Whether risk aversion is time varying and countercyclical is central to modern asset pricing, yet evidence remains limited and is based mainly on experimental, survey, or aggregate stock market data. We provide individual-level evidence from 10 million Chinese auto insurance contracts from 2011 to 2017, estimating policyholders' risk aversion from deductible choices. We find that risk aversion is time varying and countercyclical. The estimates are negatively related to lottery and stock trading, positively related to insurance sales and bond trading, and vary with psychological factors, including seasonal mood, "zodiac year," and calendar events.

Does the green premium reflect a non-pecuniary taste for green assets or a pecuniary belief about climate risk? We construct the first large-scale panel of investor-level green preferences and climate-risk perceptions by fine-tuning LLaMA classifiers on mandatory Form ADV filings. Embedding these two dimensions into an asset demand system reveals that they operate on fundamentally different margins. Taste-driven investors exhibit a price-invariant willingness to pay, avoiding carbon-intensive assets regardless of valuation. Conversely, risk-aware investors exhibit highly price-elastic demand, actively rebalancing into brown stocks as valuations fall. A general-equilibrium decomposition demonstrates that these motives exert opposing forces: the taste mandate widens the green premium, while the risk motive compresses it. Consequently, the institutional green premium is overwhelmingly taste-driven, a structural reality that explains its trajectory and resilience through the post-2022 anti-ESG cycle.

As climate change intensifies, high-emission firms exhibit lower price valuation ratios compared to their low-emission counterparts within the same country. Using data from 43 major equity markets, we find that high-emission firms respond to equity price pressure by reducing carbon emissions, increasing green innovation, and downsizing operations. These changes are unlikely consequences of broader economy-wide trends, as similar patterns are not observed among private high-emission firms. To address endogeneity concerns, we employ an instrumental variable approach using local natural disasters as exogenous shocks to high-emission firms' stock prices, yielding consistent results. Our findings contribute to the ongoing debate on the effectiveness of sustainable investing by demonstrating its tangible impact on firm behavior.

This paper develops a supply-demand framework to quantify and decompose the effects of investor demand on corporate financing and investment. The framework extends demand-based asset pricing models by incorporating endogenous corporate decisions. Using Gabaix and Koijen (2024)'s granular instrumental variable approach, I estimate the model parameters and find that a $1 investor flow generates $0.012 in share issuance within the first quarter and a cumulative $0.24 over two years. Similarly, a 1% investor flow increases firm investment by 0.19% over two years. The results reveal significant asymmetry: firms respond more strongly to inflows than to outflows. Counterfactual analysis shows that investor preferences substantially dampen firms' investment responses to flows. The framework also provides a novel tool to evaluate firms' role in stabilizing the stock market.

We analyze class action litigation as a corporate governance device. Firms that have lower internal governance standards and those with fewer external monitors are more likely to be indicted. Lawsuits announcements are salient information to the market, as firms, on average, lose 12.3% without a reversal up to three years following the first court date, which points at a substantial reputation loss. Indicted firms readjust their operations, meanwhile sophisticated investors decrease their positions. Stock market activity surges for firms suspected of fraud, and a conservative trading strategy yields significant returns over the subsequent period. Lawsuits also affect competitors both through competitive and contagion channels.