气候冲击、机构投资者和股票价格的信息含量

IF 7.2 1区经济学 Q1 BUSINESS, FINANCE

Journal of Corporate Finance Pub Date : 2024-03-24 DOI:10.1016/j.jcorpfin.2024.102567

Ivan Blanco, Jose M. Martin-Flores, Alvaro Remesal

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引用次数: 0

摘要

我们分析了物理气候风险在机构投资者投资组合中的具体化如何对股票价格的信息内容产生传播效应。投资组合中自然灾害风险相对较高的机构投资者会从受灾害影响的股票中撤资，降低非受灾害影响股票的交易强度，其交易决策预测了较低的中期回报。在公司层面上，机构投资者通过减少对公司特定信息的吸收，将灾害的影响传播到非受灾股票上，尤其是当这些股票在投资组合中所占权重较低时。综合上述结果，自然灾害引发了机构投资者对信息处理资源的合理再分配。

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Climate shocks, institutional investors, and the information content of stock prices

We analyze how the materialization of physical climate risk in the institutional investors’ portfolios spurs a propagation effect on the information content of stock prices. Institutional investors with a relatively high portfolio exposure to natural disasters divest from disaster-hit stocks, decrease the trading intensity in non-hit stocks, and their trading decisions predict low medium-term returns. At the firm-level, institutional investors propagate the effects of disasters to non-hit stocks through reduced incorporation of firm-specific information, especially when the stocks represent a low portfolio weight. Combined, these results suggest that natural disasters trigger a rational reallocation of information-processing resources by institutional investors.

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来源期刊

Journal of Corporate Finance BUSINESS, FINANCE-

CiteScore

11.80

自引率

3.30%

发文量

期刊介绍： The Journal of Corporate Finance aims to publish high quality, original manuscripts that analyze issues related to corporate finance. Contributions can be of a theoretical, empirical, or clinical nature. Topical areas of interest include, but are not limited to: financial structure, payout policies, corporate restructuring, financial contracts, corporate governance arrangements, the economics of organizations, the influence of legal structures, and international financial management. Papers that apply asset pricing and microstructure analysis to corporate finance issues are also welcome.