Title: Environmental sentiment in financial market: A global warning
Authors: Marie Bessec - University Paris Dauphine (France) [presenting]
Julien Fouquau - ESCP Europe (France)
Abstract: There is growing literature using media text to capture investors' sentiment and investigating its influence on financial markets. We use textual analysis to measure the growing concern about climatic 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 environmental scores capturing the media coverage for environmental issues and we investigate their influence on 494 S\&P500 constituents in a Fama-French five factor model. We do find a significant impact of the environmental sentiment on the stock returns of nearly 25\% of the firms. The response varies across the different sectors. As expected, the effect is negative in energy and materials, in particular in chemicals and metals. A positive impact is found in retail estate and utilities. These results are robust to the use of alternative lexicons, various term weighting and sample periods.