{"title":"Do stock markets care about climate change: A public media perspective","authors":"Minh Nhat Nguyen, Ruipeng Liu","doi":"10.1111/irfi.12479","DOIUrl":null,"url":null,"abstract":"<p>We study the pricing implication of the climate change news index proposed by Engle et al. (2020). Specifically, we find the significant risk premium associated with climate change news. The risk premium increases for firms in fossil-fuel and carbon-intensive industries, while decreasing for firms in low-emission industries. Furthermore, we document that the impact of climate change news is more negative for “value” and “big” portfolios compared to “growth” and “small” portfolios, and the impact of climate change news varies for firms headquartered in Democratic states versus Republican states.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"25 1","pages":""},"PeriodicalIF":1.8000,"publicationDate":"2024-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Review of Finance","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/irfi.12479","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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Abstract
We study the pricing implication of the climate change news index proposed by Engle et al. (2020). Specifically, we find the significant risk premium associated with climate change news. The risk premium increases for firms in fossil-fuel and carbon-intensive industries, while decreasing for firms in low-emission industries. Furthermore, we document that the impact of climate change news is more negative for “value” and “big” portfolios compared to “growth” and “small” portfolios, and the impact of climate change news varies for firms headquartered in Democratic states versus Republican states.
期刊介绍：
The International Review of Finance (IRF) publishes high-quality research on all aspects of financial economics, including traditional areas such as asset pricing, corporate finance, market microstructure, financial intermediation and regulation, financial econometrics, financial engineering and risk management, as well as new areas such as markets and institutions of emerging market economies, especially those in the Asia-Pacific region. In addition, the Letters Section in IRF is a premium outlet of letter-length research in all fields of finance. The length of the articles in the Letters Section is limited to a maximum of eight journal pages.
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