The impact of climate change events on asset classes: an empirical analysis to extract a climate change risk premium

Cirino, Giorgia (A.A. 2020/2021) The impact of climate change events on asset classes: an empirical analysis to extract a climate change risk premium. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Paolo Porchia, pp. 47. [Master's Degree Thesis]

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Abstract/Index

Climate change. The importance of climate change today. The causes of climate change: the greenHouse gas (GHG) effects. The consequences of the greenhouse effect. The economic effect of climate change events. Climate scenarios: what can happen from different angles. The decarbonisation process in Italy. The economic effects of climate. The economic effects of climate. Analysis of the economic impact of climate change. The impact of climate change on financial system. Climate change and responsible investment. SRI investments. ESG factors and materiality maps of SASB. ESG rating. Rating agencies. The use of ratings in asset allocation. Empirical analysis on climate change effects. Event study on climate change effects. Sample construction. Sample description. Empirical methodology for the event study. Empirical evidence for the event study. Empirical analysis on “environment” score. Analysis of the effect of ESG score on excess return. Empirical methodology. Empirical evidence for the regressions.

References

Bibliografia: pp. 117-128. Sitografia: pp. 129-131.

Thesis Type: Master's Degree Thesis
Institution: Luiss Guido Carli
Degree Program: Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77)
Chair: Asset pricing
Thesis Supervisor: Porchia, Paolo
Thesis Co-Supervisor: Traficante, Guido
Academic Year: 2020/2021
Session: Summer
Deposited by: Alessandro Perfetti
Date Deposited: 15 Dec 2021 11:35
Last Modified: 15 Dec 2021 11:35
URI: https://tesi.luiss.it/id/eprint/30941

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