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来源类型Working Paper
规范类型报告
DOI10.3386/w22890
来源IDWorking Paper 22890
Climate Risks and Market Efficiency
Harrison Hong; Frank Weikai Li; Jiangmin Xu
发表日期2016-12-05
出版年2016
语种英语
摘要We investigate whether stock markets efficiently price risks brought on or exacerbated by climate change. We focus on drought, the most damaging natural disaster for crops and food-company cash flows. We show that prolonged drought in a country, measured by the Palmer Drought Severity Index (PDSI) from climate studies, forecasts both declines in profitability ratios and poor stock returns for food companies in that country. A portfolio short food stocks of countries in drought and long those of countries not in drought generates a 9.2% annualized return from 1985 to 2015. This excess predictability is larger in countries having little history of droughts prior to the 1980s. Our findings support regulatory concerns of markets inexperienced with climate change underreacting to such risks.
主题Financial Economics ; Portfolio Selection and Asset Pricing ; Environmental and Resource Economics ; Environment
URLhttps://www.nber.org/papers/w22890
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/580563
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GB/T 7714
Harrison Hong,Frank Weikai Li,Jiangmin Xu. Climate Risks and Market Efficiency. 2016.
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