research

• International Climate News (with Riccardo Colacito, Max Croce, and Biao Yang)

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Abstract: We develop novel high-frequency indices that measure climate attention, covering a wide range of both developed and emerging economies. This is achieved by analyzing the text of over 23 million tweets published by leading national newspapers on Twitter during the period from 2014 to 2022. Our findings reveal that a country experiencing more severe climate news shocks tends to see both an inflow of capital and an appreciation of its currency. In addition, brown stocks in highly exposed countries experience large and persistent negative returns after a global climate news shock. These outcomes align with the predictions of a risk-sharing model in which investors price climate news shocks and trade consumption and investment goods in global markets.

• When the Markets Get CO.V.I.D.: COntagion, Viruses, and Information Diffusion (2024) (with Max Croce, Paolo Farroni and Isabella Wolfskeil) Journal of Financial Economics, Vol. 157: 103850.

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Abstract: We quantify the exposure of major financial markets to news shocks about global contagion risk while accounting for local epidemic conditions. For a wide cross section of countries, we construct a novel dataset comprising (i) announcements related to COVID19 and (ii) high-frequency data on epidemic news diffused through Twitter (Hassan et al. 2019's methodology). We provide novel empirical evidence about financial dynamics both around epidemic announcements and at daily/intra-daily frequencies. Analysis of contagion data and social media activity about COVID19 suggest that the market price of contagion risk is significant.