Do stock markets care about climate change: A public media perspective

Minh Nhat Nguyen and Ruipeng Liu

International Review of Finance, 2025, vol. 25, issue 1

Abstract: We study the pricing implication of the climate change news index proposed by Engle et al. (2020). Specifically, we find the significant risk premium associated with climate change news. The risk premium increases for firms in fossil‐fuel and carbon‐intensive industries, while decreasing for firms in low‐emission industries. Furthermore, we document that the impact of climate change news is more negative for “value” and “big” portfolios compared to “growth” and “small” portfolios, and the impact of climate change news varies for firms headquartered in Democratic states versus Republican states.

Date: 2025
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