Media Attention to Environmental Issues and ESG Investing


Balazs Csillag, Marcell Granat, Gabor Neszveda


December 22, 2022

Our recent article in the Financial and Economic Review investigates the relationship between the future yield of ESG investment and the news in the media.

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.

The article is accessible in English and Hungarian.