Hedging Climate Change News

Robert F. Engle, Stefano Giglio, Heebum Lee, Bryan T. Kelly, Johannes Stroebel

2019 | Academic | Climate

Implement approaches to hedging climate news can yield parsimonious and industry balanced portfolios that perform well in hedging innovations in climate news both in-sample and out-of-sample. The resulting hedge portfolios outperform alternative hedging strategies based primarily on industry tilts.