Access the full text.
Sign up today, get DeepDyve free for 14 days.
M. Meinshausen, N. Meinshausen, W. Hare, S. Raper, K. Frieler, R. Knutti, D. Frame, M. Allen (2009)
Greenhouse-gas emission targets for limiting global warming to 2 °CNature, 458
Justin Nguyen (2018)
Carbon risk and firm performance: Evidence from a quasi-natural experimentAustralian Journal of Management, 43
E. Fama, K. French (1993)
Common risk factors in the returns on stocks and bondsJournal of Financial Economics, 33
Yaw‐Huei Wang, Kuang-Chieh Yen (2017)
The Information Content of Option-Implied Tail Risk on the Future Returns of the Underlying AssetDerivatives eJournal
Peter Christoffersen, Kris Jacobs, B. Chang (2012)
Forecasting with Option-Implied InformationDerivatives eJournal
M. Allen, D. Frame, C. Huntingford, C. Jones, J. Lowe, M. Meinshausen, N. Meinshausen (2009)
Warming caused by cumulative carbon emissions towards the trillionth tonneNature, 458
Douglas Breeden, R. Litzenberger (1978)
Prices of State-Contingent Claims Implicit in Option PricesThe Wharton School
K. Hamidieh (2014)
Estimating the Tail Shape Parameter from Option PricesDerivatives eJournal
J. Tobin (1969)
A General Equilibrium Approach to Monetary TheoryJournal of Money, Credit and Banking, 1
Masazumi Hattori, A. Schrimpf, Vladyslav Sushko (2013)
The Response of Tail Risk Perceptions to Unconventional Monetary PolicyERN: Other Econometric Modeling: Capital Markets - Risk (Topic)
F. Hayashi (1982)
TOBIN'S MARGINAL q AND AVERAGE q: A NEOCLASSICAL INTERPRETATIONEconometrica, 50
Emirhan Ilhan, Z. Sautner, G. Vilkov (2020)
Carbon Tail RiskERN: Value-at-Risk (Topic)
Christina Atanasova, Eduardo Schwartz (2019)
Stranded Fossil Fuel Reserves and Firm ValueERN: Natural Resource Economics (Topic)
S. Batten, R. Sowerbutts, Misa Tanaka (2016)
Let's Talk About the Weather: The Impact of Climate Change on Central BanksSRPN: Carbon Reduction (Topic)
M. Linnenluecke, Cristyn Meath, S. Rekker, Baljit Sidhu, Tom Smith (2015)
Divestment from fossil fuel companies: Confluence between policy and strategic viewpointsAustralian Journal of Management, 40
S. Ross (1976)
Options and EfficiencyQuarterly Journal of Economics, 90
F. Black, Myron Scholes (1973)
The Pricing of Options and Corporate LiabilitiesJournal of Political Economy, 81
M. Nieto (2019)
Banks, climate risk and financial stabilityJournal of Financial Regulation and Compliance
Rick Ploeg, Armon Rezai (2020)
The Risk of Policy Tipping and Stranded Carbon AssetsSocially Responsible Investment eJournal
D. Datta, Juan Londoño, Landon Ross (2014)
Generating Options-Implied Probability Densities to Understand Oil Market Events
K. Barraclough, D. Robinson, Tom Smith, R. Whaley (2011)
Using Option Prices to Infer Overpayments and Synergies in M&A TransactionsERN: Stock Market Returns (Topic)
(2019)
Why central banks need to step up on global warming
P. Griffin, A. Jaffe, D. Lont, Rosa Dominguez-Faus (2014)
Science and the Stock Market: Investors’ Recognition of Unburnable CarbonEnergy Economics, 52
E. Fama, K. French (1996)
Multifactor Explanations of Asset Pricing AnomaliesJournal of Finance, 51
S. Battiston, A. Mandel, I. Monasterolo, Franziska Schütze, Gabriele Visentin (2016)
A Climate Stress-Test of the Financial SystemRisk Management & Analysis in Financial Institutions eJournal
C. Mcglade, P. Ekins (2015)
The geographical distribution of fossil fuels unused when limiting global warming to 2 °CNature, 517
T. Bollerslev, V. Todorov (2014)
Time-Varying Jump TailsJournal of Econometrics, 183
Margherita Giuzio, Dejan Krušec, Anouk Levels, A. Melo, Katri Mikkonen, P. Radulova (2019)
Climate change and financial stabilityFinancial Stability Review, 1
(2016)
How to deal with worries about stranded assets
A. McNeil (1999)
Extreme Value Theory for Risk Managers
Darwin Choi, Zhenyu Gao, Wenxi Jiang (2020)
Attention to Global WarmingBehavioral & Experimental Finance eJournal
Joel Vanden (2008)
Information Quality and OptionsReview of Financial Studies, 21
M. Linnenluecke, Thomas Smith, Brent Mcknight (2016)
Environmental finance: A research agenda for interdisciplinary finance researchEconomic Modelling, 59
Michael Shafer, E. Szado (2018)
Environmental, Social, and Governance Practices and Perceived Tail RiskS&P Global Market Intelligence Research Paper Series
This paper studies the option implied tail risk in the oil and gas industry around the unburnable carbon news of April 2009. It was arguably the first science news amplified by the media that stated that the value of the oil and gas industry is stranded. After controlling for the level of proved fossil fuel reserves and the return drop on the event day, I find that large and small companies are perceived as equally exposed to carbon risk. However, the risk persists only in some oil and gas firms. As expected, the level of fossil fuel reserves increases risk.
Accounting & Finance – Wiley
Published: Mar 1, 2022
Keywords: Stranded assets; Fossil fuel companies; Unburnable carbon news; Tail risk; Derivative contracts
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.