Ben Ameur Hachmi, Dao Daniel, Ftiti Zied, Louhichi Wael
INSEEC Grande Ecole, Omnes Education Group, Paris, France.
Financial Regulation Innovation Lab, University of Strathclyde Business School, Glasgow, United Kingdom.
Risk Anal. 2024 Dec 26. doi: 10.1111/risa.17683.
Increasing awareness of climate change and its potential consequences on financial markets has led to interest in the impact of climate risk on stock returns and portfolio composition, but few studies have focused on perceived climate risk pricing. This study is the first to introduce perceived climate risk as an additional factor in asset pricing models. The perceived climate risk is measured based on the climate change sentiment of the Twitter dataset with 16 million unique tweets in the years 2010-2019. One of the main advantages of our proxy is that it allows us to capture both physical and transition climate risks. Our results show that perceived climate risk is priced into Standard and Poor's 500 (S&P 500) Index stock returns and is robust when different asset-pricing models are used. Our findings have implications for market participants, as understanding the relationship between perceived climate risk and asset prices is crucial for investors seeking to navigate the financial implications of climate change and for policymakers aiming to promote sustainable financing and mitigate the potential damaging effects of climate risk on financial markets, and a pricing model that accurately incorporates perceived climate risk can facilitate this understanding.
对气候变化及其对金融市场潜在影响的认识不断提高，引发了人们对气候风险对股票回报和投资组合构成影响的兴趣，但很少有研究关注感知到的气候风险定价。本研究首次将感知到的气候风险作为资产定价模型中的一个额外因素引入。感知到的气候风险是基于推特数据集的气候变化情绪来衡量的，该数据集在2010 - 2019年期间有1600万条独特的推文。我们代理变量的主要优点之一是它使我们能够捕捉实体气候风险和转型气候风险。我们的结果表明，感知到的气候风险已被纳入标准普尔500指数（S&P 500）的股票回报中，并且在使用不同的资产定价模型时具有稳健性。我们的研究结果对市场参与者具有启示意义，因为了解感知到的气候风险与资产价格之间的关系，对于寻求应对气候变化金融影响的投资者以及旨在促进可持续融资和减轻气候风险对金融市场潜在破坏影响的政策制定者来说至关重要，而一个准确纳入感知到的气候风险的定价模型可以促进这种理解。
