EGU21-2016
https://doi.org/10.5194/egusphere-egu21-2016
EGU General Assembly 2021
© Author(s) 2021. This work is distributed under
the Creative Commons Attribution 4.0 License.

Investors’ Climate Sentiment and Financial Markets

Caterina Santi
Caterina Santi
  • University College Cork, Accounting and Finance, Ireland (santicaterina8@gmail.com)

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 (Choi et al., 2020), 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 carbon prices are a successful incentive to reduce CO2 emissions. Finally, our model can predict the price of the EMC portfolio also for long-term horizons.

How to cite: Santi, C.: Investors’ Climate Sentiment and Financial Markets, EGU General Assembly 2021, online, 19–30 Apr 2021, EGU21-2016, https://doi.org/10.5194/egusphere-egu21-2016, 2021.

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