Firm-level Climate Change Exposure
Journal of Finance, forthcoming
102 Pages Posted: 13 Jul 2020 Last revised: 9 Aug 2022
Date Written: August 9, 2022
We introduce a method that identifies the attention paid by earnings call participants to firms' climate change exposures. The method adapts a machine learning keyword discovery algorithm and captures exposures related to opportunity, physical, and regulatory shocks associated with climate change. The measures are available for more than 10,000 firms from 34 countries between 2002 and 2020. The measures are useful in predicting important real outcomes related to the net-zero transition, notably job creation in disruptive green technologies and green patenting, and they contain information that is priced in options and equity markets.
Keywords: Climate change, climate risk, conference calls, institutional investors
JEL Classification: G18, G32, G38, Q54, Q55
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