Essays on Nature-Related Risk Premia in Equity Markets [before doctoral defense]

Kivonat, rövid leírás

Biodiversity loss has emerged as a critical challenge for the global economy and financial systems. The IPBES Global Assessment (IPBES, 2019) reports that 75% of the land surface is significantly altered and 66% of the ocean area is experiencing increasing cumulative impacts. Over USD 44 trillion of economic value generation - more than half of global GDP - is moderately or highly dependent on nature and ecosystem services (GSIA, 2024), while approx-imately USD 7.2 trillion of enterprise value is exposed to unmanaged biodiversity risk (Carvalho et al., 2023). These numbers establish biodiversity loss as both a systemic and a systematic financial risk: its effects propagate through supply chains, regulatory channels, and macroeconomic aggregates, and cannot be diversified away within an equity portfolio. Regulators have started to responded to this problem. For example, the EU Sustainable Finance Disclosure Regu-lation (SFDR) mandates disclosure of biodiversity-related Principal Adverse Impact (PAI) indicators, the Corpo-rate Sustainability Reporting Directive (CSRD) requires double-materiality assessments, and the Kunming-Montreal Global Biodiversity Framework (2022) sets targets for na-ture protection. Central banks, through the Network for Greening the Financial System (NGFS), have highlighted the system-wide consequences of collapsing ecosystems and called for integration of nature-related risks into finan-cial frameworks (NGFS, 2022). Despite the regulatory efforts, the academic literature on how financial markets price biodiversity and nature-related risks is limited. While climate finance has a well-established body of literature documenting a carbon pre-mium (Bolton & Kacperczyk, 2021, 2024) and green-versus-brown return differentials (Pastor et al., 2021, 2022), biodiversity-specific pricing is less explored. Early contri-butions include Garel et al. (2024), who document investor reactions to biodiversity news; Coqueret et al. (2025), who identify a biodiversity premium using factor-based approaches; and Giglio et al. (2026), who show that biodi-versity risk pricing is a recent, still-evolving phenomenon. However, the literature lacks practical, portfolio-level esti-mates of the cost investors bear when managing biodiver-sity risk, and the relationship between firms’ impacts on ecosystems and their dependencies on ecosystem services remains underexplored. This dissertation addresses these gaps. After introduc-ing the key terms in biodiversity finance, it introduces the Biodiversity Risk Premium (BRP) and the Nature Risk Premium (NRP) as new concepts for quantifying nature-related financial risks. The BRP captures the cost of bio-diversity risk mitigation within a portfolio optimization framework that mirrors real-world sustainable investment strategies, while the NRP extends the analysis to include both climate and biodiversity risks through the lens of double materiality. The dissertation also identifies Earth Observation (EO) data as a potential next step for overcom-ing the limitations of current disclosure-based biodiversity metrics. Finally, example calculations of an ecosystem condition indicator, the Tree Cover Density, are presented, showcasing a metric that can be used in future research.