题 目：Dissecting climate change concern and stock market instability

主讲人：马锋 副教授 博士研究生导师

时 间：2023年4月25日（星期二）9:00—11:00

地 点：腾讯会议 ID：200-327-280

内 容：We propose an aggregate climate change concern index based on several indices from individual sources. In this paper, we define concern as attention to the risk of climate change and the negative consequences associated with that risk. Our results indicate that the aggregate climate change concern index has strong in-sample and out-of-sample predictability of the stock market risk premium. The index is derived using partial least squares (PLS), and the results are robust using scaled principal component analysis (sPCA) and principal component analysis (PCA). Moreover, the index can deliver significant economic gains for mean-variance investors in asset allocation. The predictability of the climate change concern index’s returns is due to the reversal of temporary price crashes (overreactions to climate change risk) and the stronger return forecasting ability for green stocks and in low air pollution periods.

主讲人简介：马锋，西南交通大学经济管理学院副教授，博导。现为金融预测团队负责人，Energy Economics副主编（Q1，ABS3），Finance Research Letter副主编（FINANCE, 1/111, Q1，ABS2），China Finance Review International期刊青年编委，多个期刊的客座主编，如Journal of International Financial Markets, Institutions and Money。2020-2022连续三年入选“爱思唯尔”中国高被引学者。2019年入选“四川省人才计划”，2021入选第十三批四川省学术和技术带头人后备人选。现主持国家自然科学基金面上、青年及教育部人文社科项目各一项，参与国家级课题多项。主要研究方向为金融计量、预测及风险管理，在金融市场波动与收益率建模预测等领域取得了系列成果。发表学术论文百余篇，主要研究成果发表在Journal of Banking & Finance,Journal of Empirical Finance,International Journal of Forecasting, European Journal of Finance,《管理科学学报》及《系统工程理论与实践》等国内外高水平期刊。目前有9篇论文入选ECONOMICS & BUSINESS（经济与商学）ESI高被引论文，多篇ESI热点论文。