Media Climate Change Concern and Stock Returns

ABSTRACT This study introduces a media climate change concern index, derived from unexpected climate change coverage across diverse media channels, including print (newspapers), voice (radio), and video (television). The index negatively predicts aggregate stock market returns, both in‐sample and out‐of‐sample, offering potential gains for investors. Our findings emphasize the media's influence on market returns through climate change discussions, mainly via the cash‐flow channel. This reveals possible shifts in product demand, while demand for green or brown stocks may not be altered as expected, possibly due to “greenwashing” by institutional investors exaggerating their environmental commitments.