Corvatta, Clara (A.A. 2022/2023) Impact of climate tail risk on US energy companies’ stock returns. Tesi di Laurea in Advanced corporate finance, Luiss Guido Carli, relatore Pierluigi Murro, pp. 58. [Master's Degree Thesis]

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Abstract/Index

Literature review & hypothesis development. Climate change and its impact on global economy. Industry exposure to climate-related risk factors: brown and green energy sector. Extreme value analysis. Asset pricing models. Data & methodology. The construction of the climate tail risk factor. Climate tail risk predictive power. Climate tail risk and cross section of expected returns. Results. Time-varying climate tail risk factor. Time-varying climate tail risk predictive power. Climate tail risk and the cross-section of expected returns: a climate new asset pricing factor. Discussion. Climate change & time-varying climate tail risk factor. Time-varying climate tail risk predictive power and its effect on US energy stocks. Climate tail risk and the cross-section of expected returns: a climate new asset pricing factor. Alternative climate-related measures.

References

Bibliografia: pp. 43-49.

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:	Advanced corporate finance
Thesis Supervisor:	Murro, Pierluigi
Thesis Co-Supervisor:	Altieri, Michela
Academic Year:	2022/2023
Session:	Autumn
Deposited by:	Alessandro Perfetti
Date Deposited:	27 Jun 2024 10:36
Last Modified:	27 Jun 2024 10:36
URI:	https://tesi.luiss.it/id/eprint/39135

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