We examine whether climate change news risk is priced in corporate bonds. We estimate bond covariance with climate change news index and find that bonds with a higher climate change news beta earn lower future returns, consistent with the asset pricing implications of demand for bonds with high...

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...

There are long-standing debates in the financial economics literature regarding long-run risks, return seasonality, the impact of weather and the impact of climate. By disentangling the data into different frequencies this paper contributes several results to these topics. I find significant...

Are banks aware of climate change risks? To answer this question, we use daily data from the stock indices of global and G20 banks over the period from 03 January 2011 to 29 November 2019. We find that climate change risks impact banks’ stock market performance. However, banks’ responses...

Mechanisms to develop divestment strategies are an essential component of carbon reduction strategies. The rate at which investors should divest has become a critical aspect of effective divestment, which has shifted from the periphery to a movement of over a thousand major investors, totaling...

We examine how company-level greenhouse gas emissions have been related to company financials as well as the expected returns of the companies’ stocks and bonds from 2009 to 2018. Examining the US, developed ex US, and emerging markets, we do not find emission intensity, emission level, or...

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...

This paper studies the interplay between environmental performance and financial valuation of firms in Latin America and the Caribbean. We provide insights into how environmental considerations are integrated into financial decision-making and investor behavior by analyzing the stock market...

To the question of whether global stock market indices are sensitive to climate change, the answer is “Yes”. Using weekly data from the stock market returns of 97 countries over the period from 31 August 2020 to 18 April 2022, we document a significant negative impact of climate change on...

This paper studies the interplay between environmental performance and financial valuation of firms in Latin America and the Caribbean. We provide insights into how environmental considerations are integrated into financial decision-making and investor behavior by analyzing the stock market...