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Cited by 1,136Climate Change Policy and EconomicsSustainable Finance and Green BondsStochastic processes and financial applications

The DOI matches its Crossref record; 55 of the 59 references it cites were found in a registry or an index.

Carbon Tail Risk

Open access
Ilhan, Emirhan, Sautner, Zacharias, Vilkov, Grigory·2021·The Review of Financial Studies
DOI 10.1093/rfs/hhaa071
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Abstract

Strong regulatory actions are needed to combat climate change, but climate policy uncertainty makes it difficult for investors to quantify the impact of future climate regulation. We show that such uncertainty is priced in the option market. The cost of option protection against downside tail risks is larger for firms with more carbon-intense business models. For carbon-intense firms, the cost of protection against downside tail risk is magnified at times when the public’s attention to climate change spikes, and it decreased after the election of climate change skeptic President Trump.

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Crossref · 10.1093/rfs/hhaa071

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55 of 55 references verified0 citation errors · 0 not checkable

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Citations

Cites

Show all 59 references

Research works printed but not linked: 8

  1. Cont,, 2004, Financial modelling with jumps
  2. Delis,, 2020, Being stranded on fossil reserves? Climate policy risk and the pricing of bank loans
  3. 2019, Carbon pricing: Heavy weather
  4. Görgen,, 2020, Carbon risk
  5. 2018, Intergovernmental Panel on Climate Change, Special report: Global warming of 1.5° C
  6. Litterman,, 2016, Climate risk: Tail risk and the price of carbon emissions—Answers to the risk management puzzle
  7. Ramelli,, 2020, Stock price rewards to climate saints and sinners: Evidence from the Trump Election
  8. Trump,, 2012, The concept of global warming was created by and for the Chinese in order to make U.S

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Metadata

Authors
Ilhan, E., Sautner, Z., & Vilkov, G.
Affiliations
  • University of Zurich (CH)
  • Frankfurt School of Finance & Management (DE)
Corresponding author
Sautner, Zacharias
ORCID
Venue
The Review of Financial Studies
Publisher
Oxford University Press (OUP)
Published
2020-06-27
Volume
34
Issue
3
Pages
1540-1571
ISSN
  • 0893-9454 (ISSN-L)
  • 1465-7368
DOI
10.1093/rfs/hhaa071
OpenAlex
W3121471843
Cited by
1,136
References
59
Citations by year
2026: 292 · 2025: 279 · 2024: 202 · 2023: 152 · 2022: 105 · 2021: 58 · 2020: 28
FWCI
39.53
Type
journal article
Language
en
Open access
Licence
academic.oup.com/journals/pages/open_access/funder_policies/chorus/standard_publication_model (vor)
Locations
  • Review of Financial Studies (publishedVersion)
  • SSRN Electronic Journal (publishedVersion)
  • Zurich Open Repository and Archive (University of Zurich) (acceptedVersion, other-oa)
  • RePEc: Research Papers in Economics (submittedVersion)
  • Zurich Open Repository and Archive (University of Zurich) (submittedVersion, other-oa)
  • Zurich Open Repository and Archive (University of Zurich)
Topics
  • Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Climate Change Policy and Economics
  • Social Sciences › Economics, Econometrics and Finance › Finance › Sustainable Finance and Green Bonds
  • Social Sciences › Economics, Econometrics and Finance › Finance › Stochastic processes and financial applications
Keywords
climate policy uncertainty, carbon-intensive firms, options market, downside risk protection, climate change skepticism, Trump administration, carbon pricing

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