In December 2015, 195 countries around the world signed the Paris Agreement and pledged to work towards limiting global greenhouse gas emissions in order to limit the average global temperature increase to 1.5°C above preindustrial levels. From a scientific perspective, the stabilisation of global warming under any target requires the achievement of a net-zero emissions economy (Matthews and Caldeira, 2008). In support of global investors looking to provide capital towards green solutions and shift capital away from economic activities which are harmful towards the environment, the EU has proposed Paris-Aligned Investment Benchmarks (Hoepner et al., 2019a,b) as well as a Taxonomy for environmentally sustainable activities in the areas of climate change mitigation and adaptation, water, biodiversity, pollution and circular economy (Slevin et al., 2020). Similar green finance policy initiatives have emerged around the world, including in response to the pandemic (Hepburn et al. 2020). In this light, financial economists have recently started to take a keen interest in solving such environmental problems by understanding the source of risk and uncertainty related to environmental issues and how these can be accounted for in innovative financing solutions (Giglio, Kelly & Stroebel, 2020) and green policies (Hoepner et al., 2021).