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Climate change news risk and corporate bond returns in China

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  • Liu, Hao
  • Lin, Chuyin

Abstract

By constructing a climate change news index based on the textual analysis of newspapers and estimations of the covariance of bond returns, this paper investigates whether climate change news risk is “priced in” in Chinese corporate bonds. We find that bonds with a higher climate change news beta are associated with lower future returns. Moreover, the low climate change news beta premium originates from the transition news beta. Additionally, the low climate change news beta premium is more obvious during times of heightened climate change news risk, which is consistent with the asset pricing theory of intertemporal hedging demand.

Suggested Citation

  • Liu, Hao & Lin, Chuyin, 2023. "Climate change news risk and corporate bond returns in China," Finance Research Letters, Elsevier, vol. 58(PC).
    • Handle: RePEc:eee:finlet:v:58:y:2023:i:pc:s154461232300898x
    DOI: 10.1016/j.frl.2023.104526
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    Cited by:

    1. Xu, Weidong & Huang, Wenxuan & Li, Donghui, 2024. "Climate risk and investment efficiency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 92(C).

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