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Essays On Green Finance, Elsa Allman
Essays On Green Finance, Elsa Allman
Dissertations, Theses, and Capstone Projects
Chapter 1: Pricing Climate Change Risk in Corporate Bonds
Using a firm’s geographic footprint to measure its exposure to sea level rise (SLR), I find that corporate bonds bear a climate risk premium upon issuance. A one standard deviation increase in firms’ SLR exposure is associated with a 7 basis point premium, representing a 3% increase in average yield spread. This effect is more pronounced for geographically concentrated firms, within industries vulnerable to extreme weather conditions, and after the Paris Agreement. I do not find evidence that credit rating agencies account for SLR exposure at bond issuance. Results are robust …