Печать

Vol. 9 pp. 421-437

 S.V. Chernyavsky, O.V. Kudryavtseva, L.T. Alchikova, V.S. Chernyavsky

 

ISSUES OF ASSESSING «CARBON» RISK USING THE FAMA-FRENCH MULTIFACTOR MODEL

Annotation. To achieve the goal of the work, the following tasks were set: to consider the “carbon” risk, both from the point of view of companies and from the point of view of investors, to obtain an overall picture of the actions currently being taken on both sides; study the approaches that are used for market assessment of financial risks; assess the sensitivity to carbon risk of the Russian market in general and its sectors in particular; check the stability of the obtained estimates in order to determine the possibility of analyzing the relationship of these estimates with future profitability; to check the existence of a premium for “carbon” risk in the Russian financial market based on future returns using the portfolio analysis method. The object of the study is “carbon” risk, as the main component of climate risks associated with carbon emissions. The subject of the study is the impact of “carbon” risk on the Russian financial market.

Keywords: environmental risks, carbon risk, multifactor model, carbon emissions, environmental friendliness of companies, Russian market.

For citation: Chernyavsky S.V., Kudryavtseva O.V., Alchikova L.T., Chernyavsky V.S. [Issues of assessing «Carbon» risk using the Fama-french multifactor model] Upravlenie tekhnosferoi, 2026, vol. 9, issue 2, рр. 421–437. DOI: 10.35634/UdSU.2026.33.64.010. (In Russ.).

REFERENCES

 

  1. Fama E. F., French K. R. Common risk factors in the returns on stocks and bonds, Journal of financial economics. 1993, vol. 33, vol. 1, pp. 3–56 DOI: 10.1016/0304-405X(93)90023-5
  2. Fama, E.F. & French, K.R. Size, value, and momentum in international stock returns, Journal of Financial Economics. 2012, 105 (3), pp. 457–472. DOI: 10.1016/j.jfineco.2012.05.011
  3. Görgen, Maximilian and Jacob, Andrea and Nerlinger, Martin and Riordan, Ryan and Rohleder, Martin and Wilkens, Marco, Carbon Risk (August 10, 2020). http://dx.doi.org/10.2139/ssrn.2930897
  4. Safonov G. V. Perspektivy uchastiya Rossii v mezhdunarodnoi torgovle kvotami na vybrosy v atmosferu "parnikovykh" gazov [Prospects of Russia's participation in international trade in quotas for greenhouse gas emissions into the atmosphere]. Ehkonomicheskii zhurnal Vysshei shkoly ehkonomiki [The Economic Journal of the Higher School of Economics]. 2000, vol. 4, no. 3, pp. 349 – 368. EDN QCLYXM.
  5. Sahut J. M., Pasquini-Descomps H. ESG impact on market performance of firms: International Evidence, Management International/International Management/Gestiòn Internacional. 2015, vol. 19, no. 2, pp. 40–63. DOI:10.7202/1030386ar
  6. PCC Special Report-Climate Change and Land. 2019. Available at: https://www.knowledge4policy.ec.europa.eu›publication/ipcc-… (accessed: 14.12.2025).
  7. Partapuoli P. J., Breitz C. How is ESG Affecting Stock Returns? A Portfolio-and Panel Data Analysis of US Firms in the S&P 500. 2020.
  8. Kachalov R. M., Stavchikov A. I., Al'chikova L. T. Analiz uglerodnykh vybrosov i soputstvuyushchikh im faktorov riska v sovremennykh ehkosistemakh [Analysis of carbon emissions and related risk factors in modern ecosystems]. Vestnik MIRBIS [Bulletin of MIRBIS]. 2022, no. 2(30), pp. 87 – 95. DOI 10.25634/MIRBIS.2022.2.10. EDN OYEAZV
  9. Why Milankovitch (Orbital) Cycles Can't Explain Earth's Current Warming. Available at: https:// science.nasa.gov›science-research/earth-science/… (accessed: 14.12.2025).
  10. Malinin V. N. Vlagosoderzhanie atmosfery i parnikovyi ehffekt [Atmospheric moisture content and greenhouse effect]. Sreda. Razvitie [Society. Wednesday. Development]. 2014, no. 3(32), pp.139–145. EDN TIKECV.
  11. Metodika ehkonomicheskoi otsenki vazhneishikh vidov prirodnykh resursov v stranakh-chlenakh SEHV [Methodology of economic assessment of the most important types of natural resources in the COMECON member countries]. Moscow: Sekretariat SEHV, 1985, 52 p. (In Russ.).
  12. Rossiiskii soyuz promyshlennikov i predprinimatelei (RSPP). [The Russian Union of Industrialists and Entrepreneurs (RSPP)]. Available at: https://rspp.ru/tables/non-financial-reports-library/ (accessed: 14.12.2025). (In Russ.).
  13. Orsagh M., Allen J. et al. ESG-integratsiya: rynki, metody i dannye. CFA Institute, 2019. Available at: https://www. esg-library.mgimo.ru›upload/iblock/93a/…/… (accessed: 14.12.2025).
  14. Carhart M. M. On persistence in mutual fund performance, The Journal of finance. 1997, vol. 52, no. 1, pp. 57–82. DOI: 10.1111/j.1540-6261.1997.tb03808.x
  15. Jegadeesh N., Titman S. Returns to buying winners and selling losers: Implications for stock market efficiency, The Journal of finance. 1993, vol. 48, no. 1, pp. 65–91. DOI: 10.1111/j.1540-6261.1993.tb04702.x
  16. Makarov I. A., Stepanov I. A. Parizhskoe soglashenie po klimatu: Vliyanie na mirovuyu ehnergetiku i vyzovy dlya Rossii [The Paris Climate Agreement: Impact on global energy and challenges for Russia]. Aktual'nye problemy Evropy [Actual problems of Europe]. 2018, no. 1, pp. 77–100. EDN VWOINF.
  17. Fama E.F., French K.R. The cross‐section of expected stock returns, The Journal of Finance. 1992, no. 47 (2), pp. 427–465. doi: 10.1111/ j.1540-6261.1992.tb04398.x
  18. Ozornov S. Validity of Fama and French model on RTS Index, Review of Business and Economics Studies, 2015, no. 4, pp. 22–43. EDN VQFLBZ.
  19. Morningstar Global Equity Classification Structure. Available at: https://indexes.morningstar.com/resources/PDF/Methodology%20Documents/SectorArticle.pdf (accessed: 20.12.2025).
  20. Roncalli, Théo and Le Guenedal, Théo and Lepetit, Frederic and Roncalli, Thierry and Sekine, Takaya, Measuring and Managing Carbon Risk in Investment Portfolios (August 26, 2020). http://dx.doi.org/10.2139/ssrn.3681266

 

About the Authors

Chernyavsky Sergey Vladimirovich

Doctor of Economics, Professor, Central Economic and Mathematical Institute of the Russian Academy of Sciences (CEMI RAS), Moscow, Russia. B-27802018, SPIN code: 7019-0434

E-mail: Адрес электронной почты защищен от спам-ботов. Для просмотра адреса в вашем браузере должен быть включен Javascript.

 

Kudryavtseva Olga Vladimirovna

Doctor of Economics, Professor, Faculty of Economics, Lomonosov Moscow State University, Moscow, Russia. ORCID 0000-0003-1517-0398,

E-mail: Адрес электронной почты защищен от спам-ботов. Для просмотра адреса в вашем браузере должен быть включен Javascript.

 

Alchikova Lilia Temurovna

Faculty of Economics, Lomonosov Moscow State University, Moscow, Russia.

ORCID: 0000-0002-4582-7891

E-mail: Адрес электронной почты защищен от спам-ботов. Для просмотра адреса в вашем браузере должен быть включен Javascript.

 

Chernyavsky, Vladimir Sergeevich

Candidate of Economic Sciences, Rimashevskaya Institute of Socio-Economic Problems of Population, FNSC RAS, Moscow, Russia.

E-mail: Адрес электронной почты защищен от спам-ботов. Для просмотра адреса в вашем браузере должен быть включен Javascript.

Full-text version - pdf(402kb)