Unexpected changes in climate concerns and the dynamics of the implied-volatility surface.
Extending the concern-index approach from climate to social risk, and testing it on retail fund flows.
Option-implied moments read against the Media Climate Change Concerns index.
Climate concerns and the volatility — rather than the returns — of green versus brown stocks.
The concern index taken outside equities, into commodity futures.
Green stocks outperform brown stocks when climate change concerns rise unexpectedly — measured with a news-based index built for the purpose.
Green and brown portfolios differ in their factor exposures — which complicates reading their return spread as a climate signal.
The room a manager has to add value differs systematically between green and brown segments.