Caterina Santi

HEC Liège

This study investigates the association between SMEs' green strategies and financial performance. We examine over 30,000 firms across 32 countries and conduct statistical matching using information from the Flash Eurobarometer surveys alongside Orbis Europe to address SMEs' sustainability data scarcity. After addressing endogeneity concerns and sam...

This paper incorporates information uncertainty and social interaction among investors into a random utility framework and develops a dynamic equilibrium model of asset pricing and investor choice. We show that strong social interaction can lead to endogenous switching between two persistent regimes for the mean choice fraction of investor populati...

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....

We estimate the dynamics of a speculative bubble subject to a surviving and a collapsing regime together with the dynamics of dividends and returns in a tractable state space specification of the present-value model. To estimate this new high-dimensional model, we develop an efficient Markov chain Monte Carlo sampler to simulate from the joint post...

In this article, we aim to stress that the fight of COVID-19 needs clear and timely data collection plans. Without data to support decisions, we can only hope for a fortunate guess. We need synergies between different research communities, policy-makers, Official Statistics, health institutions, and private companies which may provide non-conventio...

We propose to measure investor climate sentiment by performing sentiment analysis on StockTwits posts on climate change and global warming. In financial markets, stocks of emission (carbon-intensive) firms underperform clean (low-emission)stocks when investor climate sentiment is more positive. We document investors overreaction to climate change r...

In this article, we aim to stress that the fight of COVID-19 needs clear and timely data collection plans. Without data to support decisions, we can only hope for a fortunate guess. We need synergies between different research communities, policy-makers, Official Statistics, health institutions, and private companies which may provide non-conventio...

We incorporate a speculative bubble subject to a surviving and a collapsing regime into the present-value model by Binsbergen et al. (2010), who pioneer the latent variables approach to estimate expected returns and expected dividend growth rates. To estimate this new high-dimensional model, we develop an efficient Markov chain Monte Carlo sampler...

We document that the interaction of the firm’s ability to innovate and R&D expenditure can predict future operating performance; moreover the magnitude of these effects are significantly and substantially higher for firms with an R&D spending above the optimum. We also show that a long-short portfolio strategy which exploits information on the firm...

We investigate the relation between the introduction of innovation and subsequent firm growth employing a dataset representative of the Chilean productive structure. By means of quantile treatment effects (QTE), we estimate the effect of the introduction of innovation by comparing firms with a similar propensity to innovate for different quantiles...

This paper analyses style herding in the value-growth and size dimensions of U.S. domestic equity mutual funds. We document that mutual fund herding in styles is significant and persistent. Furthermore, the results show that mutual fund herding tends to increase after periods of high cumulative returns and market volatility. A higher sentiment is f...