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Carbon Tail Risk
Open accessAbstract
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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“Ilhan, Sautner, and Vilkov (2021) show that for equities, the cost of option protection against downside tail risk is larger for firms with greater carbon intensity.”
From Presidential Address: Sustainable Finance and ESG Issues— Value versus Values (2023) · cites this paper as Ilhan, Sautner, and Vilkov (2021)
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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
- 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
- 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
- green
- doi.org
- 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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