Climate risks and market efficiency

DOI10.1016/J.JECONOM.2018.09.015zbMath1452.62770OpenAlexW3023058206MaRDI QIDQ1739651

Frank Weikai Li, Jiangmin Xu, Harrison Hong

Publication date: 26 April 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/w22890.pdf

zbMATH Keywords

efficiencystock marketclimate changereturn predictabilityclimate risks

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

Common volatility shocks driven by the global carbon transition ⋮ Editorial for the special issue on financial engineering and risk management for JoE ⋮ Climate change investment risk: optimal portfolio construction ahead of the transition to a lower-carbon economy

Cites Work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Optimal Taxes on Fossil Fuel in General Equilibrium
• Weather Forecasting for Weather Derivatives

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