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題名 綠色溢酬、碳排放與 ESG 評分: 以美國股票市場為例
Green Premium, Carbon Emissions, and ESG Score: Evidence from the US Stock Market
作者 黃柏翔
Huang, Po-Hsiang
貢獻者 林士貴<br>羅秉政
Lin, Shih-Kuei<br>Kendro Vincent
黃柏翔
Huang, Po-Hsiang
關鍵詞 綠色溢酬
碳排放
ESG評分
氣候變遷
轉變點檢測
Green premium
Carbon emissions
ESG score
Climate change
Change point detection
日期 2023
上傳時間 1-Sep-2023 14:47:47 (UTC+8)
摘要 過往的研究在美國股票市場中發現「綠色溢酬」現象，意即綠色資產的表現優於棕色資產，先前的文獻認為此現象是受到氣候意識未預期的增長，進而導致綠色資產的優異報酬。隨著減緩氣候變遷成為全球的共識，本文認為市場的行為會有明顯的改變。本文發現綠色溢酬的顯著性不如原先預期，推論是受到市場對於氣候意識提高的反應。透過轉變點檢測，本文實證結果顯示金融市場對於氣候相關事件和政策變化有顯著反應，特別是針對美國證券交易委員會（SEC）對氣候揭露重視度提升以及聯合國第26屆氣候峰會（COP26）頒布的《格拉斯哥氣候協議》有所反應。
Previous studies have identified a &quot;green premium&quot; in the stock market, where green assets outperform their brown counterparts. This phenomenon has been attributed to unexpected increases in climate concerns by previous research, leading to the superior performance of green assets. As mitigating climate change becomes a global consensus, we propose a significant shift in market behavior. Our study reveals that green premiums are not as significant as previously assumed. We attribute this to changes in market behavior in response to heightened climate awareness. To corroborate our hypothesis, we employ change point detection techniques. Our findings suggest that the financial market reacts considerably to climate-related events and policy shifts. In particular, we observe significant market responses to the SEC`s intensified focus on climate disclosure and the announcement of the Glasgow Climate Pact at COP26.
參考文獻 [1] Antoniuk, Y., & Leirvik, T. (2021). Climate change events and stock market returns. Journal of Sustainable Finance & Investment, 1-26.

[2] Ardia, D., Bluteau, K., Boudt, K., & Inghelbrecht, K. (2022). Climate Change Concerns and the Performance of Green vs. Brown Stocks. Management Science, 1-26.

[3] Aswani, J., Raghunandan, A., & Rajgopal, S. (2023). Are Carbon Emissions Associated with Stock Returns? Review of Finance, 1-32.

[4] Bai, J. (1997). Estimating Multiple Breaks One at a Time. Econometric Theory, 13(3), 315-352.

[5] Bali, T. G., & Cakici, N. (2008). Idiosyncratic Volatility and the Cross Section of Expected Returns. The Journal of Financial and Quantitative Analysis, 43(1), 29-
58.

[6] Bauer, M. D., Huber, D., Rudebusch, G. D., & Wilms, O. (2022). Where is the carbon premium? Global performance of green and brown stocks. Journal of Climate Finance, 1, 100006.

[7] Bernstein, A., Gustafson, M. T., & Lewis, R. (2019). Disaster on the horizon: The price effect of sea level rise. Journal of Financial Economics, 134(2), 253-272.

[8] Bolton, P. & Kacperczyk, M. (2021). Carbon Disclosure and the Cost of Capital. Available at SSRN: https://dx.doi.org/10.2139/ssrn.3755613

[9] Bolton, P., Despres, M., Pereira Da Silva, L. A., Samama, F., & Svartzman, R. (2020). The green swan: Central banking and financial stability in the age of climate change. Basel, Switzerland: Bank for International Settlements.

[10] Carhart, M. M. (1997). On Persistence in Mutual Fund Performance. The Journal of Finance, 52(1), 57-82.

[11] Chen, J., & Gupta, A. K. (1997). Testing and Locating Variance Changepoints with Application to Stock Prices. Journal of the American Statistical Association, 92(438), 739-747.

[12] Chen, J., & Gupta, A. K. (2012). Parametric statistical change point analysis: With applications to genetics, medicine, and finance (2nd ed.). New York: Springer.

[13] Choi, D., Gao, Z., & Jiang, W. (2020). Attention to Global Warming. The Review of Financial Studies, 33(3), 1112-1145.

[14] Derwall, J., Guenster, N., Bauer, R., & Koedijk, K. (2005). The Eco-Efficiency Premium Puzzle. Financial analysts journal, 61(2), 51-63.

[15] Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.

[16] Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1-22.

[17] Garvey, G. T., Iyer, M. & Nash, J. (2018). Carbon Footprint and Productivity: Does the "E" in ESG Capture Efficiency as well as Environment? Journal of Investment
Management, 16 (1), 59–69.

[18] Gimeno, R. & González, C. I. (2022). The Role of a Green Factor in Stock Prices. When Fama & French Go Green. Banco de España Working Paper No. 2207. Available at SSRN: https://dx.doi.org/10.2139/ssrn.4064848

[19] Goldman Sachs. (2021). SUSTAINABILITY REPORT 2021. Retrieved March 19, 2023, from https://www.goldmansachs.com/a/2021-sustainability-report.pdf

[20] Gurvich, A. & Creamer, G. G. (2022). Carbon Risk Factor Framework. The Journal of Portfolio Management, 48(10), 148–164.

[21] Hou, K., Mo, H., Xue, C., & Zhang, L. (2021). An Augmented q-Factor Model with Expected Growth. Review of Finance, 25(1), 1-41.

[22] Hou, K., Xue, C., & Zhang, L. (2015). Digesting Anomalies: An Investment Approach. The Review of Financial Studies, 28(3), 650-705.

[23] Hou, K., Xue, C., & Zhang, L. (2018). Replicating Anomalies. The Review of Financial Studies, 33(5), 2019-2133.

[24] Hsu, P. H., Li, K., & Tsou, C. Y. (2023). The Pollution Premium. The Journal of Finance, 78(3), 1343-1392.

[25] In, S. Y., Park, K. Y., & Monk, A. (2017). Is "Being Green" Rewarded in the Market? An Empirical Investigation of Decarbonization Risk and Stock Returns. IAEE Energy Forum, 2017.

[26] Jensen, M. C. (1968). THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964. The Journal of Finance, 23(2), 389-416.

[27] JPMorgan Chase. (2022). 2022 CLIMATE REPORT. Retrieved March 19, 2023, from https://www.jpmorganchase.com/content/dam/jpmc/jpmorgan-chase-andco/documents/Climate-Report-2022.pdf

[28] Karolyi, G. A., Wu, Y. & Xiong, W. W. (2023). Understanding the Global Equity Greenium. Available at SSRN: https://dx.doi.org/10.2139/ssrn.4391189

[29] Konisky, D. M., Hughes, L., & Kaylor, C. H. (2016). Extreme weather events and climate change concern. Climatic change, 134(4), 533-547.

[30] Lang, C. (2014). Do weather fluctuations cause people to seek information about climate change? Climatic change, 125(3-4), 291-303.

[31] Lavielle, M. & Teyssière, G. (2007). Adaptive Detection of Multiple ChangePoints in Asset Price Volatility. In Teyssière, G. & Kirman, A. P. (Eds.), Long Memory in Economics (pp. 129–156). Springer.

[32] Lewandowski, S. (2017). Corporate Carbon and Financial Performance: The Role of Emission Reductions. Business Strategy and the Environment, 26(8), 1196-1211.

[33] Li, E. X. N., Livdan, D., & Zhang, L. (2009). Anomalies. The Review of Financial Studies, 22(11), 4301-4334.

[34] Lintner, J. (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. The Review of Economics and Statistics, 47(1), 13-37.

[35] Matsumura, E. M., Prakash, R., & Vera-Muñoz, S. C. (2014). Firm-Value Effects of Carbon Emissions and Carbon Disclosures. The Accounting Review, 89(2), 695-724.

[36] Monasterolo, I., & de Angelis, L. (2020). Blind to carbon risk? An analysis of stock market reaction to the Paris Agreement. Ecological economics, 170, 106571.

[37] Morgan Stanley. (2021). 2021 Sustainability Report. Retrieved March 19, 2023, from https://www.morganstanley.com/content/dam/msdotcom/en/assets/pdfs/Morgan_Stanley_2021_Sustainability_Report.pdf

[38] Mossin, J. (1966). Equilibrium in a Capital Asset Market. Econometrica, 34(4), 768-783.

[39] Pástor, Ľ., Stambaugh, R. F., & Taylor, L. A. (2021). Sustainable investing in equilibrium. Journal of Financial Economics, 142(2), 550-571.

[40] Pástor, Ľ., Stambaugh, R. F., & Taylor, L. A. (2022). Dissecting green returns. Journal of Financial Economics, 146(2), 403-424.

[41] Plyakha, Y., Uppal, R., Vilkov, G. (2021). Equal or value weighting? Implications for asset-pricing tests. In Zopounidis, C., Benkraiem, R., & Kalaitzoglou, I. (Eds.),
Financial Risk Management and Modeling (pp. 295–347). Springer.

[42] Ramelli, S., Ossola, E., & Rancan, M. (2021). Stock price effects of climate activism: Evidence from the first Global Climate Strike. Journal of corporate finance, 69, 102018.

[43] Ramelli, S., Wagner, A. F., Zeckhauser, R. J., & Ziegler, A. (2021). Investor Rewards to Climate Responsibility: Stock-Price Responses to the Opposite Shocks
of the 2016 and 2020 US Elections. The Review of Corporate Finance Studies, 10(4), 748-787.

[44] Sharpe, W. F. (1964). CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK. The Journal of Finance, 19(3), 425-442.

[45] Sisco, M. R., Bosetti, V., & Weber, E. U. (2017). When do extreme weather events generate attention to climate change? Climatic change, 143(1), 227-241.

[46] Task Force on Climate-related Financial Disclosures. (TCFD). (2017). Recommendations of the Task Force on Climate-related Financial Disclosures. Retrieved March 19, 2023, from https://assets.bbhub.io/company/sites/60/2021/
10/FINAL-2017-TCFD-Report.pdf

[47] The Network of Central Banks and Supervisors for Greening the Financial System (NGFS). (2019). Origin and Purpose. Retrieved March 19, 2023, from
https://www.ngfs.net/en/about-us/governance/origin-and-purpose

[48] The United States Securities and Exchange Commission. (2021a). Enhancing Focus on the SEC`s Enhanced Climate Change Efforts. Retrieved June 6, 2023, from https://www.sec.gov/news/public-statement/roisman-peirce-sec-focus-climate-change#_ftn7

[49] The United States Securities and Exchange Commission. (2021b). ESG Disclosure – Keeping Pace with Developments Affecting Investors, Public Companies and the Capital Markets. Retrieved June 6, 2023, from https://www.sec.gov/news/public-statement/coates-esg-disclosure-keeping-pace-031121

[50] The United States Securities and Exchange Commission. (2021c). Public Input Welcomed on Climate Change Disclosures. Retrieved June 6, 2023, from
https://www.sec.gov/news/public-statement/lee-climate-change-disclosures

[51] The United States Securities and Exchange Commission. (2021d). Statement on the Review of Climate-Related Disclosure. Retrieved June 6, 2023, from
https://www.sec.gov/news/public-statement/lee-statement-review-climate-related-disclosure

[52] The United States Securities and Exchange Commission. (2021e). SEC Announces Enforcement Task Force Focused on Climate and ESG Issues. Retrieved June 6, 2023, from https://www.sec.gov/news/press-release/2021-42

[53] Truong, C., Oudre, L., & Vayatis, N. (2020). Selective review of offline change point detection methods. Signal Processing, 167, 107299.

[54] United Nations Framework Convention on Climate Change (UNFCCC). (2021). Glasgow Climate Pact. Retrieved June 6, 2023, from https://unfccc.int/sites/default/files/resource/cop26_auv_2f_cover_decision.pdf

[55] Venturini, A. (2022). Climate change, risk factors and stock returns: A review of the literature. International Review of Financial Analysis, 79, 101934.

[56] World Economic Forum. (WEF). (2021). The Global Risks Report 2021. 16th Edition. Retrieved March 18, 2023, from https://www.weforum.org/reports/theglobal-risks-report-2021/

[57] World Economic Forum. (WEF). (2022). The Global Risks Report 2022. 17th Edition. Retrieved March 18, 2023, from https://www.weforum.org/reports/global-risks-report-2022/

[58] World Economic Forum. (WEF). (2023). The Global Risks Report 2023. 18th Edition. Retrieved March 18, 2023, from https://www.weforum.org/reports/global-risks-report-2023/
描述 碩士
國立政治大學
金融學系
110352028
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110352028
資料類型 thesis
dc.contributor.advisor 林士貴<br>羅秉政zh_TW
dc.contributor.advisor Lin, Shih-Kuei<br>Kendro Vincenten_US
dc.contributor.author (Authors) 黃柏翔zh_TW
dc.contributor.author (Authors) Huang, Po-Hsiangen_US
dc.creator (作者) 黃柏翔zh_TW
dc.creator (作者) Huang, Po-Hsiangen_US
dc.date (日期) 2023en_US
dc.date.accessioned 1-Sep-2023 14:47:47 (UTC+8)-
dc.date.available 1-Sep-2023 14:47:47 (UTC+8)-
dc.date.issued (上傳時間) 1-Sep-2023 14:47:47 (UTC+8)-
dc.identifier (Other Identifiers) G0110352028en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/146862-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融學系zh_TW
dc.description (描述) 110352028zh_TW
dc.description.abstract (摘要) 過往的研究在美國股票市場中發現「綠色溢酬」現象，意即綠色資產的表現優於棕色資產，先前的文獻認為此現象是受到氣候意識未預期的增長，進而導致綠色資產的優異報酬。隨著減緩氣候變遷成為全球的共識，本文認為市場的行為會有明顯的改變。本文發現綠色溢酬的顯著性不如原先預期，推論是受到市場對於氣候意識提高的反應。透過轉變點檢測，本文實證結果顯示金融市場對於氣候相關事件和政策變化有顯著反應，特別是針對美國證券交易委員會（SEC）對氣候揭露重視度提升以及聯合國第26屆氣候峰會（COP26）頒布的《格拉斯哥氣候協議》有所反應。zh_TW
dc.description.abstract (摘要) Previous studies have identified a &quot;green premium&quot; in the stock market, where green assets outperform their brown counterparts. This phenomenon has been attributed to unexpected increases in climate concerns by previous research, leading to the superior performance of green assets. As mitigating climate change becomes a global consensus, we propose a significant shift in market behavior. Our study reveals that green premiums are not as significant as previously assumed. We attribute this to changes in market behavior in response to heightened climate awareness. To corroborate our hypothesis, we employ change point detection techniques. Our findings suggest that the financial market reacts considerably to climate-related events and policy shifts. In particular, we observe significant market responses to the SEC`s intensified focus on climate disclosure and the announcement of the Glasgow Climate Pact at COP26.en_US
dc.description.tableofcontents 1 Introduction 1
2 Literature Review 3
2.1 Green premium in the stock market 3
2.2 Climate change awareness in the financial market 4
3 Hypotheses and Methodologies 7
3.1 Hypotheses 7
3.2 Methodologies 7
3.2.1 Portfolio construction 8
3.2.2 Linear factor models 9
3.2.3 Change point detection 11
4 Empirical Results 13
4.1 Data 13
4.2 Portfolio performance 14
4.3 Regression results 16
4.4 Detecting change points 17
5 Robustness Tests 23
5.1 Quintile-sorted portfolios 23
5.2 Equal-weighted portfolios 25
6 Conclusion 29
References 30
Appendices 65		zh_TW
dc.format.extent 4873303 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110352028en_US
dc.subject (關鍵詞) 綠色溢酬zh_TW
dc.subject (關鍵詞) 碳排放zh_TW
dc.subject (關鍵詞) ESG評分zh_TW
dc.subject (關鍵詞) 氣候變遷zh_TW
dc.subject (關鍵詞) 轉變點檢測zh_TW
dc.subject (關鍵詞) Green premiumen_US
dc.subject (關鍵詞) Carbon emissionsen_US
dc.subject (關鍵詞) ESG scoreen_US
dc.subject (關鍵詞) Climate changeen_US
dc.subject (關鍵詞) Change point detectionen_US
dc.title (題名) 綠色溢酬、碳排放與 ESG 評分: 以美國股票市場為例zh_TW
dc.title (題名) Green Premium, Carbon Emissions, and ESG Score: Evidence from the US Stock Marketen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) [1] Antoniuk, Y., & Leirvik, T. (2021). Climate change events and stock market returns. Journal of Sustainable Finance & Investment, 1-26.

[2] Ardia, D., Bluteau, K., Boudt, K., & Inghelbrecht, K. (2022). Climate Change Concerns and the Performance of Green vs. Brown Stocks. Management Science, 1-26.

[3] Aswani, J., Raghunandan, A., & Rajgopal, S. (2023). Are Carbon Emissions Associated with Stock Returns? Review of Finance, 1-32.

[4] Bai, J. (1997). Estimating Multiple Breaks One at a Time. Econometric Theory, 13(3), 315-352.

[5] Bali, T. G., & Cakici, N. (2008). Idiosyncratic Volatility and the Cross Section of Expected Returns. The Journal of Financial and Quantitative Analysis, 43(1), 29-
58.

[6] Bauer, M. D., Huber, D., Rudebusch, G. D., & Wilms, O. (2022). Where is the carbon premium? Global performance of green and brown stocks. Journal of Climate Finance, 1, 100006.

[7] Bernstein, A., Gustafson, M. T., & Lewis, R. (2019). Disaster on the horizon: The price effect of sea level rise. Journal of Financial Economics, 134(2), 253-272.

[8] Bolton, P. & Kacperczyk, M. (2021). Carbon Disclosure and the Cost of Capital. Available at SSRN: https://dx.doi.org/10.2139/ssrn.3755613

[9] Bolton, P., Despres, M., Pereira Da Silva, L. A., Samama, F., & Svartzman, R. (2020). The green swan: Central banking and financial stability in the age of climate change. Basel, Switzerland: Bank for International Settlements.

[10] Carhart, M. M. (1997). On Persistence in Mutual Fund Performance. The Journal of Finance, 52(1), 57-82.

[11] Chen, J., & Gupta, A. K. (1997). Testing and Locating Variance Changepoints with Application to Stock Prices. Journal of the American Statistical Association, 92(438), 739-747.

[12] Chen, J., & Gupta, A. K. (2012). Parametric statistical change point analysis: With applications to genetics, medicine, and finance (2nd ed.). New York: Springer.

[13] Choi, D., Gao, Z., & Jiang, W. (2020). Attention to Global Warming. The Review of Financial Studies, 33(3), 1112-1145.

[14] Derwall, J., Guenster, N., Bauer, R., & Koedijk, K. (2005). The Eco-Efficiency Premium Puzzle. Financial analysts journal, 61(2), 51-63.

[15] Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.

[16] Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1-22.

[17] Garvey, G. T., Iyer, M. & Nash, J. (2018). Carbon Footprint and Productivity: Does the "E" in ESG Capture Efficiency as well as Environment? Journal of Investment
Management, 16 (1), 59–69.

[18] Gimeno, R. & González, C. I. (2022). The Role of a Green Factor in Stock Prices. When Fama & French Go Green. Banco de España Working Paper No. 2207. Available at SSRN: https://dx.doi.org/10.2139/ssrn.4064848

[19] Goldman Sachs. (2021). SUSTAINABILITY REPORT 2021. Retrieved March 19, 2023, from https://www.goldmansachs.com/a/2021-sustainability-report.pdf

[20] Gurvich, A. & Creamer, G. G. (2022). Carbon Risk Factor Framework. The Journal of Portfolio Management, 48(10), 148–164.

[21] Hou, K., Mo, H., Xue, C., & Zhang, L. (2021). An Augmented q-Factor Model with Expected Growth. Review of Finance, 25(1), 1-41.

[22] Hou, K., Xue, C., & Zhang, L. (2015). Digesting Anomalies: An Investment Approach. The Review of Financial Studies, 28(3), 650-705.

[23] Hou, K., Xue, C., & Zhang, L. (2018). Replicating Anomalies. The Review of Financial Studies, 33(5), 2019-2133.

[24] Hsu, P. H., Li, K., & Tsou, C. Y. (2023). The Pollution Premium. The Journal of Finance, 78(3), 1343-1392.

[25] In, S. Y., Park, K. Y., & Monk, A. (2017). Is "Being Green" Rewarded in the Market? An Empirical Investigation of Decarbonization Risk and Stock Returns. IAEE Energy Forum, 2017.

[26] Jensen, M. C. (1968). THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964. The Journal of Finance, 23(2), 389-416.

[27] JPMorgan Chase. (2022). 2022 CLIMATE REPORT. Retrieved March 19, 2023, from https://www.jpmorganchase.com/content/dam/jpmc/jpmorgan-chase-andco/documents/Climate-Report-2022.pdf

[28] Karolyi, G. A., Wu, Y. & Xiong, W. W. (2023). Understanding the Global Equity Greenium. Available at SSRN: https://dx.doi.org/10.2139/ssrn.4391189

[29] Konisky, D. M., Hughes, L., & Kaylor, C. H. (2016). Extreme weather events and climate change concern. Climatic change, 134(4), 533-547.

[30] Lang, C. (2014). Do weather fluctuations cause people to seek information about climate change? Climatic change, 125(3-4), 291-303.

[31] Lavielle, M. & Teyssière, G. (2007). Adaptive Detection of Multiple ChangePoints in Asset Price Volatility. In Teyssière, G. & Kirman, A. P. (Eds.), Long Memory in Economics (pp. 129–156). Springer.

[32] Lewandowski, S. (2017). Corporate Carbon and Financial Performance: The Role of Emission Reductions. Business Strategy and the Environment, 26(8), 1196-1211.

[33] Li, E. X. N., Livdan, D., & Zhang, L. (2009). Anomalies. The Review of Financial Studies, 22(11), 4301-4334.

[34] Lintner, J. (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. The Review of Economics and Statistics, 47(1), 13-37.

[35] Matsumura, E. M., Prakash, R., & Vera-Muñoz, S. C. (2014). Firm-Value Effects of Carbon Emissions and Carbon Disclosures. The Accounting Review, 89(2), 695-724.

[36] Monasterolo, I., & de Angelis, L. (2020). Blind to carbon risk? An analysis of stock market reaction to the Paris Agreement. Ecological economics, 170, 106571.

[37] Morgan Stanley. (2021). 2021 Sustainability Report. Retrieved March 19, 2023, from https://www.morganstanley.com/content/dam/msdotcom/en/assets/pdfs/Morgan_Stanley_2021_Sustainability_Report.pdf

[38] Mossin, J. (1966). Equilibrium in a Capital Asset Market. Econometrica, 34(4), 768-783.

[39] Pástor, Ľ., Stambaugh, R. F., & Taylor, L. A. (2021). Sustainable investing in equilibrium. Journal of Financial Economics, 142(2), 550-571.

[40] Pástor, Ľ., Stambaugh, R. F., & Taylor, L. A. (2022). Dissecting green returns. Journal of Financial Economics, 146(2), 403-424.

[41] Plyakha, Y., Uppal, R., Vilkov, G. (2021). Equal or value weighting? Implications for asset-pricing tests. In Zopounidis, C., Benkraiem, R., & Kalaitzoglou, I. (Eds.),
Financial Risk Management and Modeling (pp. 295–347). Springer.

[42] Ramelli, S., Ossola, E., & Rancan, M. (2021). Stock price effects of climate activism: Evidence from the first Global Climate Strike. Journal of corporate finance, 69, 102018.

[43] Ramelli, S., Wagner, A. F., Zeckhauser, R. J., & Ziegler, A. (2021). Investor Rewards to Climate Responsibility: Stock-Price Responses to the Opposite Shocks
of the 2016 and 2020 US Elections. The Review of Corporate Finance Studies, 10(4), 748-787.

[44] Sharpe, W. F. (1964). CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK. The Journal of Finance, 19(3), 425-442.

[45] Sisco, M. R., Bosetti, V., & Weber, E. U. (2017). When do extreme weather events generate attention to climate change? Climatic change, 143(1), 227-241.

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