Firm-level Climate Change Exposure
Preprint
- 3 July 2020
- preprint
- Published by Elsevier BV in SSRN Electronic Journal
Abstract
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.This publication has 32 references indexed in Scilit:
- Option-Implied Measures of Equity Risk*European Finance Review, 2011
- Dissecting AnomaliesThe Journal of Finance, 2008
- Evidence of Management Discrimination Among Analysts during Earnings Conference CallsJournal of Accounting Research, 2008
- The conditional CAPM does not explain asset-pricing anomaliesJournal of Financial Economics, 2006
- Information Quality and OptionsThe Review of Financial Studies, 2006
- Forecasting Volatility in Financial Markets: A ReviewJournal of Economic Literature, 2003
- The incidental parameter problem since 1948Journal of Econometrics, 2000
- On Persistence in Mutual Fund PerformanceThe Journal of Finance, 1997
- How naive is the stock market's use of earnings information?Journal of Accounting and Economics, 1996
- Risk, Return, and Equilibrium: Empirical TestsJournal of Political Economy, 1973