More Than Chatter: An Index of Sustainability Sentiment

79 Pages Posted: 18 Nov 2021 Last revised: 23 May 2022

See all articles by Daniele Ballinari

Daniele Ballinari

University of Basel

Ola Mahmoud

University of St. Gallen; University of California at Berkeley; Swiss Finance Institute

Date Written: November 16, 2021


We develop a novel and direct measure of investor sentiment for sustainability using microblogging-data from a social media investing platform and present evidence that it predicts asset prices. Our sustainability sentiment index contains granular information on environmental, social, and governance concerns separately, with social concerns more prominent during market crises and affecting long-term asset prices. In terms of return predictability, we find that (i) positive sentiment shocks drive up short-term returns of sustainable stocks, which is corrected in the long run; (ii) negative sentiment shocks predict long-term asset price decreases for sustainable stocks; and (iii) sentiment forecasts flows into sustainable mutual funds.

Keywords: sustainable finance, investor sentiment, ESG, asset pricing

JEL Classification: G12, G40, Q01

Suggested Citation

Ballinari, Daniele and Mahmoud, Ola, More Than Chatter: An Index of Sustainability Sentiment (November 16, 2021). Available at SSRN: or

Daniele Ballinari

University of Basel ( email )

Petersplatz 1
Basel, CH-4003

Ola Mahmoud (Contact Author)

University of St. Gallen ( email )

Institute of Economics
VarnbĂĽelstrasse 19
St Gallen, St. Gallen 9000

University of California at Berkeley ( email )

Consortium for Data Analytics in Risk
Evans Hall
Berkeley, CA 8032
United States

Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4

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