Conference Agenda
Overview and details of the sessions of this conference. Please select a date or location to show only sessions at that day or location. Please select a single session for detailed view (with abstracts and downloads if available).
Please note that all times are shown in the time zone of the conference. The current conference time is: 24th Aug 2026, 01:51:54am WEST
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Daily Overview |
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Climate Policy 5 Location: B127 Session Chair: Fangzhi Wang, City University of Macau | |
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TCaRE: A Dynamic Tail-Beta Approach to Measuring Climate Transition Risk Exposure 1: Universidad de Castilla-La Mancha, Spain; 2: Universidad Complutense de Madrid, Spain This paper introduces the Tail Climate Transition Risk Exposure (TCaRE) measure, designed to evaluate the dynamic exposure of industry portfolios to climate transition risk (CTR). TCaRE is intended to capture the time-varying fluctuations in a firm's stock returns amidst changes in CTR due to the high level of uncertainty surrounding climate-related policies. The analysis is structured within a multi-factor pricing model and a dynamic tail-beta estimator, permitting the exploration of returns of 58 US industries and the EU-ETS carbon allowance market from 2009 to 2023. CTR presents a significant challenge for firms making the transition to a low-carbon economy. Our results highlight that both firm-specific characteristics and broader market trends affect CTR. Industry dynamics, climate events, and additional external factors such as market volatility and policy uncertainty contribute to the complexity of TCaRE. We also discover that TCaRE is priced by the market in a complex and non-linear way, with factors like carbon reduction efforts, focus on climate change, and the coronavirus disease 2019 pandemic influencing this price. Our study's findings are crucial for better understanding different industries' exposure to CTR - a key concern for policymakers and investors. | |