and its interaction with EUA futures returns to investigate whether the effect of carbon price changes varies with firms’ carbon exposure. The empirical results show that EUA futures returns do not have a stable and statistically significant direct effect on the excess returns of Taiwanese high-emission firms. However, after firm-level carbon exposure is considered, the interaction term is negative and statistically significant, indicating that firms with higher emission intensity per share experience more negative stock return responses when EUA futures prices rise. The findings suggest that international carbon price signals are more likely to affect Taiwanese high-emission firms heterogeneously according to their carbon exposure. This study provides preliminary evidence on the pricing of carbon risk in Taiwan’s capital market and offers implications for future research and practice.

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