Firm-level Climate Change Exposure

108 Pages Posted: 13 Jul 2020 Last revised: 21 Jun 2023

See all articles by Zacharias Sautner

Zacharias Sautner

University of Zurich - Department of Finance; Swiss Finance Institute; European Corporate Governance Institute (ECGI)

Laurence van Lent

Frankfurt School of Finance and Management

Grigory Vilkov

Frankfurt School of Finance & Management

Ruishen Zhang

The University of Hong Kong

Date Written: February 19, 2023

Abstract

We develop 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. We show that the measures are useful in predicting important real outcomes related to the net-zero transition, in particular, job creation in disruptive green technologies and green patenting, and that 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

Suggested Citation

Sautner, Zacharias and van Lent, Laurence and Vilkov, Grigory and Zhang, Ruishen, Firm-level Climate Change Exposure (February 19, 2023). Journal of Finance, Forthcoming, European Corporate Governance Institute – Finance Working Paper No. 686/2020 , TRR 266 Accounting for Transparency Working Paper Series No. 33, Available at SSRN: https://ssrn.com/abstract=3642508 or http://dx.doi.org/10.2139/ssrn.3642508

Zacharias Sautner (Contact Author)

University of Zurich - Department of Finance ( email )

Plattenstr 32
Zurich, 8032
Switzerland

Swiss Finance Institute ( email )

European Corporate Governance Institute (ECGI) ( email )

c/o the Royal Academies of Belgium
Rue Ducale 1 Hertogsstraat
1000 Brussels
Belgium

Laurence Van Lent

Frankfurt School of Finance and Management ( email )

Adickesallee 32-34
Frankfurt am Main, 60322
Germany

HOME PAGE: http://www.laurencevanlent.org

Grigory Vilkov

Frankfurt School of Finance & Management ( email )

Adickesallee 32-34
Frankfurt am Main, 60322
Germany

HOME PAGE: http://www.vilkov.net

Ruishen Zhang

The University of Hong Kong ( email )

Pokfulam Road
Hong Kong, Pokfulam HK
China

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