Semantic Scholar
Open Access
2019
961 sitasi
Hedging Climate Change News
Robert F. Engle
Stefano Giglio
Bryan T. Kelly
Heebum Lee
J. Stroebel
Abstrak
We propose and implement a procedure to dynamically hedge climate change risk. We extract innovations from climate news series that we construct through textual analysis of newspapers. We then use a mimicking portfolio approach to build climate change hedge portfolios. We discipline the exercise by using third-party ESG scores of firms to model their climate risk exposures. We show that this approach yields parsimonious and industry-balanced portfolios that perform well in hedging innovations in climate news both in sample and out of sample. We discuss multiple directions for future research on financial approaches to managing climate risk.
Topik & Kata Kunci
Penulis (5)
R
Robert F. Engle
S
Stefano Giglio
B
Bryan T. Kelly
H
Heebum Lee
J
J. Stroebel
Akses Cepat
Informasi Jurnal
- Tahun Terbit
- 2019
- Bahasa
- en
- Total Sitasi
- 961×
- Sumber Database
- Semantic Scholar
- DOI
- 10.2139/SSRN.3317570
- Akses
- Open Access ✓