@techreport{badd7ba16d974721836b28f92602cc2e,
title = "Transition Versus Physical Climate Risk Pricing in European Financial Markets: A Text-Based Approach",
abstract = "This paper studies the pricing of climate-risks in European equity markets. Using text-analysis, we construct two novel physical and transition risk indicators for the period 2005-2021. Our results document the emergence of economically significant transition and physical risk premia post-2015. We investigate which information investors use as a gauge for firms{\textquoteright} exposure to climate-risks running a firm-level analysis, using firms{\textquoteright} GHG emissions, environmental, and ESG scores, and a sectoral-analysis. While firm-level information appears to be used as a proxy for firms{\textquoteright} climate-risks exposure, especially for transition risk since 2015, the sectoral classification appears to proxy firms{\textquoteright} exposures to physical risk.",
keywords = "climate risk premia, transition risk, physical risk, text analysis",
author = "Giovanna Bua and Daniel Kapp and Federico Ramella and Lavinia Rognone",
year = "2022",
month = jan,
day = "25",
doi = "10.2139/ssrn.3860234",
language = "English",
series = "ECB Working Paper",
number = "2677",
type = "WorkingPaper",
}