Firm-level Climate Change Exposure
- Contributors: Zacharias Sautner, Laurence van Lent, Grigory Vilkov, Ruishen Zhang
- Date created: June 29, 2020 10:50 PM | Last Updated: October 8, 2021 05:02 PM
- Identifier: DOI 10.17605/OSF.IO/FD6JQ
- Description: We introduce a methodology that identifies firm-level climate change exposures through textual analysis of earnings conference call transcripts from over 10,000 firms across 34 countries between 2002 and 2020. This approach captures exposures related to climate-related opportunities, physical impacts, and regulatory shocks. The exposure metrics demonstrate cross-sectional and temporal variations consistent with theoretical expectations and outperform carbon intensity metrics or ratings in capturing firm-level heterogeneity. These measures correlate with economic factors previously established as climate exposure indicators (e.g., public climate attention). Exposure to regulatory shocks exhibits a negative association with firm valuations, though this relationship emerges predominantly in recent years.
- Background: For comprehensive methodological details, refer to the cited paper. Briefly, exposure measures quantify the relative frequency of climate-related bigrams within transcripts, normalized by total bigrams. These metrics reflect firm-specific climate event occurrences. Our framework further enables construction of first-moment (sentiment) and second-moment (uncertainty) shock characteristics. Sentiment measures assess contextual tone polarity (Loughran and McDonald 2011), while risk metrics quantify co-occurrence with "risk"/"uncertainty" lexicons. Following Hassan et al. (2019), these components constitute integral dimensions of exposure measures.
- Updates [2021-05-14]: Data extended through 2020Q4.
- Updates [2021-04-03]: Added missing 2019Q3-Q4 data in latest version.
- Updates [2021-01-19]: Data updated through 2020Q3.
Please cite the following study when utilizing 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 accessible under the CC-BY 4.0 license, requiring attribution as:
- 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
with mandatory citation of both data and associated publication in derivative works.
With authorization from Professor Ruishen Zhang at The University of Hong Kong, CnOpenData has established a data portal and index to facilitate scholarly access.
Download data at Firm-level Climate Change Exposure or via the direct link below.
Temporal Coverage
2001-2020
Field Descriptions
Sample Data
firm-year-level Climate Change Exposure
firm-quarter-level Climate Change Exposure
References
- 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
Update Frequency
Updated irregularly