Climate change news sensitivity and expected stock returns: Evidence from China

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-05-12 DOI:10.1016/j.frl.2025.107497

Hengzhen Lu, Xinran Wang

引用次数: 0

Abstract

Investors are increasingly looking to diversify their exposure to climate-related risks as climate change becomes a major concern. In the Chinese A-share market, we use the climate change news index to calculate stock covariance. Empirical results show that stocks with a positive climate news beta yield significantly higher excess returns, indicating advantages in ESG performance and predictive power for companies’ future fundamentals. Institutional investors are increasingly interested in these companies due to their exceptional ability to hedge climate risks. Our work provides important insights into green practices and sustainable investment by highlighting the relationship between investor behavior and climate risk management.

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气候变化新闻敏感性与股票预期收益：来自中国的证据

随着气候变化成为一个主要问题，投资者正越来越多地寻求分散与气候相关的风险敞口。在中国a股市场，我们使用气候变化新闻指数来计算股票协方差。实证结果表明，气候新闻贝塔系数为正的股票产生的超额回报显著更高，表明其在ESG绩效和对公司未来基本面的预测能力方面具有优势。由于这些公司对冲气候风险的卓越能力，机构投资者对它们越来越感兴趣。我们的工作通过强调投资者行为与气候风险管理之间的关系，为绿色实践和可持续投资提供了重要见解。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance