Does extreme climate concern drive equity premiums? Evidence from China
Bibliographic Data
| ID | 22234255 |
|---|---|
| Authors | Yongan Xu (0000-0003-1874-289X, Lanzhou Jiaotong University), Chao Liang (0000-0002-5617-3483, Southwest Jiaotong University, corresponding author) |
| Year | 2024 |
| Volume | 11 |
| Issue | 1 |
| Publication date | 2024-09-11 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Humanities and Social Sciences Communications (JOURNAL) |
| Journal identifiers | ISSN: 2662-9992 • E-ISSN: 2662-9992 |
| Publisher | Springer Science and Business Media LLC (PUBLISHER) |
| DOI | 10.1057/s41599-024-03705-y |
| OpenAlex | W4402438026 |
| Language | EN |
| References cited | 45 |
We construct an extreme climate concern indicator (ECC) on the basis of the coverage of the extreme climate news reports. First, ECC significantly negatively forecasts stock market returns in subsequent months. The predictability of ECC returns outperforms alternative confidence indicators and economic predictors over both in-sample and out-of-sample periods. Second, relative to before the Paris Agreement entered into force, extreme climate concerns prominently enhanced the forecasting capabilities after the signing of the Paris Agreement. Third, the return prediction accuracy of ECC in periods of low climate concern is significantly greater than that in periods of high climate concern, which is also consistent with the limited attention of investors. Finally, ECC substantially brings appreciable economic gains to investors, and the relevant empirical results pass a series of robustness tests
Business · China · Climate change · Economics · Extreme heat · Financial economics · Natural resource economics · Political science · Financial Markets and Investment Strategies · Market Dynamics and Volatility · Sustainable Finance and Green Bonds · Oceanography
The Importance of Climate Risks for Institutional Investors
A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
Climate policy uncertainty and world renewable energy index volatility forecasting
From climate risk to the returns and volatility of energy assets and green bonds
Impact of Paris Agreement on financing strategy
| Highly cited | No |
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