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Florian Weigert
Former Member
Title
Prof. Dr.
Last Name
Weigert
First name
Florian
Phone
+41 71 224 7014
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1 - 5 of 5
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PublicationExtreme Weather Risk and the Cost of Equity( 2023-09)We examine if extreme weather exposure impacts firms’ cost of equity. Motivated by a consumption-based asset pricing model with heterogeneous agents, we reveal the exis- tence of an extreme weather risk premium in the cross-section of stock returns. In the period from 1995 to 2019, domestic U.S. stocks with the most negative sensitivity to thunderstorm losses earned excess returns of 6.5% p.a. over those with the most posi- tive sensitivity. This premium can neither be explained by risk factors from standard asset pricing models nor by firm characteristics. Our results reveal a novel link between climate risk and firm value.Type: conference paper
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PublicationType: conference paper
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PublicationType: conference paper
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PublicationType: conference paper
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PublicationType: newspaper articleJournal: I.VW Management-InformationIssue: 1