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Publications in Peer Reviewed Journals
  1. 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]

  2. 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.

  3. 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]

  4. 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]

  5. 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]

  6. 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
Carbon Risk Premium and Worries about Climate Change [Link]

with Angelo Moretti. Under review.

Abstract. This paper sheds light on the impact of investor worries about climate change on the pricing of emission (carbon-intensive) and clean (low-emission) stocks. We estimate the carbon risk premium in a cross-section of over 4,800 firms in 21 countries. We do not find evidence of a carbon risk premium when investor worries about climate change are low. Moreover, the carbon premium is significant for medium-high quantiles of the return distribution when investors’ worries are high. Overall, our results are consistent with an interpretation that non-worried investors are not demanding compensation for their exposure to carbon emission risk.

News media risk and ambiguity: An application to CDS spreads
with Amirhossein Sadoghi. Under review.

Abstract. We construct a daily time series of perceived global risk and ambiguity using news published by major international newspapers. We propose a novel approach to measure ambiguity. First, we perform topic modeling on risk-related news to identify different sources of uncertainty. The ambiguity of a given topic is computed as the expected volatility of the probability that different newspapers discuss that topic. Next, we empirically test whether perceived global risks and ambiguity can explain credit default swap (CDS) spreads. We find that higher perceived ambiguity (risk) is associated with decreased (increased) CDS spreads of up to 5.9 (4.9) bps.

SME’s Environmental Attributes and Performance: A Data Integration Approach

with Angelo Moretti and Lorren Mernier.

Abstract. To address the scarcity of sustainability data for SMEs, we conduct statistical matching using information from the Flash Eurobarometer survey “SMEs, resource efficiency, and green markets” alongside Orbis Europe. Examining over 30,000 firms across 32 countries, our study delves into the association between SMEs’ green strategies and their financial performance. Notably, we observe that prior financial success enhances the probability of SMEs adopting internal green strategies, although it does not influence external green strategies. Moreover, the relationship
between green strategies and subsequent financial performance exhibits variability based on industry, firm characteristics, and the environmental performance levels of respective countries. This nuanced analysis sheds light on the intricate connections between SMEs’ green initiatives and their financial outcomes.

Work in Progress

SME's Green Strategies and Financial Constraints: A Cross-Country Study
with Angelo Moretti and Lorren Mernier

Stock Market Reaction to Extreme Weather Events
with Si ChengFearghal Kearney and Jiadong Liu

Corporate Bond Returns, and Climate Change Risk and Ambiguity 
with Amirhossein Sadoghi

Bond Market Reaction to Central Banks Communications on Climate Change
with Amirhossein Sadoghi

Relative performance of Mean-Variance, Kelly and Universal Portfolios in the Equity Market 
with Giulio Bottazzi
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