Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/307368 
Year of Publication: 
2024
Series/Report no.: 
CESifo Working Paper No. 11438
Publisher: 
CESifo GmbH, Munich
Abstract: 
We establish the financial materiality of temperature variability by demonstrating its impact on US firms and investors. A long-short strategy that sorts firms based on exposure earns a market-adjusted alpha of 39 basis points per month. This variability metric is related to aggregate decreases in firm profitability, with asymmetric effects across industries. These outcomes are driven by reductions in consumer demand and labor productivity coupled with changes in media and investor attention. The geographically scalable statistical framework provides a reference for assessing the quantitative effects of climate-related physical risks, offering a metric for improving the disclosure of material climate risks.
Subjects: 
corporate climate reporting
climate attention
temperature variability
stock returns
firm performance
JEL: 
C21
C23
G12
G32
Q54
Document Type: 
Working Paper
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