economy, so-called carbon risk, to have an impact on their portfolio performance. However, the extent of carbon risk's impact … on asset prices is still largely unknown. This paper provides a comprehensive quantification of carbon risk in European … equity prices and examines whether it constitutes a systematic risk factor. I construct a carbon risk factor to determine the …

Carbon risk, a type of climate risk, is expected to have a crucial impact, especially on high … explore the impact of the carbon risk factor, constructed as the daily median difference in default protection between … lead to unexpected conclusions about when the carbon risk factor affects firm creditworthiness and how rapidly the net …