Date: Friday, 12 November 2021
Time: 9:30-11am EST; 2:30-4pm GMT; 3:30-5pm CET; 10:30-12am HKT
The PRI Academic Seminar Series invites leading ESG experts to present their research to academic scholars and investors.
The aim of the series is to:
- give world thought leaders in responsible investing the opportunity to present their work and obtain valuable feedback
- provide an opportunity to junior scholars to network with the speaker and obtain career advice
- be more inclusive and strengthen our global PRI Academic Network community throughout the year
Each session will consist of two parts:
- Part 1: Presentation (60min interactive seminar) – open to all
- Part 2: Network opportunity and career advice for junior scholars with speaker (30min) – open to PhD students and junior faculty
Please note that this seminar session will not be available on-demand.
Join us on Friday, 12 November to hear from:
David S. Loeb Professor of Finance
NBER Research Associate
CEPR Research Affiliate
New York University
Read Johannes Stroebel’ bio
Paper: A quantity-based approach to constructing climate risk hedge portfolios
Abstract: We propose a new methodology to build portfolios that hedge climate change risks. Our quantity-based approach explores how mutual funds holdings change when the fund adviser experiences a local extreme heat event that shifts beliefs about climate risks. We use the observed trading behavior to predict how investors will reallocate their capital when “global’’ climate news shocks occur, which shift the beliefs and asset demands of many investors simultaneously and thus move equilibrium prices. We show that a portfolio that holds stocks that investors tend to buy after experiencing a local heat shock appreciates in value in periods with aggregate climate news shocks. Our quantity-based approach yields superior out-of-sample hedging performance compared to traditional methods of identifying hedge portfolios. The key advantage of the quantity-based approach is that it learns from cross-sectional trading responses rather than time-series price information, which is limited in the case of climate risks. We also demonstrate the efficacy and versatility of the quantity-based approach by constructing successful hedge portfolios for unemployment and house price risk.
Register for the other Academic Seminars in the 2021-22 series here:
- 28 January: Marcin Kacperczyk (Imperial College)
- 18 February: Dragon Tang (Hong Kong University)
- 11 March: Ane Tamayo (London School of Economics)
- 1 April: Christian Leuz (University of Chicago)
- 6 May: Witold J. Henisz (University of Pennsylvania)
Seminar series organiser and moderator 2021 - 2022: Caroline Flammer
Associate Professor and Dean’s Research Scholar, Boston University; Visiting Professor of International and Public Affairs, Columbia University
Please note that seminars will not be recorded to allow for more open discussions.
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