Public Attention to Environmental Issues and Stock Market Returns

Imane El Ouadghiri, Khaled Guesmi, Jonathan Peillex and Andreas Ziegler

Ecological Economics, 2021, vol. 180, issue C

Abstract: This paper empirically examines the effect of public attention to climate change and pollution on the weekly returns on US sustainability stock indices (i.e. the DJSI US and the FTSE4Good USA Index) in comparison to their conventional parent indices (i.e. the S&P 500 Index and the FTSE USA). In addition to unexpected global climate-related natural weather disasters, we consider two complementary measures of continuous public attention to these environmental issues: (i) US media attention to climate change and pollution and (ii) the US Google Search Volume Index for these two keywords. Robust to several sensitivity analyses, our econometric analysis for the period from 2004 to 2018 reveals that public attention to environmental issues has a significantly positive (negative) effect on the returns on US sustainability (conventional) stock indices. A possible explanation of this result is that high public attention to environmental issues may drive traditionally sustainable investors, neosustainable, and opportunistic self-interested investors to favor stocks of sustainable firms. The insights from our empirical study are important for private and institutional investors as well as public policy.

Keywords: Public attention; Environmental issues; Stock returns; Sustainability stock indices; Asset pricing models (search for similar items in EconPapers)
JEL-codes: G14 Q51 Q53 Q54 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (51)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolec:v:180:y:2021:i:c:s0921800919315617

DOI: 10.1016/j.ecolecon.2020.106836

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