Abstract
The costs of addressing climate change will be borne by firms through their investments, supply-chains, and products and services. Financial markets play a role in aggregating firm-level information on the costs of the transition but also on pricing these risks. We construct a carbon risk factor for 1,600 global firms with carbon risk data from four major ESG databases. This factor can be used as a straightforward measure of carbon beta absent firm-specific carbon emissions information. We compute the carbon beta of 39,000 global firms. Our factor can be used by firms, regulators and investors to better understand carbon risk.
| Item Type: | Conference or Workshop Item (Paper) |
|---|---|
| Keywords: | Carbon risk, climate finance, economic transition, climate change, asset pricing |
| Faculties: | Munich School of Management > Institute for Financial Innovation and Technology |
| Subjects: | 300 Social sciences > 330 Economics |
| Annotation: | JEL: G12, G15, Q51, Q54 |
| Language: | English |
| Item ID: | 107104 |
| Date Deposited: | 13. Sep 2023, 17:30 |
| Last Modified: | 13. Sep 2023, 17:30 |
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