Data from: Climate risks and market efficiency

This is the accompanying data for Hong, H., Li, W., & Xu, J. (2018). Climate risks and market efficiency. Journal of Econometrics, 208 (1), 265-281. https://doi.org/10.1016/j.jeconom.2018.09.015Detailed dataset description can be found in the published paper. Climate science finds that the trend towards higher global temperatures exacerbates the risks of droughts. We investigate whether the prices of food stocks efficiently discount these risks. Using data from thirty-one countries with publicly-traded food companies, we rank these countries each year based on their long-term trends toward droughts using the Palmer Drought Severity Index. A poor trend ranking for a country forecasts relatively poor profit growth for food companies in that country. It also forecasts relatively poor food stock returns in that country. This return predictability is consistent with food stock prices underreacting to climate change risks.

本数据集为Hong, H., Li, W., & Xu, J. (2018)所著《气候风险与市场效率》一文的配套数据。该研究揭示了全球气温上升趋势加剧了干旱风险。本研究旨在探讨食品库存价格是否能够有效折现这些风险。通过收集三十一个公开交易的食品公司数据，我们每年根据各国长期干旱趋势（采用帕尔默干旱严重指数进行排名），对各国进行评估。一国的趋势排名不佳预示着该国食品公司的相对利润增长将较为缓慢，同时也预示着该国食品库存的相对回报较差。这种回报的可预测性与食品库存价格对气候变化风险的反应不足相一致。详细的数据集描述可参阅已发表的论文。气候科学研究表明，全球气温上升的趋势加剧了干旱风险。我们研究了食品库存价格是否能够有效地折现这些风险。利用来自三十一个国家的公开交易的食品公司数据，我们每年根据各国长期的干旱趋势（使用帕尔默干旱严重指数进行排名）对这些国家进行排序。一个国家的不良趋势排名预示着该国食品公司的相对利润增长将相对较慢，同时也预示着该国食品库存的相对回报将相对较差。这种回报的可预测性与食品库存价格对气候变化风险的反应不足相一致。详细的数据集描述可在发表的论文中找到。