Perera, Kasun; Kuruppuarachchi, Duminda; Kumarasinghe, … - 2023
This study offers novel evidence on the long-debated idiosyncratic volatility (IdVol) puzzle from a climate risk perspective. Using a set of U.S. listed firms that disclose carbon emissions from July 2010 to December 2019, our robust portfolio- and stock-level results show that the IdVol puzzle...