This research investigates the impact of climate challenges on financial markets by introducing an innovative approach to measure climate risk, specifically the aggregate climate change concern (ACCC) index. The study aims to assess and quantify the potential influence of climate change and risk-related factors on the performance and dynamics of financial markets. In this paper, concern is defined as the attention paid to the risk of climate change and the associated negative consequences. The findings demonstrate that the aggregate index exhibits robust predictability of market risk premiums, both within the sample and out-of-sample. By comparison, the index contains additional information beyond 14 economic predictors and 12 risk/uncertainty indexes in forecasting stock market return. In addition, the index proves valuable for mean–variance investors in asset allocation, leading to significant economic gains. The study identifies the index's ability to capture the reversal of temporary price crashes caused by overreactions to climate change risk. Furthermore, it exhibits stronger return forecasting capability for green stocks, non-state-owned enterprise (non-SOE) stocks, and stocks in regions with low air pollution. Particularly during periods of low air pollution and relaxed regulation, the index displays an enhanced ability to forecast returns. The study's findings provide valuable insights for policymakers and financial institutions as they address 21st-century environmental challenges. Moreover, these findings can inform the design of adaptive measures and interventions aimed at mitigating ecological risks and promoting sustainable economic growth.

中文翻译：

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剖析气候变化风险和金融市场不稳定：对生态风险管理的影响

这项研究通过引入衡量气候风险的创新方法，特别是气候变化总体关注指数（ACCC）来调查气候挑战对金融市场的影响。该研究旨在评估和量化气候变化和风险相关因素对金融市场表现和动态的潜在影响。在本文中，关注被定义为对气候变化风险及其相关负面后果的关注。研究结果表明，无论是样本内还是样本外，总体指数都表现出对市场风险溢价的稳健可预测性。相比之下，该指数在预测股市回报方面除了 14 个经济预测指标和 12 个风险/不确定性指数之外还包含更多信息。此外，事实证明，该指数对于均值方差投资者的资产配置很有价值，可以带来显着的经济收益。该研究确定了该指数捕捉因对气候变化风险过度反应而导致的暂时价格暴跌的逆转的能力。此外，对绿色股票、非国企股票、空气污染程度低的地区股票表现出更强的收益预测能力。特别是在空气污染较低和监管放松的时期，该指数显示出预测回报的能力增强。该研究的结果为政策制定者和金融机构应对 21 世纪的环境挑战提供了宝贵的见解。此外，这些发现可以为旨在减轻生态风险和促进可持续经济增长的适应性措施和干预措施的设计提供信息。