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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

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

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

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

Climate-linked bonds

Broeders, Dirk; Dimitrov, Daniel; Verhoeven, Niek - 2025

Climate-linked bonds, issued by governments and supranational organizations, are pivotal in advancing towards a net-zero economy. These bonds adjust their payoffs based on climate variables such as average temperature and greenhouse gas emissions, providing investors a hedge against long-term...

Persistent link: https://www.econbiz.de/10015181854

Climate Transition Risk, Profitability and Stock Prices

Reboredo, Juan Carlos; Ugolini, Andrea - 2021

We investigate whether climate transition risk is reflected in the financial performance and cross-section pricing of publicly-traded European and US firms. Using a firm-level carbon risk score (CRS) that assesses the vulnerability of a firm’s value to transition to a low-carbon economy, we...

Persistent link: https://www.econbiz.de/10013227121

Pricing Poseidon : Extreme Weather Uncertainty and Firm Return Dynamics

Kruttli, Mathias S. - 2020

We present a framework to identify market responses to the uncertainty regarding both potential hurricane landfall and …-lasting increases in implied volatility, reflecting impact uncertainty. Using hurricane forecasts, we find both landfall uncertainty and … potential impact uncertainty are reflected before landfall in the options of exposed firms. However, comparing ex ante expected …

Persistent link: https://www.econbiz.de/10012847804

Does the Salience of Risk Affect Large, Risky Asset Prices?

Garnache, Cloé - 2020

This paper documents that when a southern California home gets designated to a wildfire risk zone, its price drops by 11% relative to homes just outside the designation boundary. Whereas the risk designation is discontinuous, the underlying risk is continuous — suggesting the price effect is...

Persistent link: https://www.econbiz.de/10012849036

Pricing Poseidon : Extreme Weather Uncertainty and Firm Return Dynamics

Kruttli, Mathias S. - 2020

Persistent link: https://www.econbiz.de/10012850911

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