Publications in Peer Reviewed Journals
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Sadoghi, Amirhossein and Santi, Caterina (2026). Decoding News: How Media Risk and Ambiguity Shape CDS Spreads. Journal of Economic Dynamics and Control (ABS 3), 105322. [Link]
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Morreti, Angelo, and Santi, Caterina, 2025. Worries about Energy Security and Stock Returns. Journal of Economic Behavior and Organization (ABS 3), 238, 107210. [Link]
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Santi, Caterina, and Zwinkels, Remco C.J., 2023. Exploring style herding by mutual funds. Journal of International Financial Markets, Institutions and Money (ABS: 3) 101762. [Link]
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Santi, Caterina, 2023. Investor Climate Sentiment and Financial Markets. International Review of Financial Analysis (ABS: 3), Volume 86, 102490. [Link] Data on Investors Climate Sentiment available here.
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He, Xuezhong, Kai Li, Caterina Santi, and Shi, Lei, 2022. Social Interaction, Stochastic Volatility, and Momentum. Journal of Economic Behavior and Organization (ABS: 3), 203, 125-149. [Link]
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Chan, Joshua C.C., and Santi, Caterina, 2021. Speculative Bubbles in Present-Value Models: A Bayesian Markov-Switching State Space Approach. Journal of Economic Dynamics and Control (ABS: 3), Volume 127, 104101. [Link]
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Moretti, Angelo, and Santi, Caterina, 2020 Commentary to "Klingwort, J., and Schnell, R. (2020). Critical Limitations of Digital Epidemiology: Why COVID-19 Apps Are Useless." Survey Research Methods, 14(2), 95-101. [Link]
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Santi, Caterina, and Santoleri, Pietro, 2017. Exploring the link between Innovation and Growth in Chilean firms. Small Business Economics (ABS: 3), 49 (2): 445-467. [Link]
Working Papers
Ambiguity in Attention to Climate Change and Corporate Bond Returns
with Amirhossein Sadoghi.
Abstract. This study examines how ambiguity in news media attention to climate change, capturing variability in how climate-related events are covered across media outlets, affects corporate bond pricing and intertemporal hedging demand. We show that investors prefer bonds with strong potential to hedge against climate risk, thereby accepting lower future returns. This hedging premium is significantly attenuated when media ambiguity is high: during periods of elevated ambiguity, the standard hedging incentive weakens and, for physical climate risks, reverses entirely. Long-term bonds are more sensitive to physical climate risk hedging demand, while transition risk hedging is more pronounced for short-term bonds. When both transition risk and ambiguity are elevated, investors favor bonds issued by firms with low climate exposure, whose reputational resilience preserves their hedging value under uncertain conditions.
Data Integration for the Analysis of SMEs’ Environmental Strategies and Financial Performance
with Angelo Moretti. Under review.
Abstract. Research on the relationship between environmental strategies and firm performance is limited by an important data challenge: information on firms’ environmental practices is typically collected through surveys, whereas financial outcomes are recorded in administrative and accounting databases, with no unique identifiers linking the two sources. To address this limitation, we propose a data integration framework that combines anonymised survey responses from the Flash Eurobarometer with firm-level accounting records from Orbis Europe through statistical matching. This approach enables the construction of a new dataset integrating environmental strategies and financial performance for more than 30,000 small and medium-sized enterprises (SMEs) across 32 countries. The proposed statistical matching approach is evaluated through a simulation study based on real data sources and an empirical application, where different strategies available in the literature are compared. Using the integrated dataset, we examine the association between alternative green strategies and financial performance while accounting for endogeneity. The results indicate that SMEs offering green products or services and those employing workers in dedicated green jobs achieve significantly higher returns on assets. Without data integration, these analyses would not be feasible at this scale, as no single data source contains both environmental and financial information at the firm level.