Asset pricing | Sentometrics Research

Does Unexpected Change in Climate Risk Concerns Affect IV Surface Dynamics? A VAR Approach Using the UMC Index

Mon, 01 Sep 2025 00:00:00 +0000

Supervised by David Ardia.

Strategies to Monetize the Sentiment Extracted With NLP Techniques From Earnings Call Transcripts

Mon, 01 Sep 2025 00:00:00 +0000

Supervised by David Ardia.

When social risks matter: Retail fund flows and social concern

Mon, 01 Sep 2025 00:00:00 +0000

Work in progress with the University of Liège.

Examining the Relation Between Stocks' Option-Implied Moments and Climate Change Concerns

Tue, 01 Oct 2024 00:00:00 +0000

Supervised by David Ardia. Built on the MCCC index.

Twitter and cryptocurrency pump-and-dumps

Sat, 01 Jun 2024 00:00:00 +0000

Sentometric tools applied to a setting where the manipulation of attention is the phenomenon itself rather than a confound.

Climate change concerns and the performance of green versus brown stocks

Fri, 01 Dec 2023 00:00:00 +0000

Concern about climate change is not observable, so it has to be proxied. The paper builds a daily index from major US newspapers and newswires that combines the level of risk and the sentiment expressed in climate-related articles, weighted by media attention, and shows that unexpected increases in that index move green stocks relative to brown ones.

The index behind the paper is the Media Climate Change Concerns index, updated annually. National Bank of Belgium research award 2020. Covered by The New York Times in November 2021.

Factor exposure heterogeneity in green and brown stocks

Thu, 01 Jun 2023 00:00:00 +0000

How easy is it for investment managers to deploy their talent in green and brown stocks?

Thu, 01 Sep 2022 00:00:00 +0000

Media abnormal tone, earnings announcements, and the stock market

Sat, 01 Jan 2022 00:00:00 +0000

The paper extends the event-study framework to analyse cumulative abnormal tone alongside cumulative abnormal return, and uses structural topic modelling to show where media coverage differs in content from corporate disclosure. The media’s contribution comes from recontextualising and condensing earnings information rather than from reporting new facts.