Public attention to environmental issues and stock market returns

Public attention to environmental issues and stock market returns

This paper empirically examines the effect of public attention to climate change and pollution on the weekly returns on US sustainability stock indices (i.e. the DJSI US and the FTSE4Good USA Index) in comparison to their conventional counterparts (i.e. the S&P 500 Index and the FTSE USA). In ad...

Deskribapen osoa

Gorde:
Xehetasun bibliografikoak
Argitaratua izan da:MAGKS - Joint Discussion Paper Series in Economics (Band 22-2019)
Egile Nagusiak: El Ouadghiri, Imane, Guesmi, Khaled, Peillex, Jonathan, Ziegler, Andreas
Formatua: Artikulua
Hizkuntza:ingelesa
Argitaratua: Philipps-Universität Marburg 2019
Gaiak:
asset pricing models
environmental issues
Public attention
stock returns
Wirtschaft
sustainability stock indices
Economics
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Deskribapena
Gaia:This paper empirically examines the effect of public attention to climate change and pollution on the weekly returns on US sustainability stock indices (i.e. the DJSI US and the FTSE4Good USA Index) in comparison to their conventional counterparts (i.e. the S&P 500 Index and the FTSE USA). In addition to unexpected global climate-related natural weather disasters, we consider two complementary measures of public attention to these environmen-tal issues: (i) US media attention to climate change and pollution and (ii) the US Google Search Volume Index for these two keywords. Robust to several sensitivity analyses, our econometric analysis for the period from 2004 to 2018 reveals that public attention to envi-ronmental issues has a significantly positive (negative) effect on the returns on US sustaina-bility (conventional) stock indices. A possible explanation of this result is that high public attention to environmental issues may drive traditionally sustainable investors, neo-sustainable, and opportunistic self-interested investors to favor stocks of sustainable firms. The insights from our empirical study are important for private and institutional investors, managers of firms, and public policy.
Deskribapen fisikoa:36 Seiten
ISSN:1867-3678
DOI:10.17192/es2024.0617

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