Template-Type: ReDIF-Article 1.0

Author-Name: Balazs J. Csillag
Author-Workplace-Name: John von Neumann University
Author-Email: csillagb3@gmail.com

Author-Name: Marcell P. Granat
Author-Workplace-Name: Magyar Nemzeti Bank
Author-Email: granatm@mnb.hu

Author-Name: Gabor Neszveda
Author-Workplace-Name: Magyar Nemzeti Bank
Author-Email: neszvedag@mnb.hu


Title: Media Attention to Environmental Issues and ESG Investing

Abstract: We analyse how ESG scores affect future returns when environmental issues receive
higher media coverage. Investors might take environmental aspects into account if
they are confronted with the issue of global warming more frequently in the press.
We assess the prevalence of environmental issues in the media with a machine
learning-based Structural Topic Modelling (STM) methodology, using a news
archive published in the USA. Running Fama-MacBeth regressions, we find that in
periods when the media actively report on environmental issues, ESG scores have
a significant negative impact on future returns, whereas, in months when fewer such
articles are published, investors do not take sustainability measures into account,
and ESG scores have no explanatory power.

Classification-JEL: C55, G12
Keywords: ESG, environmental issues, investors' attention, Structural Topic Model, Fama-MacBeth regression
Pages: 129-149
Volume: 21
Issue: 4
Year: 2022
File-URL: https://en-hitelintezetiszemle.mnb.hu/letoltes/fer-21-4-st5-csillag-granat-neszveda.pdf
File-Format: Application/pdf
Handle: RePEc:mnb:finrev:v:21:y:2022:i:4:p:129-149