التفاصيل البيبلوغرافية
| العنوان: |
Hedging Climate Change News. |
| المؤلفون: |
Engle, Robert F, Giglio, Stefano, Kelly, Bryan, Lee, Heebum, Stroebel, Johannes |
| المصدر: |
Review of Financial Studies; Mar2020, Vol. 33 Issue 3, p1184-1216, 33p |
| مصطلحات موضوعية: |
CLIMATE change, TECHNOLOGICAL innovations, MIMICRY (Biology), HEDGING (Finance), PORTFOLIO insurance (Securities), ENVIRONMENTAL exposure |
| مستخلص: |
We propose and implement a procedure to dynamically hedge climate change risk. We extract innovations from climate news series that we construct through textual analysis of newspapers. We then use a mimicking portfolio approach to build climate change hedge portfolios. We discipline the exercise by using third-party ESG scores of firms to model their climate risk exposures. We show that this approach yields parsimonious and industry-balanced portfolios that perform well in hedging innovations in climate news both in sample and out of sample. We discuss multiple directions for future research on financial approaches to managing climate risk. [ABSTRACT FROM AUTHOR] |
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| قاعدة البيانات: |
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