We provide first-time evidence on whether market-wide physical or transition climate
risks are priced in U.S. stocks. Textual and narrative analysis of Reuters climate-change
news over 2000-2018, uncovers four novel risk factors related to natural disasters, global
warming, international summits, and U.S. climate policy, respectively. Only the climate-
policy factor is priced, especially post-2012. The documented risk premium is consistent
with investors hedging the imminent transition risks from government intervention, rather
than the direct risks from climate change itself. Firms that are most exposed to transition
risks tend to be polluting businesses which show no strong intention of becoming greener.
Zoom link: https://zoom.us/j/97374751400?pwd=UjZ4cUVaSXZ2bnZUT1BNSVhySFlDQT09
