The CRISES indexes and asset prices

Hany Fahmy was granted funding through an Internal Grant for Research to use machine learning and text mining techniques to understand the impact of climate sentiment on asset prices.

We test the impact of investor climate change sentiment on asset prices. We measure climate sentiment towards physical and regulatory aspects of climate change by constructing several Climate-Related Investor Sentiment Excerpted by Search (CRISES) indexes using machine learning and text mining techniques on a wide range of social media platforms and news outlets. We then quantify the impact of our CRISES indexes on price reversal and excess volatility of different types of asset classes at the aggregate market level.