Investors' Climate Sentiment and Financial Markets

42 Pages Posted: 3 Feb 2021 Last revised: 15 Oct 2021

See all articles by Caterina Santi

Caterina Santi

University of Liège - HEC Liège

Date Written: September 22, 2020


We propose a measure of investors' climate sentiment by performing sentiment analysis on StockTwits posts on climate change and global warming. We find that when investors' climate sentiment is high, emission stocks are relatively overpriced. Moreover, we show that an increase in carbon prices is followed by a decrease in the relative value of emission stocks. Finally, a portfolio strategy that uses information on investors' climate sentiment and carbon prices generates a return of 9.77% annually.

Keywords: Climate Sentiment, Asset Pricing, Social Networks, StockTwits

JEL Classification: C58, G10, G12, Q54

Suggested Citation

Santi, Caterina, Investors' Climate Sentiment and Financial Markets (September 22, 2020). Available at SSRN: or

Caterina Santi (Contact Author)

University of Liège - HEC Liège ( email )

Rue Louvrex 14
Liège, 4000


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