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FLM Research Zied Ftiti, September 20th 2024

20 September @ 12h30 - 14h00

Speaker: Zied Ftiti,Associate Dean of Research and the Head of the Research Center (OCRE), professor of Economics and Finance at EDC Paris Business School.

Title: Perceived Climate Risk And Stock Prices: An Empirical Analysis Of Pricing Effects

Abstract: Increasing awareness of climate change and its potential consequences on financial markets has led to interest in the impact of climate risk on stock returns and portfolio composition, but few studies have focused on perceived climate risk pricing. This study is the first to introduce perceived climate risk as an additional factor in asset pricing models. The perceived climate risk is measured based on the climate change sentiment of Twitter dataset with 16 million unique tweets in the years 2010–2019. One of the main advantages of our proxy is that it allows us to capture both physical and transition climate risks. Our results show that perceived climate risk is priced into S&P 500 Index stock returns and is robust when different asset-pricing models are used. Our findings have implications for market participants, as understanding the relationship between perceived climate risk and asset prices is crucial for investors seeking to navigate the financial implications of climate change, and for policymakers aiming to promote sustainable financing and mitigate the potential damaging effects of climate risk on financial markets, and a pricing model that accurately incorporates perceived climate risk can facilitate this understanding.

Practical informations : Our Friday Lunch Meeting will take place from 12.30 to 2.00 pm

FLMs are held in a face-to-face format in the seminar room on the 4th floor of the Palais Brongniart, 28 Place de la Bourse, 75002 Paris.

Please note that places are limited, so registration is compulsory.

To participate we invite you to register here

To receive invitations to the FLM, present your works or unsubscribe from the mailing list, do not hesitate to contact this address: flm@ChaireEconomieduClimat.org

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