| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22890 |
| 来源ID | Working 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 |
| URL | https://www.nber.org/papers/w22890 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/580563 |
| 推荐引用方式 GB/T 7714 | Harrison Hong,Frank Weikai Li,Jiangmin Xu. Climate Risks and Market Efficiency. 2016. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w22890.pdf（1468KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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