Climate risk and the idiosyncratic volatility puzzle

被引：2
作者：
Perera, Kasun [1 ]
Kuruppuarachchi, Duminda [1 ]
Kumarasinghe, Sriyalatha [1 ]
Suleman, Muhammad Tahir [1 ]
机构：
[1] Univ Otago, Dept Accountancy & Finance, Dunedin, New Zealand
来源：
APPLIED ECONOMICS | 2025年 / 57卷 / 27期
关键词：
Idiosyncratic volatility; carbon disclosure; carbon emissions intensity; climate risk; cross-sectional stock returns; G11; G12; Q20; SHORT-SALE CONSTRAINTS; CROSS-SECTION; INVESTOR ATTENTION; CARBON EMISSIONS; STOCK RETURNS; MARKET; PERFORMANCE; EQUILIBRIUM; EXPOSURE; HORIZON;
D O I：
10.1080/00036846.2024.2337816
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Our study offers intriguing evidence on the much-debated idiosyncratic volatility (IdVol) puzzle from a climate risk perspective. Using a set of US-listed stocks from July 2010 to December 2019, our robust portfolio- and stock-level results reveal that the IdVol puzzle exists in both carbon-footprint-disclosing and non-disclosing stocks. Furthermore, investors do not perceive a significant difference in the IdVol puzzle between carbon-footprint-disclosing and non-disclosing stocks. However, the IdVol puzzle is concentrated in high-carbon-intensive stocks as far as those carbon-footprint-disclosing stocks are concerned, implying the combined effect of investor attention and ethical screening of stocks. Overall, our results substantiate the specific impact of climate-related risks on asset pricing decisions.
引用
收藏
页码：3689 / 3708
页数：20
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