We analyze how the materialization of physical climate risk in the institutional investors’ portfolios spurs a propagation effect on the information content of stock prices. Institutional investors with a relatively high portfolio exposure to natural disasters divest from disaster-hit stocks, decrease the trading intensity in non-hit stocks, and their trading decisions predict low medium-term returns. At the firm-level, institutional investors propagate the effects of disasters to non-hit stocks through reduced incorporation of firm-specific information, especially when the stocks represent a low portfolio weight. Combined, these results suggest that natural disasters trigger a rational reallocation of information-processing resources by institutional investors.

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气候冲击、机构投资者和股票价格的信息内容

我们分析了机构投资者投资组合中物理气候风险的具体化如何刺激对股票价格信息内容的传播效应。投资组合中自然灾害风险敞口相对较高的机构投资者会从受灾股票中撤资，降低未受灾股票的交易强度，其交易决策预计中期回报较低。在公司层面，机构投资者通过减少公司特定信息的纳入，将灾难的影响传播到未受打击的股票，特别是当股票代表的投资组合权重较低时。综合起来，这些结果表明自然灾害会引发机构投资者对信息处理资源的合理重新分配。