Investor Climate Sentiment and Financial Markets
45 Pages Posted: 3 Feb 2021 Last revised: 8 Jan 2023
Date Written: September 22, 2020
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.
JEL Classification: G10; G12; Q54; Q58.
Suggested Citation: Suggested Citation