Climate Sensitivity and Predictable Returns
Climate Sensitivity and Predictable Returns
复制标题
气候敏感性和可预测的回报
DOI：
10.2139/ssrn.3331872
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发表时间：
2019
期刊：
影响因子：
--
通讯作者：
Chendi Zhang
中科院分区：
文献类型：
--
作者：
Alok Kumar;Wei Xin;Chendi Zhang
本文发现，公司对温度变化的暴露预测股票收益。我们使用股票收益率对异常温度变化的敏感性来衡量公司层面的气候敏感性。气候敏感性较高的股票预测股票回报率较低。从1931年到2017年，利用回报可预测性的交易策略每年产生3.6%的风险调整回报。此外，气候敏感性也预示着公司利润较低。我们的研究结果是稳健的控制宏观经济条件和不对称的回报对温度变化的敏感性。总的来说，这些发现与股票市场对公司气候敏感性的反应不足是一致的。
The paper finds that firms' exposure to temperature changes predicts stock returns. We use the sensitivity of stock returns to abnormal temperature changes to measure firm-level climate sensitivity. Stocks with higher climate sensitivity forecast lower stock returns. A trading strategy that exploits the return predictability generates risk-adjusted returns of 3.6% per year from 1931 to 2017. Further, climate sensitivity also predicts lower firm profits. Our results are robust to controlling for macroeconomics conditions and asymmetric return sensitivity to temperature changes. Overall, these findings are consistent with stock markets underreacting to firms' climate sensitivity.