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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 … by identifying market responses to the uncertainty regarding both potential hurricane landfall and subsequent economic … 5-10 percent, reflecting impact uncertainty. Using hurricane forecasts, we show that landfall uncertainty and potential …
Persistent link: https://www.econbiz.de/10012181922
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Calibrating CAT bonds for Mexican earthquakes
Härdle, Wolfgang (contributor);  … - 2007
The study of natural catastrophe models plays an important role in the prevention and mitigation of disasters. After the occurrence of a natural disaster, the reconstruction can be financed with catastrophe bonds (CAT bonds) or reinsurance. This paper examines the calibration of a real...
Persistent link: https://www.econbiz.de/10003633993
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Market Anomalies and Disaster Risk : Evidence from Extreme Weather Events
Lanfear, Matthew - 2018
We document strong abnormal effects due to U.S. landfall hurricanes over the period 1990 to 2017 on stock returns and illiquidity across portfolios of stocks sorted by market equity (ME), book-to-market equity ratio (BE/ME), momentum, return-on-equity (ROE), and investment-to-assets (I/A). ROE-...
Persistent link: https://www.econbiz.de/10012909024
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Does Carbon Risk Influence Stock Price Crash Risk? International Evidence
Bose, Sudipta; Lim, Edwin; Shams, Syed - 2021
We examine the association between carbon risk and future stock price crash risk and the moderating role of climate change disclosures in this association using a sample of firms across the world. We find that carbon risk is positively associated with future stock price crash risk, and...
Persistent link: https://www.econbiz.de/10013220547
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Carbon boards and transition risk: explicit and implicit exposure implications for total stock returns and dividend payouts
Mazzarano, Matteo; Guastella, Gianni; Pareglio, Stefano; … - 2021
The Security and Exchange Commission (SEC) has considered climate change as a risk issue since 2010. Several emission disclosure initiatives exist aimed at informing investors about the financial risks associated with a zero or low carbon transition. Stricter regulations, particularly in a few...
Persistent link: https://www.econbiz.de/10012694482
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Asset diversification versus climate action
Hambel, Christoph; Kraft, Holger; Ploeg, Frederick van der - 2020
Asset pricing and climate policy are analyzed in a global economy where consumption goods are produced by both a green and a carbon-intensive sector. We allow for endogenous growth and three types of damages from global warming. It is shown that, initially, the desire to diversify assets...
Persistent link: https://www.econbiz.de/10012258563
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Pricing climate change risks : CAPM with rare disasters and stochastic probabilities
Karydas, Christos; Xepapadeas, Anastasios - 2019
There are concerns that climate-related physical and political risks are not yet properly reflected in asset prices. To address these concerns, we develop a dynamic asset pricing framework with rare disasters related to climate change. The novelty of this paper lies in linking carbon emissions...
Persistent link: https://www.econbiz.de/10011962146
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Are Value Stocks More Exposed to Disaster Risk? Evidence from Extreme Weather Events
Lanfear, Matthew - 2017
Hurricanes represent exogenous shocks with consequences for the real economy similar to those commonly-considered as consumption disasters. We investigate how the abnormal effects due to landfall hurricanes on stock returns, illiquidity and tail risk vary across decile portfolios of stocks...
Persistent link: https://www.econbiz.de/10012966483
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Pricing Climate Change Risks : CAPM with Rare Disasters and Stochastic Probabilities
Karydas, Christos; Xepapadeas, Anastasios - 2019
There are concerns that climate-related physical and political risks are not yet properly reflected in asset prices. To address these concerns, we develop a dynamic asset pricing framework with rare disasters related to climate change. The novelty of this paper lies in linking carbon emissions...
Persistent link: https://www.econbiz.de/10014108526
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Decomposing Climate Risks in Stock Markets
Zhang, Yuchen; Huang, Chengyu; Yang, Yuanchen - 2023
Climate change poses an unprecedented challenge to the world economy and the global financial system. This paper sets out to understand and quantify the impact of climate mitigation, with a focus on climate-related news, which represents an important information source that investors use to...
Persistent link: https://www.econbiz.de/10014344160