Florian Fiaux (ECON): Papers on Term Structure and Abnormal Returns

The Term Structure of Transition Risk

Authors: Florian Fiaux, Chris Kontz

Abstract: We estimate a reduced-form term structure of climate transition risk related to climate change using traded and synthetic dividend strips.
We document several novel facts about transition risk:
(i) There is considerable time variation in the impact of climate policy uncertainty on dividend yields.
(ii) The impact is positive and downward sloping during the Obama administration.
(iii) The effect becomes zero for shorter maturities and negative for longer maturities during the Trump administration.

Abnormal Returns and Alpha Frequencies

Author: Florian Fiaux

Abstract: I decompose abnormal returns into orthogonal components of different frequencies corresponding to cycles of different lengths. This decomposition allows to quantify the importance of components with different levels of persistence in abnormal returns. Looking at abnormal returns of a portfolio formed on the size of earning surprises, I find a decreasing share of persistent components in abnormal returns over time. Comparatively, I find that persistent components explain a larger share of abnormal returns for a momentum 12 months portfolio than for a portfolio formed on earnings surprises.