[en] 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, abnormal weather events, and high carbon prices) facilitate the investor learning process and correction of the mispricing.
Disciplines :
Finance
Auteur, co-auteur :
Santi, Caterina ; Université de Liège - ULiège > HEC Recherche > HEC Recherche: Financial Management for the Future
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