The pricing of nature risks
Chiara Colesanti Senni (University of Zurich)
This paper introduces a new dataset for company-level nature risks, covering both dependencies and impacts on nature. We investigate the correlation between nature and climate risks and whether these risks are priced in a cross section of equity returns. Using S\&P Global Sustainable1 data on nature and risks and different asset pricing models, we find some evidence of nature risk pricing in our cross section of equity returns. Moreover, our correlation analysis shows that nature dependency and nature impact tend to be negatively correlated, whereas nature and climate impacts tend to be positively correlated.