Blind to carbon risk? An analysis of stock market reaction to the Paris Agreement
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DOI: 10.1016/j.ecolecon.2019.106571
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More about this item
Keywords
Asset pricing; Paris Agreement announcement; Low-carbon indices; Carbon-intensive indices; Systematic risk; Markowitz's portfolio optimization; Market model; Fama-French five-factor model; Risk-adjusted return; Stranded assets;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming
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