Giglio et al (2023a)
Giglio, Stefano, Theresa Kuchler, Johannes Stroebel, and Xuran Zeng. “Biodiversity Risk.” Working paper (Yale School of Management), 2023a.
From the authors’ abstract:
‘We explore the effects of physical and regulatory risks related to biodiversity loss on economic activity and asset values… Exposures to biodiversity risk vary substantially across industries in a way that is economically sensible and distinct from exposures to climate risk. We find evidence that biodiversity risks already affect equity prices: returns of portfolios that are sorted on our measures of biodiversity risk exposure covary positively with innovations in aggregate biodiversity risk. However, our survey indicates that market participants do not perceive the current pricing of biodiversity risks in equity markets to be adequate. We also construct several measures of biodiversity risk exposure across U.S. counties, but find little evidence that those exposures are priced in municipal bond markets..
LK comment: Won the 2023 Moskowitz Prize
Link: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4410107