Investors' Climate Sentiment and Financial Markets
42 Pages Posted: 3 Feb 2021 Last revised: 15 Oct 2021
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: Suggested Citation