Investor Climate Sentiment and Financial Markets

45 Pages Posted: 3 Feb 2021 Last revised: 8 Jan 2023

See all articles by Caterina Santi

Caterina Santi

University of Liège - HEC Liège

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

Santi, Caterina, Investor Climate Sentiment and Financial Markets (September 22, 2020). International Review of Financial Analysis, Forthcoming, Available at SSRN: or

Caterina Santi (Contact Author)

University of Liège - HEC Liège ( email )

Rue Louvrex 14
Liège, 4000


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