Real-time transition risk
Matthias Apel,
André Betzer and
Bernd Scherer
Finance Research Letters, 2023, vol. 53, issue C
Abstract:
We develop a point-in-time index to approximate changes in transition risk from climate-related news events. By explicitly considering news to signal an increase or a decrease in the external pressure towards a shift to a lower-carbon economy, we overcome the assumption that “no news is good news on climate” inherent in previous research. We evaluate the return sensitivity of publicly available climate portfolios that apply different approaches to measure a firm's environmental performance based on investors’ objectives. Our results show that short-term transition risk tends to affect returns of stock portfolios based on firms’ business activity but not emissions.
Keywords: Transition risk; Climate finance; News sentiment; Natural language processing; Asset Pricing (search for similar items in EconPapers)
JEL-codes: C8 G12 Q54 (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations: View citations in EconPapers (3)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612322007760
Full text for ScienceDirect subscribers only
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:53:y:2023:i:c:s1544612322007760
DOI: 10.1016/j.frl.2022.103600
Access Statistics for this article
Finance Research Letters is currently edited by R. Gençay
More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).