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Abstract Using an APT model where global temperature shocks are a systematically priced factor, the risk premium is significant and positive. Evidence is provided that positive exposure to temperature shocks… Click to show full abstract
Abstract Using an APT model where global temperature shocks are a systematically priced factor, the risk premium is significant and positive. Evidence is provided that positive exposure to temperature shocks is related to increasing CO2 emissions by industry. The global impact on the cost of equity could be as high as 2.8% per year, implying a global GDP loss of $2.2 Trillion per year due to global temperature shocks.
Keywords:
global temperature;
temperature;
cost equity;
temperature shocks
Journal Title: Journal of International Financial Markets, Institutions and Money
Year Published: 2021
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Journal Title: Journal of International Financial Markets, Institutions and Money
Year Published: 2021
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!