Firm-level Climate Change Exposure

88 Pages Posted: 13 Jul 2020 Last revised: 29 Apr 2022

See all articles by Zacharias Sautner

Zacharias Sautner

Frankfurt School of Finance & Management; European Corporate Governance Institute (ECGI)

Laurence van Lent

Frankfurt School of Finance and Management

Grigory Vilkov

Frankfurt School of Finance & Management

Ruishen Zhang

Shanghai University of Finance and Economics

Date Written: March 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

Sautner, Zacharias and van Lent, Laurence and Vilkov, Grigory and Zhang, Ruishen, Firm-level Climate Change Exposure (March 2022). European Corporate Governance Institute – Finance Working Paper No. 686/2020
TRR 266 Accounting for Transparency Working Paper Series No.
, Available at SSRN: https://ssrn.com/abstract=3642508 or http://dx.doi.org/10.2139/ssrn.3642508

Zacharias Sautner (Contact Author)

Frankfurt School of Finance & Management ( email )

Adickesallee 32-34
Frankfurt am Main, 60322
Germany

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

Shanghai University of Finance and Economics ( email )

No. 777 Guoding Road, Shanghai
Shanghai, 200433
China

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