Investors' Climate Sentiment and Financial Markets

30 Pages Posted: 3 Feb 2021 Last revised: 2 Jul 2021

See all articles by Caterina Santi

Caterina Santi

Cork University Business School

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 investors' climate sentiment generates a mispricing in the Emission-minus-Clean (EMC) portfolio, the portfolio that invests in emission stocks and goes short on clean stocks. Specifically, when investors share a positive attitude towards climate change, they tend to overvalue the negative externalities produced by emission stocks. Moreover, we show that an increase in carbon prices is followed by a decrease in the value of the EMC portfolio. 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, G13, G18, Q54

Suggested Citation

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

Caterina Santi (Contact Author)

Cork University Business School ( email )

College Rd, University College Cork


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