Pew Research Center, 2020. “Two-Thirds of Americans Think Government Should Do More on Climate”, Report.
NGFS. 2020. Guide for supervisors: Integrating climate-related and environmental risks into prudential supervision. Technical Report, Network of Central Banks and Supervisors for Greening the Financial System.
Baker S. R., Bloom N., Davis S. J. and Kost K. J., 2019, Policy News and Stock Market Volatility, National Bureau of Economic Research Working Paper.
Ramiah V., Pichelli J. and Moosa I., 2015, Environmental regulation, the Obama effect and the stock market: some empirical results, Applied Economics, 47, 2015 (7). https://doi.org/10.1080/00036846.2014.980572
Nerger G., Huynh T.L.D. and Wang M., 2021, Which industries benefited from Trump environmental policy news? Evidence from industrial stock market reactions, Research in International Business and Finance, 57. https://doi.org/10.1016/j.ribaf.2021.101418
Guo M., Kuai Y. and Liu X., 2020, Stock market response to environmental policies: Evidence from heavily polluting firms in China, Economic Modelling, 86(C), 306–316.
Moreira A. and Muir T., 2017. Volatility-managed portfolios. Journal of Finance, 72(4):1611–1644.
Veronesi P., 2000, How does information quality affect stock returns? Journal of Finance 55, 807–837.
Ai H., Han L. J., and Xu L., 2022, Information-Driven Volatility, Working Paper.
Lucas R. E. (1978), Asset Prices in an Exchange Economy, Econometrica, 46, 1429–1445.
Koźluk T. and Zipperer V., 2015, Environmental policies and productivity growth–a critical review of empirical findings, OECD Journal: Economic Studies, 2014.
Merton R.C., 1973. An intertemporal capital asset pricing model. Econometrica 41 (5), 867–887.
Drechsler I., Yaron A., 2011. What’s vol got to do with it. Review of Financial Studies 24 (1), 1–45.
Drechsler I., 2013. Uncertainty, time-varying fear, and asset prices. The Journal of Finance 68 (5), 1843–1889.
Gabaix X., 2012. Variable rare disasters: An exactly solved framework for ten puzzles in macro-finance. Quarterly Journal of Economics 127 (2), 645–700.
Gourio F., 2012. Disaster risk and business cycles. American Economic Review 102 (6), 2734–2766.
Wachter J.A., 2013. Can time-varying risk of rare disasters explain aggregate stock market volatility? Journal of Finance 68 (3), 987–1035.
Adrian T., Crump R.K. and Vogt E., 2019, Nonlinearity and Flight-to-Safety in the Risk-Return Trade-Off for Stocks and Bonds, The Journal of Finance, 74 (4), 1931–1973.
Novy-Marx R., and Velikov M., 2021, Betting Against Betting Against Beta, forthcoming. Journal of Financial Economics.
Frazzini A., and Pedersen L., 2014. Betting Against Beta, Journal of Financial Economics, 111 (1), 1–25.
Barroso P. and Santa-Clara P. 2015. Momentum has its moments. Journal of Financial Economics, 116(1):111–120.
Wang, K.Q. and Xu J., 2015, Market volatility and momentum, Journal of Empirical Finance, 30, 79–91.
