实物气候风险、基金持有和特质风险

IF 7.5 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis Pub Date : 2025-03-27 DOI:10.1016/j.irfa.2025.104183

Lei Zhang, Shanghong Sun

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引用次数: 0

摘要

本研究探讨了自然气候风险如何影响特异性风险，并分析了企业资金持有结构在这一过程中的调节作用。本研究以中国 A 股上市公司为研究对象，构建了月度温度频率的面板数据集，研究时间跨度为 2001 年至 2023 年。我们利用资本资产定价模型、三因子模型和五因子模型的残差计算了特异波动率指数。结果表明，气温变化与公司特定风险显著正相关。即使在非极端天气条件下，高温也会显著增加特异性风险，尤其是在制造业。我们还发现，在气温波动下，基金持股比例较高的企业具有更明显的特异性风险。本研究为理解自然气候风险与企业风险之间的关系提供了一个新的视角，从企业持股结构的角度丰富了气候融资研究。

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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Physical climate risk, fund holdings, and idiosyncratic risk

This study explores how physical climate risk affects idiosyncratic risk and analyzes the moderating role of firms' fund holding structure in this process. This study covers the period from 2001 to 2023, constructing a panel dataset with monthly temperature frequency based on Chinese A-share listed companies. We calculate an idiosyncratic volatility index using the residuals of capital asset pricing, three-factor, and five-factor models. The results reveal that temperature changes are significantly positively correlated with firm-specific risk. Even under nonextreme weather conditions, high temperatures can significantly increase idiosyncratic risk, particularly in the manufacturing industry. We also find that firms with a higher proportion of fund holdings have more obvious idiosyncratic risks under temperature fluctuations. This study provides a new perspective for understanding the relationship between physical climate risk and firm risk, enriching climate finance research from the perspective of firms' holding structure.

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来源期刊

International Review of Financial Analysis BUSINESS, FINANCE-

CiteScore

10.30

自引率

9.80%

发文量

366

期刊介绍： The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.