Investor Sentiment for Sustainability (ISS): An Index

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Investments in sustainable assets have grown at a rapid pace over the last decade. As of 2021, investments labeled as sustainable have totalled more than USD 35 trillion. This growth in sustainability is arguably being fuelled by rising investor preferences. We construct a novel and direct market-wide aggregate index tracking investor sentiment for sustainability. The ISS uses messages shared on the social media investment platform StockTwits.

The detailed methodology is explained in the working paper:

"From Chatter to Action: An Index of Sustainability Sentiment"

available here:

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3964819

• sentiment for sustainability is time varying and tends to increase during market downturns
• positive sentiment shocks drive prices of sustainable stocks up, which is corrected in the long run
• negative sentiment shocks predict long-term asset price decreases for sustainable stocks
• sentiment forecasts flows into sustainable mutual funds