8th Annual Conference of the International Association for Applied Econometrics (IAAE)

Presentation

The mission of the IAAE is to advance knowledge of econometrics, as well as its application in economics. The annual conference brings together leading researchers in the field to discuss and debate all aspects of econometrics, covering both its theoretical development and applied uses.

The conference is organised and will be hosted by King’s Business School in London from 21 June – 24 June, 2022.

Platinum Sponsor : Qatar Centre for Global Banking & Finance / Gold Sponsor: King’s Business School

Further information on the conference can be found on the International Association for Applied Econometrics (IAAE) 2022 conference website.

On June 24 at 10:00am CET, Emanuele Chini, Ph.D. in Finance candidate, EDHEC Business School and teaching assistant EDHEC Risk Climate Impact Institute (ERCII), will participate in the Empirical Asset Pricing panel session, together with:

Session Proposer: Ana María Herrera Ph.D., Professor and Associate Chair, Gatton College of Business and Economics
Session Chair: Ambroglio Dalo, Assistant Professor, CEMLA and Manager, University of Groningen, Faculty of Economics

Emanuele will present his recent paper "Time-varying Environmental Betas and Latent Green Factors".

Is US stock market pricing exposures to climate risks?

In this paper he tries to answer this question through the lenses of a latent factor model. He extends the instrumented principal component analysis (IPCA) methodology of Kelly et al. (JFE 2019) to extract a green factor. IPCA allows to extract latent factors and their loadings from a panel of returns and a set of observable firm-level characteristics that instrument for the loadings. Indeed, loadings are assumed to be linear combination of the characteristics and this feature of the model helps to interpret the factors.

In his specification he uses both “financial” and “green” characteristics, and he extends the model to allow the presence of different sets of orthogonal factors driven by only one of the two types of characteristics. This methodological extension allows to interpret his factors as purely “green" or “financial" factors.

The main contribution of this paper is that we are able to identify and estimate latent green factors from a large panel of stock returns without defining (and constructing) them ex-ante, as typically done in the climate finance literature.

Date

Friday 24/06/2022 - Friday 24/06/2022

Place

Bush House, London, UK

About EDHEC

Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.

About EDHEC-Risk Climate Impact Institute

Marking the priority assigned by the School to sustainability issues and building on its research programmes exploring the relationships between climate change and finance, EDHEC-Risk Institute became EDHEC-Risk Climate Impact Institute in October 2022. The Institute's mission is to help private and public decision-makers manage climate-related financial risks and make the best use of the financial tools available to transition to low-emission and climate-resilient economies. The Institute’s research programmes explore the relationships between climate change and finance and our key ambition is to become a leading academic reference point for long-term investors, helping them to manage the asset-pricing implications of climate change as well as mitigation and adaptation efforts.