We propose and implement a procedure to dynamically hedge climate change risk. We extract innovations from climate news … change hedge portfolios. We discipline the exercise by using third-party ESG scores of firms to model their climate risk … approaches to managing climate risk …

We seek fundamental risks from news text. Conceptually, news is closely related to the idea of systematic risk, in … drives the current pricing kernel. This paper demonstrates a way to extract a parsimonious set of risk factors and eventually … attention allocated to different news narratives. As a result, the risk factors attain clear text-based interpretability as well …