ORCID ID
https://orcid.org/0000-0002-8860-5957
Date of Award
12-2024
Degree Type
Dissertation
Degree Name
Ph.D.
Degree Program
Financial Economics
Department
Economics and Finance
Major Professor
Dr. Mohammad Kabir Hassan
Second Advisor
Dr. Neal Maroney
Third Advisor
Dr. Mosab Hammoudeh
Fourth Advisor
Dr. Luca Pezzo
Abstract
Essay 1:
Given the missing-not-at-random (MNAR) nature of carbon emissions figures under the voluntary disclosure regulator environment, this research imputes synthetic emissions figures for both disclosing and non-disclosing publicly traded US firms, using an IV approach adapted for sample bias correction. The forward-observing implied cost of equity capital measure is consistently higher for carbon-intensive firms regardless of disclosure decision. This higher cost found in the large swath of high-emitting firms reduces the net present value of green transition investments, thus fueling existing research on the counterproductive natures of capital allocation in efforts to reduce corporate pollution. Contrary to emerging research, the paper attributes the cause to a climate-change risk factor due to high-elasticity constraints, rather than the sole impact of sustainable investing.
Essay 2:
This research explores the risk transmission impacts of China’s carbon emissions, green energy indices, and traditional energy and commodity indices. Supplement analysis observes impacts within China’s major firms as well as the regulative differences in its Emission Trading Systems when compared to those in developed economies. Utilizing the Vector Autoregressive (VAR) model and an innovative quantile connectedness framework, the research uncovers a substantial degree of cross-market risk transmission during the ongoing recession in China, exceeding 80%. The increased volatility coincides with the volatility in oil and energy and attributed from the shocks from global supply chain disruptions, Russian-Ukrainian conflict, and post pandemic recovery.
Recommended Citation
Rahman, Mashuk S., "Financial Risk in a Changing Climate" (2024). University of New Orleans Theses and Dissertations. 3211.
https://scholarworks.uno.edu/td/3211
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