Investor climate sentiment and financial markets

Caterina Santi

International Review of Financial Analysis, 2023, vol. 86, issue C

Abstract: We propose to measure investor climate sentiment by performing sentiment analysis on StockTwits posts on climate change and global warming. In financial markets, stocks of emission (carbon-intensive) firms underperform clean (low-emission) stocks when investor climate sentiment is more positive. We document investors overreaction to climate change risk and reversal in longer horizons. Salient but uninformative climate change events, such as the release of a report on climate change and abnormal weather events, facilitate the investor learning process and correction of the mispricing.

Keywords: Climate change; Sentiment; Asset pricing; Sustainable investing; Textual analysis (search for similar items in EconPapers)
JEL-codes: G10 G12 Q54 Q58 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000066

DOI: 10.1016/j.irfa.2023.102490

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