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A modelling framework for equity portfolio projections under different carbon price scenarios
16 references·0 citing·37 second hopsampled
A modelling framework for equity portfolio projections under different carbon price scenarios (2022)A modelling framework for equity portfoli…Global Pricing of Carbon‐Transition Risk (2023)Global Pricing of Carbon‐Tran…Dissecting green returns (2022)Dissecting green returnsSustainable investing in equilibrium (2020)Sustainable investing in equi…Resiliency of Environmental and Social Stocks: An Analysis of the Exogenous COVID-19 Market Crash (2020)Resiliency of Environmental a…Do Investors Care about Carbon Risk? (2019)Do Investors Care about Carbo…A Climate Stress-Test of the Financial System (2016)A Climate Stress-Test of the …A five-factor asset pricing model (2014)A five-factor asset pricing m…Large Bayesian vector auto regressions (2009)Large Bayesian vector auto re…Dissecting Anomalies (2007)Dissecting AnomaliesWhat are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)What are the effects of monet…Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Measuring the Effects of Mone…Financial Constraints and Stock Returns (2001)Financial Constraints and Sto…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Automatic Lag Selection in Covariance Matrix Estimation (1994)Automatic Lag Selection in Co…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Forecasting and conditional projection using realistic prior distributions (1984)Forecasting and conditional p…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)Econometric policy evaluation: A critique (1976)Macroeconomics and Reality (1980)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Understanding the Effects of Government Spending on Consumption (2007)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2013)Macroeconomic Shocks and Their Propagation (2016)Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)The Quarterly Journal of Economics (2024)Corporate Governance and Equity Prices (2003)Liquidity Risk and Expected Stock Returns (2003)Adoption of CSR and Sustainability Reporting Standards: Economic Analysis and Review (2019)Investment and Asset Pricing with ESG Disagreement (2020)Firm‐Level Climate Change Exposure (2023)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)The Importance of Climate Risks for Institutional Investors (2019)Firms and social responsibility: A review of ESG and CSR research in corporate finance (2021)MONEY, INCOME, AND CAUSALITY (1972)Generalized autoregressive conditional heteroskedasticity (1986)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Testing for Error Correction in Panel Data* (2007)Multifactor Explanations of Asset Pricing Anomalies (1996)Financial Constraints Risk (2006)Does Corporate Social Responsibility Affect the Cost of Capital? (2010)Corporate social responsibility and access to finance (2013)Editor's Choice Digesting Anomalies: An Investment ApproachDigesting Anomalies: An Investment Approach (2012)Empirical Asset Pricing via Machine Learning (2020)Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis (2016)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 2014A five-factor asset pricing model8,065 cited
  • 2019Do Investors Care about Carbon Risk?3,593 cited
  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 2020Sustainable investing in equilibrium2,395 cited
  • 2005What are the effects of monetary policy on output? Results from an agnostic identification procedure2,303 cited
  • 2005Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach1,986 cited
  • 2007Dissecting Anomalies1,573 cited
  • 2001Financial Constraints and Stock Returns1,409 cited
  • 2020Resiliency of Environmental and Social Stocks: An Analysis of the Exogenous COVID-19 Market Crash1,387 cited
  • 2016A Climate Stress-Test of the Financial System1,317 cited
  • 2009Large Bayesian vector auto regressions1,211 cited
  • 1984Forecasting and conditional projection using realistic prior distributions1,203 cited
  • 2022Dissecting green returns1,168 cited
  • 2023

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Global Pricing of Carbon‐Transition Risk
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