| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25734 |
| 来源ID | Working Paper 25734 |
| Hedging Climate Change News | |
| Robert F. Engle III; Stefano Giglio; Bryan T. Kelly; Heebum Lee; Johannes Stroebel | |
| 发表日期 | 2019-04-08 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We propose and implement a procedure to dynamically hedge climate change risk. To create our hedge target, we extract innovations from climate news series that we construct through textual analysis of high-dimensional data on newspaper coverage of climate change. We then use a mimicking portfolio approach based on a large panel of equity returns 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. The resulting hedge portfolios outperform alternative hedging strategies based primarily on industry tilts. We discuss multiple directions for future research on financial approaches to managing climate risk. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w25734 |
| 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/583408 |
| 推荐引用方式 GB/T 7714 | Robert F. Engle III,Stefano Giglio,Bryan T. Kelly,et al. Hedging Climate Change News. 2019. |
| 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 | ||
| w25734.pdf（719KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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