Climate Change News Risk and Corporate Bond Returns

We examine whether climate change news risk is priced in corporate bonds. We estimate bond covariance with a climate change news index and find that bonds with a higher climate change news beta earn lower future returns, consistent with the asset pricing implications of demand for bonds with high po...

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Veröffentlicht in:	Journal of financial and quantitative analysis 2021-09, Vol.56 (6), p.1985-2009
Hauptverfasser:	Huynh, Thanh D., Xia, Ying
Format:	Artikel
Sprache:	eng
Schlagworte:	Asset pricing Beta Climate change Corporate bonds Hedge funds News Prices Risk exposure Stock prices Willingness to pay
Online-Zugang:	Volltext
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