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Transition versus physical climate risk pricing in European financial markets : a text-based approach

Bua, Giovanna; Kapp, Daniel; Ramella, Federico; … - 2022

the industry they operate in. We find that firm level information appears to be used as a gauge for transition risk, in …

Persistent link: https://www.econbiz.de/10013271146

Cybersecurity risk

Florackis, Chris; Louca, Christodoulos; Michaely, Roni; … - 2020 - This version: December 3rd 2020

high cybersecurity risk. Reassuringly, the measure is higher in information-technology industries, correlates with …

Persistent link: https://www.econbiz.de/10012419704

Nothing is certain except death and taxes : the lack of policy uncertainty from expiring "temporary" taxes

Chang, Andrew C. - 2018

What is the policy uncertainty surrounding expiring taxes? How uncertain are the approvals of routine extensions of temporary tax policies? To answer these questions, I use event studies to measure cumulative abnormal returns (CARs) for firms that claimed the U.S. research and development (R&D)...

Persistent link: https://www.econbiz.de/10011932265

Pricing Poseidon : extreme weather uncertainty and firm return dynamics

Kruttli, Mathias S.; Roth Tran, Brigitte; Watugala, … - 2019

We investigate the uncertainty dynamics surrounding extreme weather events through the lens of option and stock markets …

Persistent link: https://www.econbiz.de/10012181922

Physical and transition risk premiums in euro area corporate bond markets

Bats, Joost Victor; Bua, Giovanna; Kapp, Daniel - 2024

The European Union plays a prominent role in climate regulations initiatives, this commitment likely implies that climate risk premiums look different in Europe compared to the rest of the world. This paper examines the pricing implications of climate risks in euro area corporate bond markets,...

Persistent link: https://www.econbiz.de/10014484474

ECB communication as a stabilization and coordination device: evidence from ex-ante inflation uncertainty

Fernandes, Cecilia Melo - 2021

uncertainty and sheds light on how central bank information shocks operate. The paper finds that ECB communication of new outlook … information not only reduces professional forecasters' disagreement (i.e., the cross-sectional dispersion of their average point … bank information acts as a "coordination device" able to influence opinions and actions. Most importantly, it generates a …

Persistent link: https://www.econbiz.de/10012603073

Knightian uncertainty and credit cycles

Gerba, Eddie; Żochowski, Dawid - 2017

facts as an information friction, whereby agents are uncertain about a new state of the economy following a financial …

Persistent link: https://www.econbiz.de/10011656163

Ignorance is bliss? : anonymous lending with roll over risk

Dieler, Tobias; Mancini, Loriano - 2018 - Preliminary draft March 13, 2018

Market design matters when heterogeneous borrowers roll over loans, facing funding shocks. Borrower anonymity is a key feature of various financial markets, such as short term, interbank lending markets. We show that anonymous markets experience systemic runs for large shocks, but provide...

Persistent link: https://www.econbiz.de/10011876120

Do Sustainable Investment Strategies Hedge Climate Change Risks? Evidence from Germany's Carbon Tax

Ochoa, Marcelo; Paustian, Matthias O.; Wilcox, Laura - 2022

It is difficult to assess the effectiveness of investment strategies that screen companies based on environmental criteria to hedge climate change risk because physical risks have not yet fully materialized and policies to combat climate change are usually widely anticipated. This paper...

Persistent link: https://www.econbiz.de/10014236321

Hedge fund alphas : do they reflect managerial skills or mere compensation for liquidity risk bearing?

Gibson, Rajna; Wang, Songtao - 2008

This article analyzes the effect of liquidity risk on the performance of various hedge fund portfolio strategies. Similarly to Avramov et al. (2007), we find that, before accounting for the effect of liquidity risk, hedge fund portfolios that incorporate predictability in managerial skills...

Persistent link: https://www.econbiz.de/10003966170