The extreme temperature factor in asset pricing models: Evidence from Europe
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 tha...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2024 |
| País: | España |
| Institución: | Universidad Nacional de Educación a Distancia |
| Repositorio: | e-spacio. Repositorio Institucional de la UNED |
| Idioma: | inglés |
| OAI Identifier: | oai:e-spacio.uned.es:20.500.14468/22619 |
| Acceso en línea: | https://hdl.handle.net/20.500.14468/22619 |
| Access Level: | acceso abierto |
| Palabra clave: | 53 Ciencias Económicas asset pricing model multifactor model temperature factor temperature shocks |
| Sumario: | 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. |
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