Air Pollution and Stock Returns: the Cash Flow Risk Channel

时间：2020年10月20日（周二）14:00-15:30
地点：北京大学国家发展研究院万众楼一楼大教室
主持人：赵波 鄢萍 余昌华

摘要:This paper provides a novel explanation regarding the phenomenon that high stock of air pollution forecasts low risk premium at the firm-level. We build a neoclassical q-theory model of investment and specify stock of air pollution as a factor in
production technology. The model implies that there exists a cash flow risk channel through which air pollution influences risk premium. In the empirical analysis, we address the potential endogeneity problem using an instrumental variable approach.
The empirical results show that investor behavior is not the unique channel through which air pollution affects stock markets. Air pollution can also affect the stock market by changing the covariance between cash flows and the aggregate profitability
shock.

     演讲人简介：李戎，美国俄亥俄州立大学经济学博士；现任中国人民大学财政金融学院副教授，中国财政金融政策研究中心研究员，中国人民大学财税研究所研究员，主要研究领域为财政与货币政策、宏观经济理论、财政学及资产定价，曾在European Economic Review, Journal of Money, Credit, and Banking, Journal of Macroeconomics等国内外期刊发表多篇论文，主持国家自然科学基金面上项目、青年项目；并担任International Economic Review, European Economic Review, Journal of Money, Credit, and Banking, Journal of Applied Econometrics等一流期刊匿名审稿人。