Arcuri, Maria Cristina; Monteux, Manou; Gandolfi, Gino; … - 2023
.We then elaborate the expectation that the risk linked to the uncertainty intrinsic to weather forecasts will be rewarded by … market forces. We identify a novel and material “extreme weather forecast” risk premium which outperforms the S&P500 on both … an absolute and a risk adjusted basis. Our results, which have never previously been described in literature, are …
