Unexpected changes in climate concerns and the dynamics of the implied-volatility surface.
From sentiment extracted out of earnings calls to an implementable trading strategy.
Extending the concern-index approach from climate to social risk, and testing it on retail fund flows.
Option-implied moments read against the Media Climate Change Concerns index.
Social-media activity around coordinated cryptocurrency pump-and-dump schemes.
Green stocks outperform brown stocks when climate change concerns rise unexpectedly — measured with a news-based index built for the purpose.
Green and brown portfolios differ in their factor exposures — which complicates reading their return spread as a climate signal.
The room a manager has to add value differs systematically between green and brown segments.
News media add information beyond earnings press releases and earnings calls — and market participants overreact to it.