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Air pollution, investor sentiment and excessive returns

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  • Matthew Muntifering

    (Auburn University)

Abstract

This paper extends the asset pricing literature by offering a proprietary index of negative investor sentiment linked to carbon monoxide (CO), nitrogen dioxide (NO2), ozone particle (O3), 2.5 mm particulate matter (PM2.5), and sulfur dioxide (SO2) levels; determining the link between New York City air pollution and stock market returns. Kindly note that Food products and wholesale portfolio returns on average increase with enhanced negative investor sentiment. This is consistent with behaviors associated with psychological stress, like binge eating and shopping sprees. Personal services portfolio returns decrease on average with increased negative investor sentiment, consistent with behavioral isolationism.

Suggested Citation

  • Matthew Muntifering, 2021. "Air pollution, investor sentiment and excessive returns," Journal of Asset Management, Palgrave Macmillan, vol. 22(2), pages 110-119, March.
    • Handle: RePEc:pal:assmgt:v:22:y:2021:i:2:d:10.1057_s41260-021-00206-4
    DOI: 10.1057/s41260-021-00206-4
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    Cited by:

    1. Xinming Du, 2023. "Symptom or Culprit? Social Media, Air Pollution, and Violence," CESifo Working Paper Series 10296, CESifo.

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    More about this item

    Keywords

    asset pricing models; investor sentiment; air pollution;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • Q52 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Pollution Control Adoption and Costs; Distributional Effects; Employment Effects

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