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We examine whether climate uncertainty is consistently priced in the cross-section of brown and green equity portfolio returns. We employ multiple climate uncertainty proxies -- based on media coverage, policy uncertainty, social attention, and Google search trends -- and estimate risk premia across portfolios classified by ESG scores, carbon intensity, and sectoral transition exposure. The estimated premia vary in both sign and size across climate uncertainty proxies, with no consistent pricing differentials between green and brown assets and limited evidence of a conditional time structure. Mimicking portfolio tests highlight the proxy-dependent nature of climate risk in asset pricing.
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Curatola et al. (2026) studied this question.
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