财务与金融系学术讲座系列2021年第4讲

主 题：气候变化和股票回报预测性

主讲人: 徐江旻 (北京大学副教授)

协调人: 陈俊

时 间：2021-05-14 10:00

地 点：明德商学楼502室

语 言：英文

讲座摘要:

This paper finds evidence that stock returns vary with the physical climate change exposure of firms in a predictable manner. We construct measures of exposures to physical climate changes at the firm level, and find that firms with high climate change exposures experience lower future profitability. We show that due to limited attention of investors, stock prices do not promptly incorporate such climate change information, and firms with high climate change exposures are subject to subsequent lower returns. A long-short trading strategy based on this effect produces significant alphas of around 0.6% per month. Moreover, we document that our return predictability strengthens under severe physical climate conditions, and it is not the result of risks associated with carbon emissions.

主讲人简介:

Jiangmin Xu is an associate professor of finance at the Department of Finance of Guanghua School of Management at Beijing University. He earned his PhD in economics from Princeton University in 2014, and B.A. in economics from Cambridge University in 2008. His primary research interests lie in the fields of asset pricing, behavioral finance, and financial econometrics.