| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13730 |
| DP13730 Hedging Climate Change News | |
| Robert Engle; Stefano Giglio; Bryan Kelly; Heebum Lee; Johannes Ströbel | |
| 发表日期 | 2019-05-13 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Development Economics ; Financial Economics ; Public Economics |
| URL | https://cepr.org/publications/dp13730 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542593 |
| 推荐引用方式 GB/T 7714 | Robert Engle,Stefano Giglio,Bryan Kelly,et al. DP13730 Hedging Climate Change News. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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