خلاصة:
Changes in temperature affect the productivity of the employees and the manufacturing units of the firms. The operating profit of companies is the result of the work of their employees and their manufacturing devices. Based on the Gordon model, the value of a firm is equal to discounted dividends of the firm. Since the temperature is changing over time, if investors consider risk premium for temperature changes, it can be assumed that the value of the firms will change over time. In the present study, we investigate the relationship between temperature changes and the value of firms over time to make strategic investing decisions and maximize the utility of equity market participants. In this research, we calculate the temperature change risk premium by a new methodology named “Tracking Portfolio” and then by a two factor model we estimate the expected returns of the investors in different time intervals. Finally, using the Gordon model, the value of firms is calculated over time. For this purpose, a sample of about 160 companies listed in Tehran Stock Exchange has been investigated for the period of 1385 to 1396. Time series regression is used to investigate research hypotheses. The results show that the temperature risk has been priced in Tehran Stock Exchange and global warming has reduced the value of the companies over time. So investors should consider the role of temperature changes for making higher expected returns in their fundamental analysis and investing strategies to reach higher returns and make more efficient market.
ملخص الجهاز:
In this study, a different method called the "tracking portfolio" is used to extract the temperature change risk premium, which is then estimated using a two-factor model of investors' expected returns at different time intervals.
The results of the research indicate that the temperature risk premium is priced in the Tehran Stock Exchange and the increase in global warming over time has caused a decrease in firm values; therefore, investors should consider the role of temperature changes as an accelerating factor in expected returns in their fundamental analyses and investment strategies to achieve more desirable results and, at the same time, contribute to the efficiency of the capital market.
In the present research, adapting the method of Ding and Du (2014), news related to future temperature changes was used as the criterion for extracting the temperature risk premium [13], for the reason that investors must have the necessary opportunity to analyze the effects of temperature on company returns and predict its price trend, so that they can decide about buying or selling the company's shares at the current time.
He finally showed that in 1 Tracking Portfolio 2 Small Minus Big 3 High Minus Low Investment Strategy with Temperature Changes and Firm Value 207 Asset pricing, a two-factor model with the market factor and the tracking portfolio factor for corporate bankruptcy risk, performs as well as the Fama and French three-factor model [21].
Pricing the pure risk of temperature changes means increasing the expected returns of investors and, consequently, based on the Gordon model, it will lead to a decrease in the value of companies.
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