Hedging Climate Change News
提出一种动态对冲气候变化风险的方法，通过报纸文本分析构建气候新闻序列，并利用模仿投资组合构建对冲组合，使用第三方ESG评分来建模企业气候风险暴露，样本内外均表现良好。
Abstract We propose and implement a procedure to dynamically hedge climate change risk. We extract innovations from climate news series that we construct through textual analysis of newspapers. We then use a mimicking portfolio approach to build climate change hedge portfolios. We discipline the exercise by using third-party ESG scores of firms to model their climate risk exposures. We show that this approach yields parsimonious and industry-balanced portfolios that perform well in hedging innovations in climate news both in sample and out of sample. We discuss multiple directions for future research on financial approaches to managing climate risk.