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Green Attention in Financial Markets: A Global Warning

Author

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  • Marie Bessec
  • Julien Fouquau

Abstract

We use textual analysis to measure the growing concern about environmental issues and to assess its impact on stock prices in the United States. Using a dataset of 71,785 articles published in The Wall Street Journal from 2010 to 2019, we create several scores capturing media coverage of environmental news and investigate their influence on US stocks. The best score overweights the news published on the front page of the newspaper and unusual environmental words in the corpus. We find a significant impact of the score on the stock returns of more than one third of firms in the sectors exposed to environmental risks. The impact is negative (positive) in the most (least) polluting sectors. The results are robust to the use of alternative lexicons and weighting schemes, various specifications and sample periods.

Suggested Citation

  • Marie Bessec & Julien Fouquau, 2022. "Green Attention in Financial Markets: A Global Warning," Annals of Economics and Statistics, GENES, issue 148, pages 29-64.
    • Handle: RePEc:adr:anecst:y:2022:i:148:p:29-64
    DOI: https://www.jstor.org/stable/48706309
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    More about this item

    Keywords

    Environmental Finance; Climate Change; Investor Sentiment; Media Coverage; Textual Analysis;
    All these keywords.

    JEL classification:

    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming
    • Q57 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Ecological Economics
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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