The Dynamic Effect of Climate News on Financial Markets: Evidence from France

Hamza Bennani and Samuel Ligonnière ()

Working Papers from HAL

Abstract: We investigate the dynamic response of stock market returns of 137 French companies to climate risks in France, proxied by media coverage, using local projections. First, we move beyond the conventional two-group approach by classifying firms into three categories—green, middle-brown, and super-brown—capturing heterogeneity in carbon emissions. Second, we distinguish between transitory and persistent climate-risk news shocks and trace their effect over a 24-month horizon. We find that climate-risk news shocks depress stock returns persistently, but this long-lasting effect is concentrated among middle-brown firms. Both the quantitative intensity and the qualitative tone of climate news matter. These results suggest that investors incorporate climate-related information only gradually, especially when firms' environmental positioning is not clear.

Keywords: climate risks; financial markets; natural language processing; local projections (search for similar items in EconPapers)
Date: 2025-09-22
Note: View the original document on HAL open archive server: https://hal.science/hal-04981801v2
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