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Firm‐Level Climate Change Exposure

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  • ZACHARIAS SAUTNER
  • LAURENCE VAN LENT
  • GRIGORY VILKOV
  • RUISHEN ZHANG

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.

Suggested Citation

  • Zacharias Sautner & Laurence Van Lent & Grigory Vilkov & Ruishen Zhang, 2023. "Firm‐Level Climate Change Exposure," Journal of Finance, American Finance Association, vol. 78(3), pages 1449-1498, June.
    • Handle: RePEc:bla:jfinan:v:78:y:2023:i:3:p:1449-1498
    DOI: 10.1111/jofi.13219
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    Cited by:

    1. Braun, Alexander & Braun, Julia & Weigert, Florian, 2023. "Extreme weather risk and the cost of equity," CFR Working Papers 23-08, University of Cologne, Centre for Financial Research (CFR).
    2. Benedictow, Andreas & Hammersland, Roger, 2023. "Transition risk of a petroleum currency," Economic Modelling, Elsevier, vol. 128(C).
    3. Hossain, Ashrafee & Rjiba, Hatem & Zhang, Dongyang, 2023. "Ex-ante litigation risk and firm-level climate-change exposure," Journal of Economic Behavior & Organization, Elsevier, vol. 214(C), pages 731-746.
    4. Frankovic, Ivan & Kolb, Benedikt, 2023. "The role of emission disclosure for the low-carbon transition," Discussion Papers 33/2023, Deutsche Bundesbank.

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