IDEAS home Printed from https://ideas.repec.org/a/kap/compec/v66y2025i3d10.1007_s10614-024-10739-6.html
   My bibliography  Save this article

Media Attention for Carbon Neutrality, Investor Sentiment, and Excess Stock Returns: Evidence from Mass Media and Social Media

Author

Listed:
  • Gaoshan Wang

    (Shandong University of Finance and Economics
    Shandong University of Finance and Economics)

  • Yue Wang

    (Shandong University of Finance and Economics)

  • Yilin Dong

    (Shandong University of Finance and Economics)

  • Xiaohong Shen

    (Shandong University of Finance and Economics)

Abstract

To study the impact of media attention for carbon neutrality on excess stock returns and the effect of investor sentiment, we first crawled news reports and investor comments from mass media and social media using Python programming language. Then we used text analytics and Bi-directional long-short-term memory (BiLSTM) to get media attention and investor sentiment indexes from the news reports and online comments. Further, the effects of media attention and investor sentiment on excess stock returns were studied. The regression results of daily and weekly data show that there is a significant positive correlation between media attention for carbon neutrality and excess returns of carbon-neutrality-related stocks. Moreover, investor sentiment plays an important moderating role in the relationship. In particular, the more positive the investor sentiment, the larger the size of the media effect.

Suggested Citation

  • Gaoshan Wang & Yue Wang & Yilin Dong & Xiaohong Shen, 2025. "Media Attention for Carbon Neutrality, Investor Sentiment, and Excess Stock Returns: Evidence from Mass Media and Social Media," Computational Economics, Springer;Society for Computational Economics, vol. 66(3), pages 2413-2437, September.
    • Handle: RePEc:kap:compec:v:66:y:2025:i:3:d:10.1007_s10614-024-10739-6
    DOI: 10.1007/s10614-024-10739-6
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s10614-024-10739-6
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s10614-024-10739-6?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    JEL classification:

    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets
    • G40 - Financial Economics - - Behavioral Finance - - - General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:compec:v:66:y:2025:i:3:d:10.1007_s10614-024-10739-6. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.