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Pricing of Climate Event Risks and Opportunities in the Options Market

https://doi.org/10.2139/ssrn.5683202
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/j.jeconom.2018.09.015openalex-snapshot
Climate risks and market efficiency
inferredcites →https://doi.org/10.1016/j.jfineco.2018.12.003openalex-snapshot
Generalized Recovery
inferredcites →https://doi.org/10.1016/j.jfineco.2019.03.013openalex-snapshot
Disaster on the horizon: The price effect of sea level rise
inferredcites →https://doi.org/10.1016/j.jfineco.2020.12.011openalex-snapshot
Sustainable investing in equilibrium
inferredcites →https://doi.org/10.1016/j.jfineco.2021.05.008openalex-snapshot
Do Investors Care about Carbon Risk?
inferredcites →https://doi.org/10.1016/j.jfineco.2022.04.005openalex-snapshot
Recovering the FOMC Risk Premium
inferredcites →https://doi.org/10.1016/j.jfineco.2022.07.007openalex-snapshot
Dissecting green returns
inferredcites →https://doi.org/10.1017/s0022109010000220openalex-snapshot
What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?
inferredcites →https://doi.org/10.1093/qje/qjw034openalex-snapshot
What is the Expected Return on the Market?*
inferredcites →https://doi.org/10.1093/rcfs/cfab010openalex-snapshot
Investor Rewards to Climate Responsibility: Stock-Price Responses to the Opposite Shocks of the 2016 and 2020 U.S. Elections
inferredcites →https://doi.org/10.1093/rfs/6.2.327openalex-snapshot
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
inferredcites →https://doi.org/10.1093/rfs/hhaa071openalex-snapshot
Carbon Tail Risk
inferredcites →https://doi.org/10.1093/rfs/hhad094openalex-snapshot
Corporate Climate Risk: Measurements and Responses
inferredcites →https://doi.org/10.1093/rfs/hhs119openalex-snapshot
Using Option Prices to Infer Overpayments and Synergies in M&A Transactions
inferredcites →https://doi.org/10.1093/rfs/hhx089openalex-snapshot
The Factor Structure in Equity Options
inferredcites →https://doi.org/10.1093/rfs/hhy060openalex-snapshot
Option Pricing of Earnings Announcement Risks
inferredcites →https://doi.org/10.1093/rfs/hhz072openalex-snapshot
Hedging Climate Change News
inferredcites →https://doi.org/10.1093/rfs/hhz075openalex-snapshot
A Bound on Expected Stock Returns
inferredcites →https://doi.org/10.1093/rfs/hhz086openalex-snapshot
Attention to Global Warming
inferredcites →https://doi.org/10.1093/rfs/hhz134openalex-snapshot
Is the Risk of Sea Level Rise Capitalized in Residential Real Estate?
inferredcites →https://doi.org/10.1093/rof/rfac033openalex-snapshot
Aggregate Confusion: The Divergence of ESG Ratings
inferredcites →https://doi.org/10.1111/fima.12026openalex-snapshot
When Does a Merger Create Value? Using Option Prices to Elicit Market Beliefs
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00670.xopenalex-snapshot
Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
inferredcites →https://doi.org/10.1111/j.1540-6261.2010.01625.xopenalex-snapshot
When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks
inferredcites →https://doi.org/10.1111/jofi.12406openalex-snapshot
The Price of Political Uncertainty: Theory and Evidence from the Option Market
inferredcites →https://doi.org/10.1111/jofi.12778openalex-snapshot
What Is the Expected Return on a Stock?
inferredcites →https://doi.org/10.1111/jofi.13217openalex-snapshot
The Pollution Premium
inferredcites →https://doi.org/10.1111/jofi.13219openalex-snapshot
Firm‐Level Climate Change Exposure
inferredcites →https://doi.org/10.1111/jofi.13272openalex-snapshot
Global Pricing of Carbon‐Transition Risk
inferredcites →https://doi.org/10.1287/mnsc.2023.4686openalex-snapshot
Pricing Climate Change Exposure
inferredcites →https://doi.org/10.2307/2490874openalex-snapshot
The Ex Ante and Ex Post Price Effects of Quarterly Earnings Announcements Reflected in Option and Stock Prices
inferredcites →https://doi.org/10.3982/ecta14607openalex-snapshot
Risk Preferences and the Macroeconomic Announcement Premium
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