Annual Conference

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Sustainable and Green Finance

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May 2023

Climate Change Salience and International Equity Returns

David PARSLEY, Helen POPPER
In this study, we examine climate change salience risk in international equity markets. We find that (1) exposure to a single, broad measure of climate change salience risk is pervasive; notably it arises regardless of firms’ greenhouse gas emissions, (2) the exposure is priced: a return discount ...
Keywords: Climate change risk, climate change salience, climate finance, carbon risk, global warming, climate beta, international financial markets, global equity markets
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Annual Conference

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Sustainable and Green Finance

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May 2023

The term structure of carbon premia

Dora XIA, Omar ZULAICA
This paper explores a carbon premium – the extra yield investors demand to buy bonds issued by firms with more greenhouse gas emissions – in the US corporate bond market. We analyse a carbon premium along two channels, via panel regression. One is the preference channel, under which the premium ...
Keywords: climate change, carbon emissions, corporate bond spread, term structure
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Annual Conference

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Household Finance

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May 2023

A Housing Portfolio Channel of QE Transmission

Dominik BODDIN, Daniel Marcel TE KAAT, Chang MA, Alessandro REBUCCI
We document and quantify a housing portfolio channel of quantitative easing (QE) transmission. We identify this channel using household-level and regional data from Germany. We show that QE induces households with larger initial bond holdings to rebalance more their portfolios toward housing and par...
Keywords: Asset Market Segmentation, Buy-to-let, Germany, Housing Returns, Household Portfolio Rebalancing, Quantitative Easing, Rental Yields.
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Annual Conference

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Household Finance, Senior Fellows/Fellows

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May 2023

How Costly Are Cultural Biases? Evidence from FinTech

Francesco DACUNTO, Pulak GHOSH, Rajiv JAIN, Alberto G. ROSSI
We propose a revealed-preferences approach to assess the costs of cultural biases faced by discriminators by comparing peer-to-peer loans the same lenders make alone and after observing suggestions by an automated robo-advisor in India. Discrimination across religions and against low-caste borrowers...
Keywords: Trust, Social Capital, Discrimination, Cultural Norms, Subjective Expectations, Robo-Advising, FinTech, Inter-ethnic Conflict, Social Conditioning, Religion, Caste.
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Annual Conference

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Household Finance

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May 2023

Countercyclical Income Risk and Portfolio Choices: Evidence from Sweden

Sylvain CATHERINE, Paolo SODINI, Yapei ZHANG
Using Swedish administrative panel data, we document that workers facing higher left-tail income risk when equity markets perform poorly are less likely to participate in the stock market and, conditional on participation, have lower equity shares. In line with theory, the relationship between cycli...
Keywords: Household finance, Asset pricing, Disaster risk, Labor income risk, Portfolio choices
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