We construct novel proxies of physical and transition climate risks by conducting textual analysis of climate-change news over the period 2000-2018. This analysis uncovers four textual variables related to the topics of U.S. climate policy, international summits, natural disasters, and global...

We explore the stock market and option implied volatility response of the oil and gas industry to four policy events associated with the Paris Agreement and the election of Donald Trump. Our results show that the signing of the Paris Agreement had a large negative impact for the Oil and Gas...

We provide first-time evidence on whether market-wide physical or transition climate risks are priced in U.S. stocks. Textual and narrative analysis of Reuters climate-change news over 2000-2018, uncovers four novel risk factors related to natural disasters, global warming, international...

While energy risk is increasingly recognized as a new systemic risk, there is limited comprehensive analysis of the risk propagation in regional context. In this paper, we examine oil and natural gas price changes in relation to equity market returns for 24 countries in the European Economic...