股市是否关心气候变化：一个公共媒体的视角

IF 2.6 4区经济学 Q2 BUSINESS, FINANCE

International Review of Finance Pub Date : 2024-12-10 DOI:10.1111/irfi.12479

Minh Nhat Nguyen, Ruipeng Liu

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引用次数: 0

摘要

我们研究了Engle等人（2020）提出的气候变化新闻指数的定价含义。具体来说，我们发现与气候变化新闻相关的显著风险溢价。化石燃料和碳密集型行业的企业风险溢价上升，而低排放行业的企业风险溢价下降。此外，我们发现气候变化新闻对“价值”和“大”投资组合的影响比“增长”和“小”投资组合更负面，并且气候变化新闻对总部位于民主党州和共和党州的公司的影响有所不同。

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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Do stock markets care about climate change: A public media perspective

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.

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来源期刊

International Review of Finance BUSINESS, FINANCE-

CiteScore

3.30

自引率

5.90%

发文量

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.