Academics at both universities, including the winner of the 2003 Nobel Prize in Economics Robert Engle, will be looking at aspects of financial economics and climate change. The research is in line with NFI’s objective to strengthen the scientific foundation of the management of the fund by emphasising areas within financial economics of particular relevance for the fund.
The financial economics of climate change
New York University Stern School of Business (NYU Stern) has received a two-year grant to carry out finance research on environmental risks. Robert Engle, NYU Stern Michael Armellino Professor of Finance and winner of the 2003 Nobel Prize in Economics, and Johannes Stroebel, NYU Stern Assistant Professor of Finance, will apply the tools of modern finance and risk management to measure and model environmental risks, particularly those originating from climate change. The objective of the research project is to identify optimal hedging portfolios against environmental risks. The project will also include new research to improve estimates of the discount rate.
As part of the project, the NYU Stern Volatility Institute will organise a conference, where academics and practitioners are brought together to discuss financial approaches to environmental risks and climate change.
Climate change and capital market efficiency
Harrison Hong, the John R. Eckel Jr. Professor of Financial Economics at Columbia University, has received a three-year grant to carry out research and convene two research conferences on climate change and capital market efficiency. The conferences will be organised by Columbia’s Program in Economic Research (PER). Professor Hong will convene the two conferences in collaboration with José Scheinkman, the Charles and Lynn Zhang Professor of Economics at Columbia University, and Professor Andrew Karolyi of Cornell University, the Executive Editor of the Review of Financial Studies.
The NFI's research programme
The two research projects are funded under NFI’s Research Programme, and have commenced earlier this year. The aim of the NFI’s Research Programme is to facilitate research of the highest academic standard as many of the questions and challenges facing the management of the fund may intersect with the research frontier of finance and economics.