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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 method that identifies firm-level climate change exposures from conversation in earnings conference calls of more than 10,000 firms from 34 countries between 2002 and 2020. The method captures exposures related to opportunity , physical, and regulatory shocks associated with climate change. The exposure measures exhibit cross-sectional and time-series variations which align with reasonable priors, and are better in capturing firm-level variation than carbon intensities or ratings. factors that prior work has identified as important correlates of climate change exposure (e.g., public climate attention). Exposure to regulatory shocks negatively correlates with firm valuations, but only in recent years.
  • Background: For an extensive description of this data, please read the data and methodology sections of the paper cited below. For convenience, here is a brief description.The exposure measures count the frequency with which certain climate change bigrams occur in the transcript, scaled by the total number of bigrams in the transcript. We construe these measures as indicating the occurrence of climate change events or shocks at the firm. Our method also allows us to construct measures of the first and second moment associated with these shocks. In other words, whether the events represent (in expectation) good or bad news to the firm and whether the shocks are uncertain. For the first moment, we construct "sentiment'' measures, which count the relative frequency of climate change bigrams that occur in the vicinity of positive and negative tone words (Loughran and McDonald2011). For the second moment, or risk measures, we count the relative frequency of climate change bigrams mentioned in the same sentence as the words "risk " or "uncertainty" (or their synonyms). Following prior practice in Hassan et al. (2019), we interpret these sentiment and risk measures as components of the exposure measures.
  • Updates [2021-05-14]: We have updated our data to 2020Q4.
  • Updates [2021-04-03]: Last update missed 2019 Q3 and Q4. We added the data of these two quarters in the latest version.
  • Updates [2021-01-19]: We have updated our data to 2020Q3.

 Please cite the following study when using this Climate Change Exposure/Risk/Sentiment data:

 The data is publicly available and free to use, provided its source is acknowledged as follows:

 and both data and the associated paper are cited in any work that uses these resources.

With the authorization of Professor Zhang Ruishen from the School of Accountancy of Shanghai University of Finance and Economics, CnOpenData has established a display area and data index for this data to facilitate scholars’ browsing.

 To download data, please click Firm-level Climate Change Exposure, or download directly at the end of this page.


Time interval

2001-2020


Field display

firm-year-level Climate Change Exposure firm-quarter-level Climate Change Exposure
isin isin
year dateQ
cc_expo cc_expo
cc_risk cc_risk
cc_pos cc_pos
cc_neg cc_neg
cc_senti cc_senti
op_cc_expo op_cc_expo
op_cc_risk op_cc_risk
op_cc_pos op_cc_pos
op_cc_neg op_cc_neg
op_cc_senti op_cc_senti
rg_cc_expo rg_cc_expo
rg_cc_risk rg_cc_risk
rg_cc_pos rg_cc_pos
rg_cc_neg rg_cc_neg
rg_cc_senti rg_cc_senti
ph_cc_expo ph_cc_expo
ph_cc_risk ph_cc_risk
ph_cc_pos ph_cc_pos
ph_cc_neg ph_cc_neg
ph_cc_senti ph_cc_senti
gvkey gvkey
headquarterscountry headquarterscountry
hqcountrycode hqcountrycode

Sample data

firm-year-level Climate Change Exposure

isin year cc_expo cc_risk cc_pos cc_neg cc_senti op_cc_expo op_cc_risk op_cc_pos op_cc_neg op_cc_senti rg_cc_expo rg_cc_risk rg_cc_pos rg_cc_neg rg_cc_senti ph_cc_expo ph_cc_risk ph_cc_pos ph_cc_neg ph_cc_senti gvkey headquarterscountry hqcountrycode
AEA002001013 2016 0.000321543 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 284153 United Arab Emirates AE
AEA002001013 2017 0.000313702 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 284153 United Arab Emirates AE
AEA002001013 2018 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 284153 United Arab Emirates AE
AEA002001013 2019 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 284153 United Arab Emirates AE
AEA002001013 2020 0.001085196 0 0.000688055 -0.000714754 -2.67E-05 0.00013238 0 0 -0.00013238 -0.00013238 0.000191791 0 0.000191791 -0.000191791 0 0 0 0 0 0 284153 United Arab Emirates AE
AEA002301017 2011 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 274887 United Arab Emirates AE
AEA002401015 2009 0.002310004 0 0.000591299 -0.000582612 8.69E-06 0.000729325 0.000146714 0.000435898 -0.000291306 0.000144592 0.000151057 0 0.000151057 0 0.000151057 0.000151057 0 0.000151057 0 0.000151057 279336 United Arab Emirates AE
AEA002401015 2010 0.00184599 0 0 -0.000510032 -0.000510032 0.00054478 0 0 0 0 0 0 0 0 0 0.000189107 0 0 -0.000189107 -0.000189107 279336 United Arab Emirates AE
AEA002401015 2011 0.001805567 0 0.000394011 -0.000625029 -0.000231018 0.000681502 0 0.000197006 0 0.000197006 0 0 0 0 0 0.000266525 0 0 -0.000266525 -0.000266525 279336 United Arab Emirates AE
AEA002401015 2012 0.001471892 0.00041425 0 -0.000528821 -0.000528821 0.00026441 0 0 0 0 0 0 0 0 0 0 0 0 0 0 279336 United Arab Emirates AE
AEA002401015 2017 0.002299509 0 0 -0.000837521 -0.000837521 0.000837521 0 0 -0.000837521 -0.000837521 0 0 0 0 0 0 0 0 0 0 279336 United Arab Emirates AE
AEA002401015 2018 0.002196434 0 0 0 0 0.001152074 0 0 0 0 0 0 0 0 0 0 0 0 0 0 279336 United Arab Emirates AE
AEA002401015 2019 0.004176042 0.001101322 0 -0.001101322 -0.001101322 0.001639207 0 0 0 0 0.000550661 0.000550661 0 -0.000550661 -0.000550661 0 0 0 0 0 279336 United Arab Emirates AE
AEA002401015 2020 0.006271729 0 0.002159462 -0.001472271 0.000687191 0.004010098 0 0.001472271 -0.001609709 -0.000137438 0.000274876 0 0.000274876 -0.000274876 0 0 0 0 0 0 279336 United Arab Emirates AE
AEA003001012 2009 0.000742942 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 285482 United Arab Emirates AE
AEA003001012 2010 0.000561847 0 0 -0.000561847 -0.000561847 0.00029274 0 0 -0.00029274 -0.00029274 0 0 0 0 0 0 0 0 0 0 285482 United Arab Emirates AE
AEA003001012 2011 0.000168691 0 0.000168691 0 0.000168691 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 285482 United Arab Emirates AE
AEA003001012 2012 0.000417014 0 0.000208507 -0.000208507 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 285482 United Arab Emirates AE
AEA003001012 2013 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 285482 United Arab Emirates AE
AEA003001012 2014 0 0 0 0 0 0.000147319 0 0 0 0 0 0 0 0 0 0 0 0 0 0 285482 United Arab Emirates AE
AEA003001012 2015 0.00040032 0 0.00040032 0 0.00040032 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 285482 United Arab Emirates AE
AEA003001012 2016 0.000693413 0.00017313 0.000175685 -0.000175685 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 285482 United Arab Emirates AE
AEA003001012 2017 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 285482 United Arab Emirates AE
AEA006101017 2019 0.000403388 0 0 0 0 0.000201694 0.000201694 0 -0.000201694 -0.000201694 0 0 0 0 0 0 0 0 0 0 326213 United Arab Emirates AE
AEA006101017 2020 0.000550207 0 0.000275103 0 0.000275103 0.000531932 0.000177148 0.000159363 -0.000256829 -9.75E-05 0 0 0 0 0 0 0 0 0 0 326213 United Arab Emirates AE
AED000201015 2010 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 251246 United Arab Emirates AE
AED000201015 2013 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 251246 United Arab Emirates AE
AED000201015 2014 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 251246 United Arab Emirates AE
AED000201015 2016 0 0 0 0 0 0.000426621 0.000426621 0 0 0 0 0 0 0 0 0 0 0 0 0 251246 United Arab Emirates AE
AED000201015 2017 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 251246 United Arab Emirates AE
AED000201015 2018 8.26E-05 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 251246 United Arab Emirates AE
AED000201015 2019 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 251246 United Arab Emirates AE
AED000201015 2020 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 251246 United Arab Emirates AE
AED000701014 2010 0.000877508 0.000151791 0.000151791 -0.000590545 -0.000438754 0.000286963 0 0 -0.000286963 -0.000286963 0.000135172 0 0 0 0 0 0 0 0 0 282884 United Arab Emirates AE
AED000701014 2011 0.001608402 0 0.000208855 -0.000245459 -3.66E-05 0 0 0 0 0 0.000454314 0 0.000208855 0 0.000208855 0 0 0 0 0 282884 United Arab Emirates AE
AED000701014 2018 0.001090904 0 0.000436872 -0.000436872 0 0.000483442 0 0 0 0 0 0 0 0 0 0 0 0 0 0 282884 United Arab Emirates AE
AED000701014 2019 0.000632645 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 282884 United Arab Emirates AE
AED000701014 2020 0.001842123 0 0.000780375 -0.000780375 0 0.000499002 0 0.000249501 -0.000249501 0 0 0 0 0 0 0 0 0 0 0 282884 United Arab Emirates AE
AED001101016 2012 0.00030012 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 291718 United Arab Emirates AE
AED001101016 2013 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 291718 United Arab Emirates AE
AED001101016 2014 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 291718 United Arab Emirates AE
AEDFXA0M6V00 2016 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 284856 United Arab Emirates AE
AEDFXA0M6V00 2017 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 284856 United Arab Emirates AE
AEDFXA0M6V00 2018 0.000578035 0 0 0 0 0.000578035 0 0 0 0 0 0 0 0 0 0 0 0 0 0 284856 United Arab Emirates AE
AEDFXA0M6V00 2019 0.000396175 0 0 0 0 0.000187406 0 0 0 0 0 0 0 0 0 0 0 0 0 0 284856 United Arab Emirates AE
AEDFXA0M6V00 2020 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 284856 United Arab Emirates AE
AEDFXA14NUL7 2017 0.001804539 0 0.000923965 -0.000440287 0.000483679 0.000244559 0 0.000244559 0 0.000244559 0 0 0 0 0 0.000440287 0 0 0 0 319332 United Arab Emirates AE
AEDFXA14NUL7 2018 0.00180807 0.000216029 0.001182213 -0.001486009 -0.000303796 0.001504274 0.000216029 0.001182213 -0.000860152 0.000322061 0 0 0 0 0 0 0 0 0 0 319332 United Arab Emirates AE
AEDFXA14NUL7 2019 0.00139952 0.00024777 0.00139952 -0.000814235 0.000585285 0.000396463 0 0.000396463 0 0.000396463 0 0 0 0 0 0 0 0 0 0 319332 United Arab Emirates AE
AEDFXA14NUL7 2020 0.000196889 0 9.84E-05 -9.84E-05 0 0.000318177 0 9.84E-05 0 9.84E-05 0 0 0 0 0 0 0 0 0 0 319332 United Arab Emirates AE

firm-quarter-level Climate Change Exposure

isin dateQ cc_expo cc_risk cc_pos cc_neg cc_senti op_cc_expo op_cc_risk op_cc_pos op_cc_neg op_cc_senti rg_cc_expo rg_cc_risk rg_cc_pos rg_cc_neg rg_cc_senti ph_cc_expo ph_cc_risk ph_cc_pos ph_cc_neg ph_cc_senti gvkey headquarterscountry hqcountrycode
AEA002001013 2016q4 0.000321543 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 284153 United Arab Emirates AE
AEA002001013 2017q1 0.00073828 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 284153 United Arab Emirates AE
AEA002001013 2017q2 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 284153 United Arab Emirates AE
AEA002001013 2017q3 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 284153 United Arab Emirates AE
AEA002001013 2017q4 0.000516529 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 284153 United Arab Emirates AE
AEA002001013 2018q1 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 284153 United Arab Emirates AE
AEA002001013 2018q2 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 284153 United Arab Emirates AE
AEA002001013 2018q3 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 284153 United Arab Emirates AE
AEA002001013 2018q4 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 284153 United Arab Emirates AE
AEA002001013 2019q1 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 284153 United Arab Emirates AE
AEA002001013 2019q2 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 284153 United Arab Emirates AE
AEA002001013 2019q3 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 284153 United Arab Emirates AE
AEA002001013 2019q4 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 284153 United Arab Emirates AE
AEA002001013 2020q1 0.000731529 0 0.000731529 0 0.000731529 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 284153 United Arab Emirates AE
AEA002001013 2020q2 0.001151411 0 0.001151411 -0.001151411 0 0 0 0 0 0 0.000575374 0 0.000575374 -0.000575374 0 0 0 0 0 0 284153 United Arab Emirates AE
AEA002001013 2020q3 0.002382844 0 0 -0.001985703 -0.001985703 0.000794281 0 0 -0.000794281 -0.000794281 0 0 0 0 0 0 0 0 0 0 284153 United Arab Emirates AE
AEA002001013 2020q4 0.00036245 0 0.00036245 0 0.00036245 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 284153 United Arab Emirates AE
AEA002301017 2011q4 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 274887 United Arab Emirates AE
AEA002401015 2009q1 0.000375375 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 279336 United Arab Emirates AE
AEA002401015 2009q2 0.002347418 0 0 -0.001173709 -0.001173709 0.001760563 0.000586854 0.000586854 -0.000586854 0 0 0 0 0 0 0 0 0 0 0 279336 United Arab Emirates AE
AEA002401015 2009q3 0.002891845 0 0.001156738 -0.001156738 0 0.001156738 0 0.001156738 -0.000578369 0.000578369 0 0 0 0 0 0 0 0 0 0 279336 United Arab Emirates AE
AEA002401015 2009q4 0.003625378 0 0.001208459 0 0.001208459 0 0 0 0 0 0.00060423 0 0.00060423 0 0.00060423 0.00060423 0 0.00060423 0 0.00060423 279336 United Arab Emirates AE
AEA002401015 2010q1 0.001711596 0 0 -0.001283697 -0.001283697 0.000855798 0 0 0 0 0 0 0 0 0 0 0 0 0 0 279336 United Arab Emirates AE
AEA002401015 2010q2 0.001133787 0 0 0 0 0.000566893 0 0 0 0 0 0 0 0 0 0 0 0 0 0 279336 United Arab Emirates AE
AEA002401015 2010q3 0.004538578 0 0 -0.00075643 -0.00075643 0.00075643 0 0 0 0 0 0 0 0 0 0.00075643 0 0 -0.00075643 -0.00075643 279336 United Arab Emirates AE
AEA002401015 2010q4 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 279336 United Arab Emirates AE
AEA002401015 2011q1 0.003152088 0 0.001576044 -0.000788022 0.000788022 0.000788022 0 0.000788022 0 0.000788022 0 0 0 0 0 0 0 0 0 0 279336 United Arab Emirates AE
AEA002401015 2011q2 0.002132196 0 0 -0.001066098 -0.001066098 0 0 0 0 0 0 0 0 0 0 0.001066098 0 0 -0.001066098 -0.001066098 279336 United Arab Emirates AE
AEA002401015 2011q3 0.001937984 0 0 -0.000645995 -0.000645995 0.001937984 0 0 0 0 0 0 0 0 0 0 0 0 0 0 279336 United Arab Emirates AE
AEA002401015 2011q4 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 279336 United Arab Emirates AE
AEA002401015 2012q1 0.002115283 0 0 -0.001057641 -0.001057641 0.000528821 0 0 0 0 0 0 0 0 0 0 0 0 0 0 279336 United Arab Emirates AE
AEA002401015 2012q2 0.0008285 0.0008285 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 279336 United Arab Emirates AE
AEA002401015 2017q3 0.001675042 0 0 -0.001675042 -0.001675042 0.001675042 0 0 -0.001675042 -0.001675042 0 0 0 0 0 0 0 0 0 0 279336 United Arab Emirates AE
AEA002401015 2017q4 0.002923977 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 279336 United Arab Emirates AE
AEA002401015 2018q1 0.004608295 0 0 0 0 0.004608295 0 0 0 0 0 0 0 0 0 0 0 0 0 0 279336 United Arab Emirates AE
AEA002401015 2018q2 0.002398082 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 279336 United Arab Emirates AE
AEA002401015 2018q3 0.001779359 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 279336 United Arab Emirates AE
AEA002401015 2018q4 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 279336 United Arab Emirates AE
AEA002401015 2019q1 0.001697793 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 279336 United Arab Emirates AE
AEA002401015 2019q2 0.002512563 0 0 0 0 0.002512563 0 0 0 0 0 0 0 0 0 0 0 0 0 0 279336 United Arab Emirates AE
AEA002401015 2019q3 0.003683241 0 0 0 0 0.001841621 0 0 0 0 0 0 0 0 0 0 0 0 0 0 279336 United Arab Emirates AE
AEA002401015 2019q4 0.008810573 0.004405286 0 -0.004405286 -0.004405286 0.002202643 0 0 0 0 0.002202643 0.002202643 0 -0.002202643 -0.002202643 0 0 0 0 0 279336 United Arab Emirates AE
AEA002401015 2020q1 0.004115226 0 0 0 0 0.001371742 0 0 0 0 0 0 0 0 0 0 0 0 0 0 279336 United Arab Emirates AE
AEA002401015 2020q3 0.012094557 0 0.006597031 -0.003848268 0.002748763 0.009895547 0 0.003848268 -0.004398021 -0.000549753 0.001099505 0 0.001099505 -0.001099505 0 0 0 0 0 0 United Arab Emirates AE
AEA002401015 2020q4 0.004761905 0 0.002040816 -0.002040816 0 0.003401361 0 0.002040816 -0.002040816 0 0 0 0 0 0 0 0 0 0 0 United Arab Emirates AE
AEA003001012 2009q4 0.000742942 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 285482 United Arab Emirates AE
AEA003001012 2010q1 0.00117096 0 0 -0.00117096 -0.00117096 0.00117096 0 0 -0.00117096 -0.00117096 0 0 0 0 0 0 0 0 0 0 285482 United Arab Emirates AE
AEA003001012 2010q2 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 285482 United Arab Emirates AE
AEA003001012 2010q3 0.001076426 0 0 -0.001076426 -0.001076426 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 285482 United Arab Emirates AE
AEA003001012 2010q4 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 285482 United Arab Emirates AE

References


Data update frequency

Updated from time to time

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