Climate change news risk and corporate bond returns in China

Hao Liu and Chuyin Lin

Finance Research Letters, 2023, vol. 58, issue PC

Abstract: 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.

Keywords: Climate change news risk; Bond returns; ICAPM; China (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:58:y:2023:i:pc:s154461232300898x

DOI: 10.1016/j.frl.2023.104526

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