Abstract In this article, we study the transition risk spillover among six major financial markets from 2013 to 2021. The USA is main contributor, while Japan and China are net receivers. Risk may change over time according different types of shocks. It takes around 6 weeks for risks be fairly transmitted. On average, 50% local climate shocks a given market originate other markets. Transmission channels include transmission information economic connections between countries.

This paper studies the ESG impact to downside risk of companies in US market by introducing a novel measure, contribution (1CoESGRisk). 1CoESGRisk is measurement based on co-movement between factor and risk. When there sudden increase factor, highESG reduced. However, under extreme conditions, could also be increased, due increased volatility. The positively correlated with performance size, it varies among sectors.

The paper discusses how to better construct ESG risk factors. It constructs and compares the environmental social factor using different methods, categories sets of data. In terms first E/S factors under two most commonly used construction methods: Fama/French (FF) Fama/MacBeth (FM) method. Then, it tests these in asset pricing models. addition, four kinds Finally, if a change data helps identify finds that FF method performs than FM capturing premiums. category are more important methods. A...

We propose a new risk budgeting framework to measure the ESG systematic impact in financial market. Empirical analysis on European stock market from 2013 2022 reveals limited evidence of overall impacts. However, we find significant impacts specific sector/ESG groups and during periods extreme events. Notably, actively pursuing exposure can result substantial risk-return trade-offs. These are also influenced by measurement errors score. findings point out complexities including elements...

We study whether the Artificial Intelligence (AI) adoption is priced in crosssection of US stocks. Firms with a higher level AI exhibit stock returns. A one-standard deviation increase indicates an 18 basis-point expected monthly several economic channels. The positive premium related to slow realization early investments and digital benefits. It influenced by shifting investor perceptions technology. associated market attention technological risk. varies across sectors.

This paper studies the ESG impact to downside risk of companies in US market by introducing a novel measure, contribution (ΔCoESGRisk). ΔCoESGRisk is measurement based on co-movement between factor and risk. When there sudden increase factor, high-ESG reduced. However, under extreme conditions, could also be increased, due increased company volatility. The positively correlated with performance size, it varies among sectors.

Recent empirical studies show that ESG sentiment, the attitude of investors toward a company's performance, is major factor affects stock performance. While investing in could bring potential risk deduction benefits, changing sentiments market will lead to additional price movements and thus create risk. Therefore, it important measure how sentiment profile an investment. This paper impact downside companies US using contribution (△ESGSenRisk), measurement based on co-movement between We...

We apply a non-linear setting in capturing ESG factors. The factor captures the pricing of cross-section distribution scores. find that factors for ESG, E, and S scores deviate from linearity. extent deviation depends on type as well sample period. also evidence interacting with climate sentiment when affecting A change data provider will factor. However, non-linearity still exists using common different providers.

Climate transition risk, the generated from to a low-carbon economy due changing policies, can have cross-border impacts. In this paper, we study risk spillover among six major financial markets globally 2013 2021. We evidence spillover. find that Canada and US are main transmitters, Europe Japan receivers of risk. Such role transmission could change over time according different types shocks. It takes around three weeks for be fairly transmitted. On average, 40% – 50% local climate shocks...