The green bond market develops rapidly and aims to contribute to climate mitigation and adaptation significantly. Green bonds as any asset are subject to transition climate risk, namely, regulatory risk. This paper investigates the impact of unexpected political events on the risk and returns of...

We investigate the relationship between hybrid tail covariance risk (HTCR) and expected return over the last four decades. Despite a significant positive HTCR-expected return relationship in Bali et al. (2014), we find that this relationship is not significant at least during average market...

Using a data set on climate risk constructed by Google BERT (AI) algorithm, fine-tuned by Kölbel et al. (2022), we demonstrate that physical climate risk is materialized in US stock markets. This premium is positive, both statistically and economically significant (1.5% to 2.7% annually),...