A0841
Title: Stock market responses to climate risks: Sectoral-level evidence from the U.S.
Authors: Rogemar Mamon - University of Western Ontario (Canada) [presenting]
Abstract: Using a data set for all companies forming the S\&P 500 index, the stock price responses to acute physical risks are investigated, chronic physical risks, and transition risks. The findings reveal that certain sectors are more vulnerable to climate risks, whereas others appear to be relatively unaffected. In addition, results show that listed firms with poor environmental performance scores are more exposed to climate risk, as indicated by their stock returns being negatively affected, compared to firms with higher environmental performance scores. This suggests that improving environmental performance may help companies to better cope with climate risks and improve their financial performances. The analysis provides evidence that the short-term systematic risk is more vulnerable to climate risk events, whereas effects on long-term systematic risk do not appear to be statistically significant. These findings indicate that investors and firms should pay particular attention to short-term systematic risk when considering the potential impact of climate risk on stock market performances.
