Firm-level Climate Change Exposure
Journal of Finance, forthcoming
88 Pages Posted: 13 Jul 2020 Last revised: 29 Jun 2022
Date Written: March 1, 2022
Abstract
We introduce a method that identifies from earnings conference calls the attention paid by market 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
Suggested Citation: Suggested Citation
TRR 266 Accounting for Transparency Working Paper Series No. , Journal of Finance, forthcoming, Available at SSRN: https://ssrn.com/abstract=3642508 or http://dx.doi.org/10.2139/ssrn.3642508