Carbon Tail Risk
研究发现，气候政策不确定性在期权市场中定价，碳密集型企业对冲下行尾部风险的成本更高，且该成本在公众关注气候变化加剧时上升，在特朗普当选后下降。
Abstract 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.