Climate Risks and Forecasting Stock Market Returns in Advanced Economies over a Century

In this study, we contribute to the rapidly growing climate-finance literature by shedding light on question of whether climate risks have predictive value for stock market returns. We measure in terms both change northern hemisphere temperature anomaly and its volatility global volatility. study monthly data eight advanced countries (Canada, France, Germany, Italy, Japan, Switzerland, United Kingdom (UK), States (US)). Our sample period runs from 1916 2021. control cross-market spillovers returns as well other including oil-price volatility, geopolitical risks, gold-to-silver price ratio a investor risk aversion. Given large array variables, apply Lasso estimator trace out incremental subsequent find that do not systematic then extend our analysis two ways. First, show short-term out-of-sample connectedness Second, power when historical UK 1772