Job market paper
We document that climate change risk and uncertainty significantly affect real estate returns in the U.S. market. On average, a 1-standard-deviation increase in the growth of future temperature anomaly risk and uncertainty is associated with up to 0.17% and 0.38% decrease in real estate return, respectively. The estimated impacts explain about 4.55% and 10.44% of the volatility of real estate returns. The effects are particularly strong in the South and West region, for the summer season, and in counties with higher attention to climate change. We also find that when the investor dynamically updates weights of climate scenarios using emission data, the impact of climate change risk on real estate returns can go up by about 2.5 times.