Firm-level Climate Change Exposure
113 Pages Posted: 28 May 2021 Last revised: 2 Jun 2021
Date Written: July 1, 2020
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 2019. 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. The exposure measures relate to economic 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.
Keywords: Climate change, climate risk, conference calls, institutional investors
JEL Classification: G18, G32, G38, Q54, Q55
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