Media Climate Change Concern and Stock Returns
构建了一个基于报纸、广播和电视等媒体渠道的意外气候变化报道指数，发现该指数能负向预测股市整体回报，且主要通过现金流渠道影响市场，揭示了产品需求可能发生转变。
ABSTRACT This study introduces a media climate change concern index, derived from unexpected climate change coverage across diverse media channels, including print (newspapers), voice (radio), and video (television). The index negatively predicts aggregate stock market returns, both in‐sample and out‐of‐sample, offering potential gains for investors. Our findings emphasize the media's influence on market returns through climate change discussions, mainly via the cash‐flow channel. This reveals possible shifts in product demand, while demand for green or brown stocks may not be altered as expected, possibly due to “greenwashing” by institutional investors exaggerating their environmental commitments.