Carbon Tail Risk

• 成果类型: Article
• 署名作者: Ilhan, Emirhan; Sautner, Zacharias; Vilkov, Grigory
• 署名单位: Frankfurt School Finance & Management
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaa071
• 发表日期: 2021
• 页码: 1540
• 关键词: uncertainty; POLICY; price

摘要

Strong regulatory actions are needed to combat climate change, but climate policy uncertainty makes it difficult for investors to quantify the impact of future climate regulation. We show that such uncertainty is priced in the option market. The cost of option protection against downside tail risks is larger for firms with more carbon-intense business models. For carbon-intense firms, the cost of protection against downside tail risk is magnified at times when the public's attention to climate change spikes, and it decreased after the election of climate change skeptic President Trump.