number of features including potential tail risk, exogenous and endogenous technological change, and backstop technologies … delay. We decompose the optimal carbon price into two components: expected discounted damages and the risk premium …

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 …

This paper studies the evolution of the greenium, i.e. a risk premium linked to firms' greenness and environmental … transparency, based on individual stock returns. We estimate an asset pricing model with time-varying risk premia, where the …

We propose a proxy for a climate risk factor, the pollutive-minus-clean (PMC) portfolio, which captures differences in … obtain estimates of asset-level climate risk exposure: 'carbon beta'. Validation of carbon betas confirms that variation in … climate risk exposures aligns with our prior expectations. Our measure has desirable properties regarding availability …

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. …

This study provides evidence on the existence of a negative Greenium, i.e. a green risk premium, based on European … portfolio exposure to climate risk and hedge against it. We estimate that even in a rather benign scenario, there would be …