相关参考文献
注意：仅列出部分参考文献，下载原文获取全部文献信息。
Article
Business, Finance
Zacharias Sautner et al.
Summary: We have developed a method to identify the attention given by earnings call participants to companies' climate change exposures. The method utilizes a machine learning keyword discovery algorithm and captures exposure to opportunities, physical impacts, and regulatory shocks associated with climate change. These measures cover more than 10,000 firms from 34 countries between 2002 and 2020. We demonstrate the usefulness of these measures in predicting important real outcomes related to the net-zero transition, particularly job creation in disruptive green technologies and green patenting, and show that they contain market-priced information.
JOURNAL OF FINANCE
(2023)
Article
Business, Finance
Hengjie Ai et al.
Summary: This paper uses expected option-implied variance reduction to measure the sensitivity of stock returns to monetary policy announcement surprises, finding that significant risk compensation is required in the cross section of equity returns for monetary policy announcements. The authors develop an equilibrium model in which FOMC announcements reveal the Federal Reserve's private information, impacting expectations about the long-run growth rate of the economy in the private sector. Their model explains the dynamics of implied variances and the cross section of the monetary policy announcement premium realized around FOMC announcement days.
JOURNAL OF FINANCIAL ECONOMICS
(2022)
Article
Business, Finance
Doron Avramov et al.
Summary: This paper analyzes the impact of uncertainty about the corporate ESG profile on asset pricing and portfolio implications. The results show that ESG uncertainty leads to an increase in market premium and a decrease in demand for stocks. In addition, ESG uncertainty is found to increase the CAPM alpha and effective beta, while weakening the negative relationship between ESG alpha and stock returns. Using the standard deviation of ESG ratings from six major providers as a proxy for ESG uncertainty, the findings of this study support the predictions of the model.
JOURNAL OF FINANCIAL ECONOMICS
(2022)
Article
Business, Finance
Ravi Bansal et al.
Summary: This study investigates the time variability of abnormal returns from socially responsible investing (SRI). The findings suggest that highly rated SRI stocks perform well during good economic times, but underperform during bad times. This variation is consistent with investor preference for SRI stocks.
REVIEW OF FINANCIAL STUDIES
(2022)
Article
Management
Fousseni Chabi-Yo et al.
Summary: This study derives generalized bounds on conditional expected excess returns that can be computed from option prices. The generalized lower bound serves as an expected excess return proxy for individual and basket-type assets, accounting for the entire risk-neutral distribution of returns and outperforming existing variance-based models in out-of-sample predictions. Bounds calibrated to realized returns correspond to reasonable risk aversion and prudence. Moreover, the expected stock returns given by the bounds decrease on even weeks of the Federal Open Market Committee cycle, and cross-sectional tests validate a reasonable market risk premium.
MANAGEMENT SCIENCE
(2022)
Article
Business, Finance
Kerry Back et al.
Summary: Recent research uses option prices to derive lower bounds for risk premia, testing shows them to be valid but not tight; using market bounds for forecasts is unreasonable due to high slackness; correlation of stock bounds with subsequent returns primarily comes from time series.
JOURNAL OF FINANCIAL ECONOMICS
(2022)
Article
Business, Finance
Olivier David Zerbib
Summary: This article examines the impact of sustainable investing on asset returns through exclusionary screening and ESG integration. The findings suggest that the exclusion effect has a positive influence on asset returns, while the taste effect varies significantly across industries and companies.
Article
Economics
Matthew Backus et al.
Summary: The rise in common ownership is driven by indexing, diversification, and investor concentration, causing a potential conflict between cash flow rights and control. The theory also predicts incentives for expropriation of undiversified shareholders even in widely held firms like those described by Berle and Means (1932).
AMERICAN ECONOMIC JOURNAL-MICROECONOMICS
(2021)
Article
Business
Stefano Giglio et al.
Summary: This article reviews the literature on interactions between climate change and financial markets, discussing approaches to incorporating climate risk in macrofinance models and exploring the pricing of climate risks across various asset classes. It also examines how investors can use different assets to hedge against climate risk and proposes potential future research directions in climate finance.
ANNUAL REVIEW OF FINANCIAL ECONOMICS, VOL 13, 2021
(2021)
Article
Management
Itzhak Ben-David et al.
Summary: Large institutional investors own a growing share of the US equity markets, which may lead to higher volatility and noise in stock prices, as well as increased fragility during crises. These institutions exhibit granularity traits, reducing diversification of idiosyncratic shocks and causing greater price impact.
MANAGEMENT SCIENCE
(2021)
Article
Business, Finance
Patrick Bolton et al.
Summary: The study shows that companies with higher carbon emissions tend to have higher stock returns, suggesting that investors may be demanding compensation for exposure to carbon emission risk.
JOURNAL OF FINANCIAL ECONOMICS
(2021)
Article
Business, Finance
L'ubos Pastor et al.
Summary: In the model, green assets have low expected returns due to investor preferences, but outperform when positive shocks hit the ESG factor. The ESG investment industry is largest when investors' ESG preferences differ most, and sustainable investing produces positive social impact by shifting real investment toward green firms.
JOURNAL OF FINANCIAL ECONOMICS
(2021)
Article
Business, Finance
Jose Azar et al.
Summary: This study examines the role of the Big Three in reducing corporate carbon emissions globally. It finds that they focus on engaging with large firms with high CO2 emissions in which they have a significant stake, leading to a strong negative association between Big Three ownership and subsequent carbon emissions among MSCI index constituents.
JOURNAL OF FINANCIAL ECONOMICS
(2021)
Article
Business, Finance
Lasse Heje Pedersen et al.
Summary: The theory proposes that ESG scores of stocks play two roles: providing information about firm fundamentals and affecting investor preferences. By computing the ESG-efficient frontier and empirical data, the costs and benefits of responsible investing are demonstrated.
JOURNAL OF FINANCIAL ECONOMICS
(2021)
Article
Business, Finance
Emirhan Ilhan et al.
Summary: Strong regulatory actions are crucial to combat climate change, but policy uncertainty hinders investors from quantifying the impact of future regulation. This uncertainty is reflected in the option market, with higher costs for firms with carbon-intense business models. The cost of protection against downside tail risk is magnified for these firms, especially during spikes in public attention to climate change and decreases after the election of a climate change skeptic President Trump.
REVIEW OF FINANCIAL STUDIES
(2021)
Article
Business, Finance
Ohad Kadan et al.
REVIEW OF FINANCIAL STUDIES
(2020)
Article
Business, Finance
Jawad M. Addoum et al.
REVIEW OF FINANCIAL STUDIES
(2020)
Article
Economics
Harrison Hong et al.
JOURNAL OF ECONOMETRICS
(2019)
Article
Economics
Tarek A. Hassan et al.
QUARTERLY JOURNAL OF ECONOMICS
(2019)
Article
Business, Finance
Anna Cieslak et al.
JOURNAL OF FINANCE
(2019)
Article
Business, Finance
Ian W. R. Martin et al.
JOURNAL OF FINANCE
(2019)
Article
Political Science
Gary King et al.
AMERICAN JOURNAL OF POLITICAL SCIENCE
(2017)
Article
Economics
Ian Martin
QUARTERLY JOURNAL OF ECONOMICS
(2017)
Article
Business, Finance
Bryan Kelly et al.
JOURNAL OF FINANCE
(2016)
Article
Economics
Nicola Gennaioli et al.
AMERICAN ECONOMIC REVIEW
(2015)
Article
Business, Finance
Martijn Cremers et al.
JOURNAL OF FINANCE
(2015)
Article
Business, Finance
Eugene F. Fama et al.
JOURNAL OF FINANCIAL ECONOMICS
(2015)
Article
Business, Finance
Victor DeMiguel et al.
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS
(2013)
Article
Business, Finance
Bo-Young Chang et al.
Article
Business, Finance
Tim Loughran et al.
JOURNAL OF FINANCE
(2011)
Article
Business, Finance
Stephan Hollander et al.
JOURNAL OF ACCOUNTING RESEARCH
(2010)
Article
Business, Finance
Joel M. Vanden
REVIEW OF FINANCIAL STUDIES
(2008)
Article
Social Sciences, Mathematical Methods
Christopher F. Baum et al.
