Carbon Risk and Empirical Asset Pricing

Martin Hellmich and Rüdiger Kiesel

Chapter 9 in Carbon Finance:A Risk Management View, 2021, pp 185-198 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:Constructing Factor ModelsThe Capital Asset Pricing Model and Multi-Factor ModelsPanel RegressionStock Returns and Carbon RiskCarbon Risk as an Additional Factor in Multi-Factor ModelsIs There a Carbon Risk Premium in Equity Markets?Carbon Risk, Cost of Equity Capital, and Cost of DebtCarbon Risk and Machine Learning

Keywords: Climate Finance; Carbon Risks; Transition Risks; Emission Certificates; Green Bonds; Carbon Credits; Stress Tests; Machine Learning; Physical Risks; Carbon Markets; Carbon Disclosure; Carbon-Intensity; Commodity Markets; Climate Economics; Climate Risks; Big Data; Emission Certificates; Carbon Investors; Divestment (search for similar items in EconPapers)
JEL-codes: G1 G32 Q5 Q54 (search for similar items in EconPapers)
Date: 2021
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