Meyer, Fabian Alexander - In: Junior Management Science (JUMS) 7 (2022) 2, pp. 429-454
equity prices and examines whether it constitutes a systematic risk factor. I construct a carbon risk factor to determine the … firms offer higher (lower) returns, which leads to a significant positive return of the carbon risk factor. Moreover, the … indicates that carbon risk constitutes a systematic risk factor. Consequently, investors can estimate carbon risk exposures …