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dc.contributor.advisorLeirvik, Thomas
dc.contributor.authorParschat, Morten
dc.contributor.authorSchive, Petter
dc.date.accessioned2022-10-19T05:36:22Z
dc.date.available2022-10-19T05:36:22Z
dc.date.issued2022-06-01en
dc.description.abstractIn this paper we investigate whether firms’ climate change risk disclosures affect the cross-section of US stock returns. We use a dataset constructed by an Artificial Intelligence (AI) algorithm, fine-tuned by Kölbel et al. (2021b), to classify climate change risk disclosures into Physical and Transitional risks. We find that after the Paris Agreement the disclosure of physical risk is associated with a significant positive risk premium. This premium is consistent and not explained by industry variation or other well-known risk factors. We find no consistent premium related to the disclosures of transitional risk. Our results suggests that investors attention towards the disclosures of physical climate change risk increased after the Paris Agreement. Overall, we find that investors view the disclosures of physical climate change risk as informative and risk revealing.en_US
dc.identifier.urihttps://hdl.handle.net/10037/27072
dc.language.isoengen_US
dc.publisherUiT Norges arktiske universitetno
dc.publisherUiT The Arctic University of Norwayen
dc.rights.holderCopyright 2022 The Author(s)
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0en_US
dc.rightsAttribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0)en_US
dc.subject.courseIDBED-3901
dc.subjectVDP::Samfunnsvitenskap: 200::Økonomi: 210::Bedriftsøkonomi: 213en_US
dc.subjectVDP::Social science: 200::Economics: 210::Business: 213en_US
dc.titleDo investors care about disclosed climate change risk?en_US
dc.typeMaster thesisen
dc.typeMastergradsoppgaveno


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Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0)
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0)