Agenda

09 Nov 2022 12:15

Francesco Rocciolo - Pricing Climate Change Ambiguity

Meeting Room 1, Campus Economico San Giobbe + Live streaming (ZOOM)

Francesco Rocciolo - Pricing Climate Change Ambiguity

Abstract
The recent theoretical literature on climate finance strongly asserts the existence of a close relationship between climate change and uncertainty about the probabilistic models behind consumption and climate-related damages to it. This paper uses a standard consumption-based asset pricing framework to introduce five fundamental hypotheses on the link between climate change and stock returns ambiguity. The hypotheses are the following: climate change induces ambiguity in financial returns. A significant component of such ambiguity is behaviorally driven. Agents are averse to climate change-induced ambiguity. The returns on stocks of firms with a higher carbon footprint are, except when transition risk materializes, more affected by ambiguity caused by climate change. Climate change-induced ambiguity is priced in the cross-section of stock returns. The empirical investigation, performed on a large sample of U.S. stocks, does not reject any of these predictions. The results are robust to the employment of different methodologies and samples.

The seminar can be attended also remotely, connecting to ZOOMhttps://unive.zoom.us/s/81319868251
Meeting ID: 813 1986 8251

Lingua

L'evento si terrà in inglese

Organizzatore

Dipartimento di Economia (InSeminars)

Link

https://unive.zoom.us/s/81319868251

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