A publication titled “Price risk transmissions in the water-energy-food nexus: Impacts of climate risks and portfolio implications” on Energy Economics by Hung Do and co-authors in June 2023

Abstract

The water-energy-food (WEF) nexus has quickly materialized as a critical factor that could threaten sustainable development goals. To contribute to the understanding of the WEF nexus from an economic perspective, this study investigates the price risk transmissions among the water, energy, and agricultural markets. We further analyze the critical impacts of climate risks, including physical and transition risks, on the transmission behaviors. Employing a quantile connectedness approach in the time-frequency domain, we provide a comprehensive analysis that allows for the consideration of different market conditions (extreme vs. normal) and time horizons (long vs. short). We find that the WEF nexus is relatively small in a normal market condition but increases substantially in an extreme market condition. The nexus is more pronounced in the short-term horizon compared to the long-term horizon. Among investigated factors, the U.S. climate policy and economic policy uncertainty have generally strengthened the WEF nexus while geopolitical risk and U.S. term spread tend to weaken the nexus. Analyzing the impacts of climate risks in detail, we find that in the short term, investors worry more about transition risks rather than physical risks in a normal market condition. In the long term, investors integrate information on both transition and physical risks but only in an extreme market condition. Our analysis of the economic implications further supports the view that investors care more about transition risks than physical risks when forming investment portfolios.

A publication titled “ESG and firm performance: The role of size and media channels” on Economic Modelling by Hung Do and co-authors in April 2023

Abstract

Focusing on the environmental, social, and governance (ESG) factors is important as it affects the firm’s capability to raise capital and attract investors, and hence, firm performance. However, the role of the size and media channels in explaining the relationship between ESG and firm performance remains under examined. Using data for all firms with ESG scores in G20 countries from 2007 to 2020, we analyze the relationship between the three pillars of ESG scores and firm performance by focusing on the role of these two channels. The firm size channel suggests that larger firms tend to invest into the ESG activities due to economies of scale to better reflect stakeholders’ demands. Meanwhile, under the media channel, firms with better media coverage can reduce information asymmetry regarding ESG investments for their stakeholders. As a result, firms can avoid various costs following the stakeholder theory view (e.g., stakeholders’ punishment costs), and hence, have better performance.

A publication titled “The impact of climate policy on U.S. environmentally friendly firms: A firm-level examination of stock return, volatility, volume, and connectedness” on Energy Economics by Wei (Maggie) Hao and co-authors in March 2023

Abstract

This paper investigates the green stock market reaction to climate policy events associated with the Paris Agreement and the U.S. presidential elections. We document abnormal returns, volatility and volume reactions to climate policy events among green stocks. However, the magnitude of the reactions varies between the tightening and loosening of climate policy and across subgroups of the green stock markets. Our connectedness analysis further investigates the spillover patterns among individual green stocks and confirms their heterogeneous natures when responding to the occurrence of these climate policy events. By constructing a minimum connectedness portfolio based on the estimated connectedness among these green stocks, we find that investors can substantially reduce their risks. Our findings have strong implications for policy makers in designing policies to effectively promote green investments and mitigate climate change.