Climate News Betas and Risk Premia
“Only about 6-10% of the long-short portfolios based on climate betas yield statistically significant premia, either positive or negative.”
AssetEquities
StrategyNews sentiment
GeographyUSChina
FrequencyDaily
Also stated: t-statistic, Long-short, Text and news, multiple testing
Missing from abstract: benchmark, out-of-sample test, costs, universe
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The paper's neighbourhoodNews sentiment and text signals by year
FamilyNews sentiment and text signals148Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 854
AssetEquities97
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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