Firm-level Climate Change Exposure

• Contributors: Zacharias Sautner, Laurence van Lent, Grigory Vilkov, Ruishen Zhang
• Date created: 2020-06-29 10:50 PM | Last Updated: 2021-10-08 05:02 PM
• Identifier: DOI 10.17605/OSF.IO/FD6JQ

• Description: We introduce a methodology to identify firm-level climate change exposures through textual analysis of earnings conference call transcripts from over 10,000 firms across 34 countries (2002-2020). This approach captures three dimensions of climate-related shocks: opportunity, physical, and regulatory risks. The exposure metrics demonstrate cross-sectional and temporal variations consistent with theoretical expectations, and outperform traditional carbon intensity measures or sustainability ratings in capturing firm-level heterogeneity. These measures exhibit significant correlations with economic factors previously identified as climate exposure determinants (e.g., public climate awareness). Notably, regulatory shock exposure shows negative valuation effects, but only in recent years.
• Background: For comprehensive methodological details, refer to the cited paper's data and methodology sections. Briefly summarized: Exposure measures are computed as the frequency ratio of climate-related bigrams to total bigrams in transcripts, interpreted as indicators of climate-related events or shocks affecting firms. The methodology further enables calculation of first-moment (sentiment) and second-moment (risk) measures. Sentiment analysis employs the Loughran and McDonald (2011) dictionary to detect positive/negative tone words near climate bigrams. Risk measurement quantifies co-occurrences of climate bigrams with "risk"/"uncertainty" terms, following Hassan et al. (2019) methodology. These metrics collectively represent expected impact direction and uncertainty magnitude of climate shocks.

• Updates [2021-05-14]: Dataset extended through 2020Q4.
• Updates [2021-04-03]: Added missing 2019Q3-Q4 data in current version.
• Updates [2021-01-19]: Data updated to 2020Q3.

  Required citation when using this Climate Change Exposure/Risk/Sentiment dataset:

• Sautner, Z., L. van Lent, G. Vilkov, and R. Zhang, Firm-level Climate Change Exposure, 2020. Available at SSRN: https://ssrn.com/abstract=3642508

  This dataset is publicly available for non-commercial use with proper attribution:

• Sautner, Z., L. van Lent, G. Vilkov, and R. Zhang, 2020. ”Data for ‘Firm-level Climate Change Exposure’”. https://doi.org/10.17605/OSF.IO/FD6JQ

  Users must cite both the dataset and accompanying paper in all derivative works.

  Authorized by Professor Ruishen Zhang from Shanghai University of Finance and Economics, CnOpenData has established this data portal with search functionality to facilitate academic access.

  Data download available at Firm-level Climate Change Exposure or via direct download link below.

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Time Period(时间区间)

2001-2020

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Field Display(字段展示)

Sample Data(样本数据)

firm-year-level Climate Change Exposure

firm-quarter-level Climate Change Exposure

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References(参考文献)

• Sautner, Zacharias and van Lent, Laurence and Vilkov, Grigory and Zhang, Ruishen, Firm-level Climate Change Exposure (May 10, 2021). European Corporate Governance Institute–Finance Working Paper No. 686/2020, Available at SSRN: https://ssrn.com/abstract=3642508 or http://dx.doi.org/10.2139/ssrn.3642508

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Data Update Frequency(数据更新频率)

Irregular updates