Value of climate change news: A textual analysis

Mohammad R. Allahdadi, Torun Fretheim and Kjetil Vindedal

Global Finance Journal, 2024, vol. 63, issue C

Abstract: There is a growing consensus that climate change poses a financial material risk to investors. In the face of escalating climate change risks, investors are seeking strategies to safeguard their portfolios. Building on a growing literature that combines textual analysis and dynamic hedging approach, we propose a method to construct portfolios of publicly traded assets that dynamically hedge climate change risk in the Norwegian stock market.

Keywords: Climate change; ESG; Textual analysis; Latent dirichlet allocation; Hedge portfolio; Sustainable investing (search for similar items in EconPapers)
JEL-codes: C63 G11 G18 Q54 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:63:y:2024:i:c:s1044028324001248

DOI: 10.1016/j.gfj.2024.101052

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