Climate | 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.

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.

Impact of Climate Change Concerns on the Volatility of Green and Brown Stocks

Sun, 01 Sep 2024 00:00:00 +0000

Supervised by David Ardia. Built on the MCCC index.

Weathering the Markets: Exploring the Empirical Relationship Between Climate Change Concerns and Commodity Futures Contracts

Fri, 01 Mar 2024 00:00:00 +0000

Supervised by David Ardia. Built on the MCCC index.

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