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The extreme temperature factor in asset pricing models: Evidence from Europe

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dc.contributor.authorGonzález Sánchez, Mariano
dc.contributor.authorArguedas Sanz, Raquel
dc.contributor.authorSegovia San Juan, Ana Isabel
dc.date.accessioned2024-06-12T07:46:32Z
dc.date.available2024-06-12T07:46:32Z
dc.date.issued2024-08
dc.descriptionThe 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
dc.description.abstractGrowing 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.en
dc.description.versionversión publicada
dc.identifier.citationMariano 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
dc.identifier.doihttps://doi.org/10.1016/j.frl.2024.105620
dc.identifier.issn1544-6123 | eISSN 1544-6131
dc.identifier.urihttps://hdl.handle.net/20.500.14468/22619
dc.journal.titleFinance Research Letters
dc.journal.volume66
dc.language.isoen
dc.page.initial105620
dc.publisherELSEVIER
dc.relation.centerFacultad de Ciencias Económicas y Empresariales
dc.relation.departmentEconomía de la Empresa y Contabilidad
dc.rightsAtribución-NoComercial 4.0 Internacional
dc.rights.urihttps://creativecommons.org/licenses/by-nc/4.0/
dc.subject53 Ciencias Económicas
dc.subject.keywordsasset pricing modelen
dc.subject.keywordsmultifactor modelen
dc.subject.keywordstemperature factoren
dc.subject.keywordstemperature shocksen
dc.titleThe extreme temperature factor in asset pricing models: Evidence from Europeen
dc.typeartículoes
dc.typejournal articleen
dspace.entity.typePublication
relation.isAuthorOfPublication1801f9f2-5927-4817-a82f-3baa664d18e1
relation.isAuthorOfPublication5caf1cb0-3213-4235-ae2e-9dfe4bea1889
relation.isAuthorOfPublication99559728-2011-4a2f-a766-4641487e2152
relation.isAuthorOfPublication.latestForDiscovery1801f9f2-5927-4817-a82f-3baa664d18e1
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