The DOI matches its Crossref record; 11 of the 11 references it cites were found in a registry or an index.
Hedging Climate Risk
Open accessAbstract
We present a simple dynamic investment strategy that allows long-term passive investors to hedge climate risk without sacrificing financial returns. We illustrate how the tracking error can be virtually eliminated even for a low-carbon index with 50% less carbon footprint than its benchmark. By investing in such a decarbonized index, investors in effect are holding a “free option on carbon.” As long as climate change mitigation actions are pending, the low-carbon index obtains the same return as the benchmark index; but once carbon dioxide emissions are priced, or expected to be priced, the low-carbon index should start to outperform the benchmark.
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“Approaches used in this field include: natural language processing techniques for identifying climate risks and investment opportunities in disclosures made by companies [254,442,498,752] as well as for analyzing the evolution of climate coverage in the media to dynamically hedge climate change risk [221]; econometric approaches for developing arbitrage strategies that take advantage of the carbon”
From Tackling climate change with machine learning (2023) · cites this paper as [26]
Citations
Cites
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Corporate Sustainability: First Evidence on MaterialityPreprint
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How Large Are Global Energy Subsidies?
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Flagged first, then by citations
Research works printed but not linked: 2
- Banerjee A., 2010, Journal of Environmental Investing, 1, 29
- IPCC, 2014, Contribution of Working Groups I, II, and III to the Fifth Assessment Report of the Intergovernmental Panel on Climate Change
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Sorted by citations
Do Investors Care about Carbon Risk?
Bolton, P., & Kacperczyk, M. (2021) · Journal of Financial Economics · doi:10.1016/j.jfineco.2021.05.008 · Cited by 3,380
Self-citationThe Importance of Climate Risks for Institutional Investors
Krueger, P., Sautner, Z., & Starks, L. T. (2020) · The Review of Financial Studies · doi:10.1093/rfs/hhz137 · Cited by 3,034
Engle, R. F., Giglio, S., Kelly, B., Lee, H., & Stroebel, J. (2020) · The Review of Financial Studies · doi:10.1093/rfs/hhz072 · Cited by 1,489
Firm‐Level Climate Change Exposure
Sautner, Z., van Lent, L., Vilkov, G., & ZHANG, R. (2023) · The Journal of Finance · doi:10.1111/jofi.13219 · Cited by 1,425
The impact of climate risk on firm performance and financing choices: An international comparison
Huang, H. H., Kerstein, J., & Wang, C. (2017) · Journal of International Business Studies · doi:10.1057/s41267-017-0125-5 · Cited by 785
Metadata
- Authors
- Andersson, M., Bolton, P., & Samama, F.
- Affiliations
- Mats Andersson is CEO of AP4, Stockholm.
- National Bureau of Economic Research (US)
- Institut d'Etudes Politiques de Paris (FR)
- Corresponding author
- Bolton, Patrick
- Venue
- Financial Analysts Journal
- Publisher
- Informa UK Limited
- Published
- 2016-05
- Volume
- 72
- Issue
- 3
- Pages
- 13-32
- ISSN
- 0015-198X (ISSN-L)
- 1938-3312
- OpenAlex
- W2337695238
- Cited by
- 434
- References
- 11
- Citations by year
- 2026: 35 · 2025: 72 · 2024: 67 · 2023: 55 · 2022: 53 · 2021: 51 · 2020: 30 · 2019: 33 · 2018: 19 · 2017: 8 · 2016: 11
- FWCI
- 11.59
- Type
- journal article
- Language
- en
- Open access
- green
- doi.org
- Locations
- Financial Analysts Journal (publishedVersion)
- SSRN Electronic Journal (publishedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- Topics
- Social Sciences › Economics, Econometrics and Finance › Finance › Sustainable Finance and Green Bonds
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Climate Change Policy and Economics
- Keywords
- dynamic investment strategies, tracking error, carbon pricing, CO2 emissions, passive investing, climate change mitigation
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