The COP 26 conference in Glasgow 2021 has accelerated the need to reduce the reduce the gas emissions by 2050. In order to achieve this target, there is need to invest about $275 trillion dollars and majority of this will come from the private sector. Against this backdrop companies across the world will have to finance their operations by issuing “green” financial securities i.e., the securities whose proceeds are used towards climate-friendly environmental projects. Green Bonds have been issued corporation for this purpose. They rely on Third-party to certify that the proceeds are invested in environment-friendly projects. As such they are same as usual corporate bonds but with a “green promise”. (Caramichael & Rapp, 2022). However, Wirz, (2021) and Fletcher & Oliver, (2022) raises serious concerns about “green” bonds and ESG investments. Flammer, (2021) examine the performance of companies which have issued green bonds. She finds that investors react positively to the announcements of green bonds and the post-performance of the issuing companies improve. These findings are in line with the signalling channel. The literature in this area is quite nascent and there are various avenues that can be pursued.
Venturini, (2022) presents a systematic review of literature about the impact of climate risk in the cross section of stock returns through economic, behavioural, and rational channels. One of the interesting findings is that although the pricing of climate risk is not yet fully captured in various asset classes yet using recent data it seems that different asset classes seem to be getting sensitive to climate change risk. If this is true one of the areas that could be studied is analysing equilibrium pricing of climate change risk in the cross section of stock returns from the perspective of liner factor asset pricing models. This may help us to identify a new source of systematic risk which could be related to climate-risk. (Pástor et al., 2021) study the equilibrium pricing of climate risk using a ESG factor which they call “green minus brown” portfolio using the firm’s ESG criteria and incorporate this in a two-factor asset pricing model. They find that “green” stocks have negative CAPM alphas and “brown” stocks have positive CAPM alphas. However, whether such a factor that measures climate risk demands risk premium or not after controlling for various other sources of systematic risk is yet to be studied. Consequently, we may be able to price the climate-risk in the cross-section of security returns controlling for
A second area that can be used to study the effect of climate change risk in the cross section of stock returns is to develop novel data that incorporates meteorological information such as extreme-weather events and apply extreme value theory to understand the climate change risk in stock returns. This could use the traditional event study approach to see the sensitivities of various asset classes to extreme weather patterns and estimate cumulative abnormal r and buy-hold-returns following a weather incident.
Academic Enquiries
This project is supervised by Dr Pankaj Chandorkar. For informal queries, please contact [Email Address Removed]. For all other enquiries relating to eligibility or application process please use the email form below to contact Admissions.
Funding Information
Home and International students (inc. EU) are welcome to apply. The studentship is available to Home and International (including EU) students and includes a full stipend at UKRI rates (for 2022/23 full-time study this is £17,668 per year) and full tuition fees. Studentships are also available for applicants who wish to study on a part-time basis over 5 years (0.6 FTE, stipend £10,600 per year and full tuition fees) in combination with work or personal responsibilities).
Please also see further advice below of additional costs that may apply to international applicants.
Eligibility Requirements:
- Academic excellence of the proposed student i.e. 2:1 (or equivalent GPA from non-UK universities [preference for 1st class honours]); or a Masters (preference for Merit or above); or APEL evidence of substantial practitioner achievement.
- Appropriate IELTS score, if required.
- Applicants cannot apply for this funding if they are already a PhD holder or if currently engaged in Doctoral study at Northumbria or elsewhere.
Please note: to be classed as a Home student, candidates must meet the following criteria:
- Be a UK National (meeting residency requirements), or
- have settled status, or
- have pre-settled status (meeting residency requirements), or
- have indefinite leave to remain or enter.
If a candidate does not meet the criteria above, they would be classed as an International student. Applicants will need to be in the UK and fully enrolled before stipend payments can commence, and be aware of the following additional costs that may be incurred, as these are not covered by the studentship.
- Immigration Health Surcharge https://www.gov.uk/healthcare-immigration-application
- If you need to apply for a Student Visa to enter the UK, please refer to the information on https://www.gov.uk/student-visa. It is important that you read this information very carefully as it is your responsibility to ensure that you hold the correct funds required for your visa application otherwise your visa may be refused.
- Check what COVID-19 tests you need to take and the quarantine rules for travel to England https://www.gov.uk/guidance/travel-to-england-from-another-country-during-coronavirus-covid-19
- Costs associated with English Language requirements which may be required for students not having completed a first degree in English, will not be borne by the university. Please see individual adverts for further details of the English Language requirements for the university you are applying to.
How to Apply
For further details of how to apply, entry requirements and the application form, see
https://www.northumbria.ac.uk/research/postgraduate-research-degrees/how-to-apply/
For applications to be considered for interview, please include a research proposal of approximately 1,000 words and the advert reference (e.g. RDF23/…).
Deadline for applications: 27 January 2023
Start date of course: 1 October 2023 tbc
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