2026-10-13T17:38:59Zhttps://riubu.ubu.es/oai/request

oai:riubu.ubu.es:10259/122572026-10-10T00:05:30Zcom_10259_7380com_10259_5086com_10259_2604col_10259_7381

Enríquez-Perales, Sarela García Gómez, Conrado Diego Díez Esteban, José María 2026-10-09T08:05:44Z 2026-10-09T08:05:44Z 2026 1544-6123 https://hdl.handle.net/10259/12257 10.1016/j.frl.2026.109598 This study examines the association between country-level climate vulnerability and firm-level stock return volatility in Europe. Using panel data on 490 listed firms across 17 European countries from 2013 to 2022, we find that firms located in more climate-vulnerable countries exhibit significantly higher market volatility. The results are robust across alternative measures, fixed-effects specifications, and endogeneity checks. We further show that this relationship is amplified for financially constrained firms when constraints are measured using the Kaplan–Zingales index. Overall, the findings suggest that climate vulnerability primarily manifests as heightened market uncertainty and that financial frictions play a key role in transmitting macro-level climate risk to firm-level market volatility. application/pdf spa Elsevier Finance Research Letters. 2026, V. 92, 109598, p. 1-13 https://doi.org/10.1016/j.frl.2026.109598 Attribution-NonCommercial-NoDerivatives 4.0 Internacional http://creativecommons.org/licenses/by-nc-nd/4.0/ info:eu-repo/semantics/openAccess Climate vulnerability Climate risk Stock return volatility Financial constraints Equity markets Europe Cambios climáticos-Aspectos económicos Empresas-Finanzas Climatic changes-Economic aspects Business enterprises-Finance Climate vulnerability and market volatility: evidence from European firms info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Finance Research Letters 92 109598 1 13