气候变化
债券
经济
报纸
中国
金融经济学
资本资产定价模型
风险溢价
BETA(编程语言)
计量经济学
业务
地理
财务
广告
考古
生物
程序设计语言
计算机科学
生态学
作者
Qun Zhang,Chien-Chih Lin
标识
DOI:10.1016/j.frl.2023.104526
摘要
By constructing a climate change news index based on the textual analysis of newspapers and estimations of the covariance of bond returns, this paper investigates whether climate change news risk is “priced in” in Chinese corporate bonds. We find that bonds with a higher climate change news beta are associated with lower future returns. Moreover, the low climate change news beta premium originates from the transition news beta. Additionally, the low climate change news beta premium is more obvious during times of heightened climate change news risk, which is consistent with the asset pricing theory of intertemporal hedging demand.
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