We investigate the uncertainty dynamics surrounding extreme weather events through the lens of option and stock markets …

-, BE/ME-, and momentum-related factors are extremely sensitive to these extreme weather events. Long and short legs react …

model with heterogeneous agents, we reveal the existence of an extreme weather risk premium in the cross-section of stock …We examine if extreme weather exposure impacts firms’ cost of equity. Motivated by a consumption-based asset pricing … risk factors from standard asset pricing models nor by firm characteristics. Our results reveal a novel link between …