Journal of Climate Finance最新文献_第2页

How important are climate change risks for predicting clean energy stock prices? Evidence from machine learning predictive modeling and interpretation 气候变化风险对预测清洁能源股票价格有多重要？来自机器学习预测建模和解释的证据

Journal of Climate Finance Pub Date : 2024-12-27 DOI: 10.1016/j.jclimf.2024.100058

Syed Abul Basher , Perry Sadorsky

{"title":"How important are climate change risks for predicting clean energy stock prices? Evidence from machine learning predictive modeling and interpretation","authors":"Syed Abul Basher , Perry Sadorsky","doi":"10.1016/j.jclimf.2024.100058","DOIUrl":"10.1016/j.jclimf.2024.100058","url":null,"abstract":"<div><div>The clean energy equity sector plays an important role in the transition to a low-carbon economy. This paper explores the role of climate change risks in predicting the direction of clean energy stock prices (solar, wind, nuclear). We employ machine learning models, including random forests, boosting, extremely randomized trees, and support vector machines, to make our predictions. Variable importance is determined using Shapley/SHAP values. Notably, tree-based ensemble and boosting models show an accuracy exceeding 85 % for the 10 day to 20 day forecast period. For the stock prices of solar, wind, and nuclear energy, inflation expectations and technical indicators (which account for behavioral factors) such as on-balance volume and Williams’ accumulation/distribution are important features within this forecast range. For wind and solar energy stocks moving averages are also important additional features while for nuclear energy stocks economic policy uncertainty and stock market volatility are additional important features. In the five day to twenty day forecast horizon, climate change risks are not important features. These results align with a body of literature that raises concerns about equity prices not fully reflecting climate change risks. An equally weighted portfolio of wind, solar, and nuclear energy stock prices that used trading signals from an Extra Trees prediction model outperformed a buy and hold portfolio in terms of risk adjusted returns. These results are robust to trading costs and weekly or monthly portfolio rebalancing.</div></div>","PeriodicalId":100763,"journal":{"name":"Journal of Climate Finance","volume":"10 ","pages":"Article 100058"},"PeriodicalIF":0.0,"publicationDate":"2024-12-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143135555","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Nonlinear interaction of climate risk and stock market 气候风险与股票市场的非线性相互作用

Journal of Climate Finance Pub Date : 2024-12-22 DOI: 10.1016/j.jclimf.2024.100055

Xin Xu , Haizhong An , Brian M. Lucey , Shupei Huang

{"title":"Nonlinear interaction of climate risk and stock market","authors":"Xin Xu , Haizhong An , Brian M. Lucey , Shupei Huang","doi":"10.1016/j.jclimf.2024.100055","DOIUrl":"10.1016/j.jclimf.2024.100055","url":null,"abstract":"<div><div>This paper investigates both the direct and indirect pathways through which climate change risks influence the fossil energy stock market in China, focusing on the mediating effect of investor attention and the moderation effect of the crude oil market. Utilizing China’s daily climate risk data and energy stock return data from September 4, 2017, to June 30, 2022, we employ the partial linear function coefficient model, zero-inflated negative binomial regression, and the Bootstrap technique to unravel these complex relationships. Our analysis reveals pivotal findings: (1) Climate transition risk has a U-shaped nonlinear direct effect on fossil energy stock returns, with a critical inflection point identified at 0.3364. This risk also positively mediates the return rate by shaping investor attention. Notably, exceeding a risk threshold of 0.3 intensifies the adverse impact of oil price volatility on returns. (2) Climate physical risk does not exert a discernible direct effect or mediation on the return rate of fossil energy stocks. These insights offer a comprehensive perspective on the complex interplay between climate change risk and China’s fossil energy stock market, shedding light on the nonlinear dynamics that govern these relationships. From a practical perspective, these findings underscore the need for policymakers to design risk mitigation strategies tailored to transition risks, while investors should remain vigilant to oil price volatility when climate risk exceeds critical thresholds.</div></div>","PeriodicalId":100763,"journal":{"name":"Journal of Climate Finance","volume":"10 ","pages":"Article 100055"},"PeriodicalIF":0.0,"publicationDate":"2024-12-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143135556","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Generating shareholder value through the announcement of sustainability-linked bond issuance 通过宣布发行与可持续发展挂钩的债券，为股东创造价值

Journal of Climate Finance Pub Date : 2024-12-18 DOI: 10.1016/j.jclimf.2024.100057

Jannis Poggensee

引用次数: 0

The impact of climate risks on insurers’ profitability: Evidence from China 气候风险对保险公司盈利能力的影响：来自中国的证据

Journal of Climate Finance Pub Date : 2024-11-19 DOI: 10.1016/j.jclimf.2024.100053

Jiayan Chen , Renwen Lin

引用次数: 0

The influence of the ‛environmentally-friendly’ character through asymmetries on market crash price of risk in major stock sectors 环境友好 "特征通过不对称对主要股票板块市场崩盘风险价格的影响

Journal of Climate Finance Pub Date : 2024-11-17 DOI: 10.1016/j.jclimf.2024.100052

Konstantinos A. Dimitriadis , Demetris Koursaros, Christos S. Savva

{"title":"The influence of the ‛environmentally-friendly’ character through asymmetries on market crash price of risk in major stock sectors","authors":"Konstantinos A. Dimitriadis , Demetris Koursaros, Christos S. Savva","doi":"10.1016/j.jclimf.2024.100052","DOIUrl":"10.1016/j.jclimf.2024.100052","url":null,"abstract":"<div><div>This paper investigates the impact that the ‛green character’ of stocks generates on their market price of risk. The study covers a spectrum of international large-cap stocks in influential sectors since 1 January 2013 up to 5 July 2022. Focusing on the asymmetric and shape features of price risk, econometric outcomes reveal that well-established (Industrials) or highly profitable (Technology) sectors are less affected by the skewness/kurtosis price of risk or the ‛environmentally-friendly’ features. On the contrary, sectors vulnerable to alterations in income or wealth, such as Financials and Real Estate are more sizably influenced by negative asymmetry, kurtosis, and the higher volatility in bear markets. The ‛green character’ lowers the market price of stocks, increases risk premia due to higher probability for downwards movements and renders investors more risk-averse and nevertheless, this impact only reflects the initial period of green innovation with high anti-polluting costs as the green label could prove to be greatly beneficial in the future.</div></div>","PeriodicalId":100763,"journal":{"name":"Journal of Climate Finance","volume":"9 ","pages":"Article 100052"},"PeriodicalIF":0.0,"publicationDate":"2024-11-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142701336","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The role of cost-effectiveness in multisector climate investment programs: The Swedish Climate Leap 成本效益在多部门气候投资计划中的作用：瑞典气候飞跃

Journal of Climate Finance Pub Date : 2024-10-15 DOI: 10.1016/j.jclimf.2024.100051

Abenezer Zeleke Aklilu , Rebecca Swärd , Katarina Elofsson

{"title":"The role of cost-effectiveness in multisector climate investment programs: The Swedish Climate Leap","authors":"Abenezer Zeleke Aklilu , Rebecca Swärd , Katarina Elofsson","doi":"10.1016/j.jclimf.2024.100051","DOIUrl":"10.1016/j.jclimf.2024.100051","url":null,"abstract":"<div><div>To increase the speed of implementation of carbon mitigation technologies, many countries set up publicly funded investment programs, where private and/or public entities can apply for support. These schemes are often criticized for not being cost-effective. The purpose of this study is to evaluate the Swedish Climate Leap Program, which differs from most other programs through the multisector approach. We examine determinants of project approval and evaluate the heterogeneity in implicit carbon pricing across sectors. Several econometric methods are used to assess equality in carbon pricing. Results show that although the cost-effectiveness ratio plays an important role in project approval, carbon pricing differs significantly across project types. Project guidelines favor charging stations and transport measures that aid in adopting new technology and reaching economies of scale. However, the preference for transport measures is not reflected in the carbon pricing while instead energy conversion measures have a higher probability of being funded given the cost-effectiveness of the investment. Funding decisions favor densely populated municipalities, which could be motivated for investments in public goods, but is questionable for transport and housing.</div></div>","PeriodicalId":100763,"journal":{"name":"Journal of Climate Finance","volume":"9 ","pages":"Article 100051"},"PeriodicalIF":0.0,"publicationDate":"2024-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142445583","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Bridging the green gap: Unveiling the complex interplay of national cultural dimensions, management effectiveness and corruption in driving green innovations 缩小绿色差距：揭示国家文化因素、管理效率和腐败在推动绿色创新中的复杂相互作用

Journal of Climate Finance Pub Date : 2024-10-12 DOI: 10.1016/j.jclimf.2024.100050

Wan Masliza Wan Mohammad , Ennie Salina Roseli

{"title":"Bridging the green gap: Unveiling the complex interplay of national cultural dimensions, management effectiveness and corruption in driving green innovations","authors":"Wan Masliza Wan Mohammad , Ennie Salina Roseli","doi":"10.1016/j.jclimf.2024.100050","DOIUrl":"10.1016/j.jclimf.2024.100050","url":null,"abstract":"<div><div>The objective of this research is to investigate the relationship between national culture, management score, corruption, and its implication on firms’ green innovation. This paper analyses 2588 firm year data using panel corrected standard errors (PCSE), two stage least regression (2SLS) and Generalized Method of Moments (GMM). This paper also conducts quantile regressions and propensity score matching (probit regression) for the effect of national cultures on country’s corruption. Our initial observation found that national culture of long-term orientation is positively associated with green innovation. But in contrast to earlier findings, green innovation is negatively associated with individualism and indulgence. Nonetheless, when management score is used as a moderating variable for long term orientation national culture, a negative observation is made, likely due to restrictive regulatory compliance, conflict of interest or even inconsistent ideas amongst the management and the employees during the long-term execution of the project.</div></div>","PeriodicalId":100763,"journal":{"name":"Journal of Climate Finance","volume":"9 ","pages":"Article 100050"},"PeriodicalIF":0.0,"publicationDate":"2024-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142533620","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Regional dependence and contagion structure of carbon tail risk 碳尾部风险的区域依赖性和传染结构

Journal of Climate Finance Pub Date : 2024-09-14 DOI: 10.1016/j.jclimf.2024.100049

Zhang-Hangjian Chen , Huixiang An , Xiang Gao , Kees G. Koedijk , Yaping Xu

引用次数: 0

A first analysis on the green securitizations in Italy 对意大利绿色证券化的初步分析

Journal of Climate Finance Pub Date : 2024-08-24 DOI: 10.1016/j.jclimf.2024.100048

Francesco Cusano, Danilo Liberati, Stefano Piermattei, Lorenzo Rubeo

{"title":"A first analysis on the green securitizations in Italy","authors":"Francesco Cusano, Danilo Liberati, Stefano Piermattei, Lorenzo Rubeo","doi":"10.1016/j.jclimf.2024.100048","DOIUrl":"10.1016/j.jclimf.2024.100048","url":null,"abstract":"<div><p>This paper represents one of the first empirical analyses of the market for green securitizations in Italy. Green securitizations are financial instruments for which there are currently no universally accepted definitions or standard methodologies to identify them. We thus discuss possible definitions and limitations in identifying these instruments. To overcome practical constraints, we argue that, for the time being, a feasible way is to label a securitization as ‘green’ based on the assessment of the sustainability of the economic activity of the borrower of the underlying securitized loans. We also describe the main characteristics of the market for green securitizations originated by banks in Italy during the decade 2010–19. Empirical and econometric analysis show that banks’ securitized loans to ‘brown’ (less sustainable) economic activities grew much more rapidly than those to ‘green’ ones suggesting that banks preferred to keep loans to ‘green’ activities in their balance sheets and to derecognize loans to ‘brown’ ones. Finally, we show that the usual indexes of carbon content of Italian banks’ loans overestimate the amount of financed emissions if they do not take banks’ securitizations into account.</p></div>","PeriodicalId":100763,"journal":{"name":"Journal of Climate Finance","volume":"9 ","pages":"Article 100048"},"PeriodicalIF":0.0,"publicationDate":"2024-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142164390","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Firms’ voluntary climate action disclosures and stock market reaction: A BERT-based analysis of earnings conference calls in China 企业自愿气候行动披露与股市反应：基于 BERT 的中国财报电话会议分析

Journal of Climate Finance Pub Date : 2024-07-08 DOI: 10.1016/j.jclimf.2024.100047

Mengxin Shao, Minggao Xue

{"title":"Firms’ voluntary climate action disclosures and stock market reaction: A BERT-based analysis of earnings conference calls in China","authors":"Mengxin Shao, Minggao Xue","doi":"10.1016/j.jclimf.2024.100047","DOIUrl":"10.1016/j.jclimf.2024.100047","url":null,"abstract":"<div><p>Climate information disclosure plays a pivotal role in fostering sustainable practices and enhancing transparency in climate risk. However, it is unclear whether firms’ voluntary climate-related disclosures effectively convey incremental information to investors. In the empirical context of Chinese listed firms, we explore the valuation effect of firms’ voluntary climate action disclosures, which is quantified from the transcripts of earning conference calls using a novel natural language model, BERT. Our results reveal that firms with more voluntary climate action disclosures experience more positive stock market reactions, indicating that investors value transparency on corporate commitment to future climate actions. The positive valuation effect of disclosures tends to be more pronounced in firms with higher disclosure quality, more green-preference investors, and higher investor attention. Moreover, we find that the positive valuation effect is achieved through enhancing corporate reputation and investor confidence. We further show that firms’ voluntary climate action disclosures exhibit a significant positive correlation with green innovations and environmental pillar scores, dispelling concerns of mere “greenwashing”. Overall, our evidence contributes to understanding the role of climate disclosures in investor assessment of firms’ climate risks and opportunities. The findings provides fresh insights for policymakers and regulatory bodies involved in shaping disclosure frameworks that promote sustainable business practices.</p></div>","PeriodicalId":100763,"journal":{"name":"Journal of Climate Finance","volume":"8 ","pages":"Article 100047"},"PeriodicalIF":0.0,"publicationDate":"2024-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141714225","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0