This research examines a linkage between social media debates and green assets, an important instrument for financing the global warming combats. We propose a theoretical model for green asset pricing. Pilot empirical investigations have been conducted by the PI. This project will extend the existing work.
Department: ICMA Centre
Supervised by: Dr Vu Tran
Global warming and climate change potentially impose the most severe threats and devastating consequences to humankind. Tackling global warming requires sheer coordinated efforts while recent rises in anti-globalisation, anti-climate-change movements, e.g. Trump’s global-warming hoax, lead to huge challenges to finance climate change remedies. This research project examines a linkage between social media debates and green assets, an important instrument of financing the global warming combats. Non-monetary payoffs such as pro-environmental benefits could be embedded in investors’ decisions (e.g. Fama & French, 2007; Hong & Kacperczyk, 2009; Pastor et al., 2022). One can argue that if such non-monetary payoffs are incorporated in investors’ calculations, both ex-ante expected value and uncertainty of such payoffs should be embedded in their utility functions as well. This research proposes a theoretical model for green asset pricing with that guidance. The model predicts that green premium, i.e., greenium, is a time-varying concept; and that such greenium is not a monotonically increasing as public awareness on environmental issues enhances, as one may expect. Greenium decreases with respect to ex-ante uncertainty about global warming and climate change issues derived from social media debates. The next step of this research project is to conduct empirical tests of the proposed model which requires data of green and non-green asset prices. Pilot studies have been carried out and presented at the ICMA Centre research seminars by the PI. This project will extend the existing work and current data towards producing a publication in an international leading journal.
01 student is needed in this project. Supervised and supported by the PI, the successful candidate will undertake main tasks, as follows: (i) Review related literature including update the current literature review of the research project; (ii) Update and extent current data for the empirical investigations; (iii) Assisting in the identification of further data need, and helping with the design of further data collection Weekly breakdown of the tasks: Week 1: After the initial training provided by the PI, start reading current literature on the topic and familiarise themselves with Bloomberg and Thomson Reuters databases, Python or STATA software; Week 2: Continue with literature search, review existing literature in asset pricing and climate finance; Week 3: Summarise findings from week 2, familiarise themselves with the collected data and empirical analyses in pilot studies; Week 4: Based on outputs of week 3, identify and collect further data; Week 5: Help to conduct empirical Investigations on the extra data collected in week 4; Week 6: Wrap up and finalise completed work.
Essential: (i) Strong interest in research on the areas of finance, investments; (ii) Experience in searching and reading academic papers (iii) Excellent written and spoken communication skills Desirable: (i) Strong mathematical and quantitative skills; (ii) Competent with Python and/or STATA software.
Under the PI’s supervision, successful candidate will engage in a range of stages of an empirical research project, including conceptual design, literature review, data management and analysis, writing drafts of a research paper sections. They will develop research skills including searching and critically reviewing relevant literature, collecting, cleaning and managing research data, as well as econometric analyses and discussing empirical results. The student will also develop time management skills and interpersonal skills through collaboration with the PI, as well as presentation skills in summarising learning outcomes. As this project is part of a series of studies on the subject, successful candidate potentially can be invited to join future research. This research project provides a foundation for the successful candidate to extend and expand their research interests, facilitating their future empirical investigations in both academic research or financial industry.
Flexible: a part of the work requires access to one of the ICMA Centre computer labs. Other parts can be done remotely.
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Monday 10 June 2024 - Monday 22 July 2024
The deadline to apply for this project is 5pm on Friday 5th April 2024. To make an application, please go to the following link and complete the application form: https://forms.office.com/e/pMgea0dAHv. To find this project in the application form, please filter ‘school of project applying to’ and select Henley Business School