Investor Climate Sentiment and Financial Markets

43 Pages Posted: 3 Feb 2021 Last revised: 12 Aug 2022

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 (i.e., release of a report on climate change, high coverage of negative news on climate change, abnormal weather events, and high carbon prices) facilitate the investor learning process and correction of the mispricing.

Keywords: Climate Change, Sentiment, Asset Pricing, Sustainable Investing, Social Networks, StockTwits, Textual Analysis.

JEL Classification: G10; G12; Q54; Q58.

Suggested Citation

Santi, Caterina, Investor 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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