Media Attention for Carbon Neutrality, Investor Sentiment, and Excess Stock Returns: Evidence from Mass Media and Social Media

To study the impact of media attention for carbon neutrality on excess stock returns and the effect of investor sentiment, we first crawled news reports and investor comments from mass media and social media using Python programming language. Then we used text analytics and Bi-directional long-short-term memory (BiLSTM) to get media attention and investor sentiment indexes from the news reports and online comments. Further, the effects of media attention and investor sentiment on excess stock returns were studied. The regression results of daily and weekly data show that there is a significant positive correlation between media attention for carbon neutrality and excess returns of carbon-neutrality-related stocks. Moreover, investor sentiment plays an important moderating role in the relationship. In particular, the more positive the investor sentiment, the larger the size of the media effect.