Environmental sustainability and stock returns
用机器学习方法分析环境变量，发现环境可持续性强的公司未来股票回报更高，且媒体气候关注度高时该效应更明显。
We apply machine learning methods to granular environmental variables and test if there is a strong positive relation between environmental sustainability and future stock returns. A long-short portfolio that longs stocks with high forecasted returns and sells stocks with low forecasted returns earns large abnormal returns, and it performs better when climate concerns in the media are more intense. Further diagnosis shows that various dimensions of environmental sustainability help return predictions. High forecasted returns are associated primarily with strong environmental operational performance. The return prediction based on a customized transformer model is similar.