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| DOI | 10.1016/j.iref.2024.01.011 |
| Risk premiums from temperature trends | |
| Gregory, Richard P. | |
| 发表日期 | 2024 |
| ISSN | 1059-0560 |
| EISSN | 1873-8036 |
| 起始页码 | 91 |
| 卷号 | 91 |
| 英文摘要 | Previous estimates of temperature shock risk premiums in the stock market have been biased by the use of the Fama-MacBeth estimator, the use of monthly portfolios, and the neglect that temperature time-series can exhibit both short- and -long-term components. From the previous literature, we know that temperature shocks can increase equity premiums through a number of channels. I use the Jegadeesh et al. (2019) EIV estimation method and daily individual stock returns from the NYSE, ASE and NASDAQ from July 1, 1963 to Dec. 31, 2020, to correct for the estimation bias, and I divide the temperature series into long- and short -term components. I also control for productivity shocks, non-linearity and macroeconomic variables. I find that the US Short-Term, US Long-Term and the World Long-Term Temperature factors are significantly priced by the market at less than the 1% level. Together, these three components are estimated to raise the cost of equity in the United States by 3.1% per year, higher than previous estimates. |
| 英文关键词 | Risk premium estimation; Temperature shocks; Instrumental variables; Individual stocks; Asset pricing models |
| 语种 | 英语 |
| WOS研究方向 | Business & Economics |
| WOS类目 | Business, Finance ; Economics |
| WOS记录号 | WOS:001176004500001 |
| 来源期刊 | INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
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| 文献类型 | 期刊论文 |
| 条目标识符 | http://gcip.llas.ac.cn/handle/2XKMVOVA/293574 |
| 作者单位 | East Tennessee State University |
| 推荐引用方式 GB/T 7714 | Gregory, Richard P.. Risk premiums from temperature trends[J],2024,91. |
| APA | Gregory, Richard P..(2024).Risk premiums from temperature trends.INTERNATIONAL REVIEW OF ECONOMICS & FINANCE,91. |
| MLA | Gregory, Richard P.."Risk premiums from temperature trends".INTERNATIONAL REVIEW OF ECONOMICS & FINANCE 91(2024). |
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