Extreme‐weather risk and the cross‐section of stock returns
研究了1995至2019年间美国国内公司股票对风暴损失的敏感性与回报的关系，发现敏感度最负的公司比最正的公司年超额回报高6个百分点，且该溢价未被标准因子解释。
Abstract We document an extreme‐weather risk premium in the cross‐section of stock returns. Between 1995 and 2019, stocks of domestic U.S. firms with the most negative sensitivity to aggregate storm losses earned an annual excess‐return spread of more than 6 percentage points relative to those with the most positive sensitivity, a difference not explained by standard factors. Fama‐MacBeth regressions confirm that more negative storm‐risk betas predict higher subsequent returns. The premium concentrates in geographically exposed and historically affected firms and in institutionally held stocks, consistent with fundamental‐risk and salience channels. Our results establish a link between physical climate risk, the cost of equity, and ultimately firm value.