Combining　internet　text　and　stock　trading　data,　we　construct　two　investor　sentiment　proxies　for　78　carbon-neutral　stocks　in　Chinese　stock　markets　based　on　the　FinBERT　model　and　principal　component　analysis.　We　then　examine　the　effects　of　the　two　investor　sentiment　indices　on　carbonneutral　stock　returns　using　dynamic　panel　models.　We　also　investigate　the　mediating　role　of　liquidity　on　the　effects　of　investor　sentiment.　Our　results　reveal　that　both　trading　and　internet　sentiment　negatively　affect　stock　returns　through　the　mediating　effect　of　liquidity.　This　finding　holds　after　robustness　checks　for　dividing　the　sample　into　pre　and　post-epidemics.　However,　due　to　the　effects　of　COVID-19,　carbon-neutral　stock　returns　are　found　to　be　more　susceptible　to　investor　sentiment.