Publications in Peer Reviewed Journals
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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
Media-Perceived Ambiguity and Risk: Implications for Climate Change Hedging and Corporate Bond Returns
with Amirhossein Sadoghi. Under review.
Abstract. This study investigates how climate change ambiguity, capturing variability in how climate-related events are covered across media outlets, affects intertemporal hedging practices and corporate bond returns. By analyzing the covariance of bond returns with climate change risk derived from news articles, we find that investors demand bonds with a high potential to hedge against climate risk. However, increased ambiguity over climate change diminishes investor demand for these bonds. Moreover, when climate change risk and ambiguity are high, investors use bonds issued by firms with low exposure to climate change for hedging purposes because these firms enjoy a strong reputation and trust.
Decoding News: How Media Risk and Ambiguity Shape CDS Spreads [Link]
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.
Linking Survey-Based Sustainability and Financial Data for SMEs [Link]
with Angelo Moretti and Lorren Mernier. Under review.
Abstract. Effective environmental management in small and medium-sized enterprises (SMEs) is difficult to assess at scale due to data availability constraints. This paper introduces a replicable methodology to construct a firm-level dataset on SMEs’ environmental strategies by statistically matching anonymized survey data from the Flash Eurobarometer with accounting data from Orbis Europe. This innovation addresses a critical gap in sustainability strategy research—the lack of reliable data for SMEs. We evaluate the quality of the matched data using simulation-based diagnostics and validate its usefulness by replicating well-established relationships between environmental strategies and financial performance. Our findings support the credibility of the matched dataset and its utility for future research and policy development related to SME sustainability transitions.