This paper empirically examines the effect of public attention to climate change and pollution on the weekly returns on US sustainability stock indices (i.e. the DJSI US and the FTSE4Good USA Index) in comparison to their conventional counterparts (i.e. the S&P 500 Index and the FTSE USA). In addition to unexpected global climate-related natural weather disasters, we consider two complementary measures of public attention to these environmental issues: (i) US media attention to climate change and pollution and (ii) the US Google Search Volume Index for these two keywords. Robust to several sensitivity analyses, our econometric analysis for the period from 2004 to 2018 reveals that public attention to environmental issues has a significantly positive (negative) effect on the returns on US sustainability (conventional) stock indices. A possible explanation of this result is that high public attention to environmental issues may drive traditionally sustainable investors, neo-sustainable, and opportunistic self-interested investors to favor stocks of sustainable firms. The insights from our empirical study are important for private and institutional investors, managers of firms, and public policy.

中文翻译：

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公众对环境问题和股市回报的关注

本文实证检验了公众对气候变化和污染的关注对美国可持续发展股票指数（即 DJSI US 和 FTSE4Good USA 指数）与其传统对应指数（即标准普尔 500 指数和富时美国指数）的每周回报的影响）。除了意外的全球气候相关自然天气灾害外，我们还考虑了公众对这些环境问题的关注的两种互补措施：(i) 美国媒体对气候变化和污染的关注以及 (ii) 这两个关键词的美国谷歌搜索量指数. 我们对 2004 年至 2018 年期间的计量经济学分析表明，公众对环境问题的关注对美国可持续发展（传统）股票指数的回报具有显着的正（负）影响，这对多项敏感性分析非常有效。对这一结果的一个可能解释是，公众对环境问题的高度关注可能会促使传统的可持续投资者、新可持续投资者和机会主义的自利投资者青睐可持续公司的股票。我们实证研究的见解对私人和机构投资者、公司经理和公共政策都很重要。