Publicación: The extreme temperature factor in asset pricing models: Evidence from Europe
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2024-08
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Atribución-NoComercial 4.0 Internacional
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Resumen
Growing concern about climate change has led to increased research into the effects of climate on markets. One of the weather variables studied is temperature. The previous studies considered that the temperature influences on asset returns through changes in investor mood. There are few studies that incorporate a risk factor to analyze the effects of temperature changes on asset returns. We extract positive and negative extreme temperature changes to design three temperature factors. By a cross-section asset pricing model, we find evidence that temperature shocks (hot and cold) show a significant monthly risk premium and skewness for temperature changes.
Descripción
The registered version of this article, first published in Finance Research Letters, is available online at the publisher's website: Elsevier, https://doi.org/10.1016/j.frl.2024.105620
Categorías UNESCO
Palabras clave
asset pricing model, multifactor model, temperature factor, temperature shocks
Citación
Mariano González-Sánchez , Raquel Arguedas Sanz, Ana I. Segovia San Juan (2024). The extreme temperature factor in asset pricing models: Evidence from Europe. Finance Research Letters Volume 66, August 2024, 105620. https://doi.org/10.1016/j.frl.2024.105620
Centro
Facultad de Ciencias Económicas y Empresariales
Departamento
Economía de la Empresa y Contabilidad