price, the equilibrium risk-free rate, and risk premia. Climate disasters, which are more likely to occur sooner as … temperature rises, significantly increase risk premia. …

these events. Using theory and simulations we study the implications of the imminent threat of climate change on different … that lead to these assets becoming stranded. Our result suggest that climate change implies a positive and increasing risk … risk. Transition risks lower substantially the participation of carbon intensive assets in the market portfolio, which …

This paper proposes a forward-looking metric of transition risk that relates financial performance and incremental …

uncertainty about future climate policy is resolved. E.g. abandoning climate policy plans immediately boosts scarcity rent, market … for as long as possible. We also pay attention to how the legislative "risk" of tipping into policy action affects the …

The Security and Exchange Commission (SEC) has considered climate change as a risk issue since 2010. Several emission … financial performances, especially of listed companies. There are two ways these companies can disclose their transition risk … exposure and are not alternatives. One is the explicit declaration of exposure to transition risk in the legally binding …

risk aversion and the intertemporal elasticity of substitution. The three-way separation allows the model to further … account for the variance premium puzzle, besides the puzzles of the equity premium, the risk-free rate, and the return … predictability. Specifically, the model matches reasonably well key asset pricing moments with risk aversion under 5. By calibration …

We argue the earnings announcement premium is a measure of firm-specific uncertainty aversion. Our stylized model shows … earnings announcements, as pure news events, are priced only if investors are uncertainty averse; further, the earnings … announcement return is negatively correlated to future investment only if there is time-varying uncertainty. Consistent with the …

volatility clusterng and persistence; and (3) Bayesian learning itself is unable to generate a significant and positive risk … are (1) the model can generate a high and volatile equity premium while a low and smooth risk-free rate, (2) agents … premium once time variation in investment opportunities is accounted for; in most cases, Bayesian learning lowers the …

The concept of model uncertainty is one of increasing importance in the field of Mathematical Finance. The main goal of … this work is to explore model uncertainty in the specific area of algorithmic and high frequency trading. From a … behavioural perspective, model uncertainty naturally leads to the notion of ambiguity aversion - a person's tendency to avoid …