Real Time-Transition Risk
We develop a point-in-time index to approximate changes in transition risk from climate-related news events. We overcome the assumption that "no news is good news on climate" inherent in previous research as we specifically consider news to signal an increase or a decrease in the external pressure towards a shift to a lower-carbon economy. We evaluate the return sensitivity of publicly available green minus brown (GMB) portfolio proxies that apply different approaches to measure a firms´environmental performance based on investors´climate objectives. We find that short-term transition risk tends to affect stock prices based on firms´business activity but not emissions.