Firm-level Climate Change Exposure

Author: Zacharias Sautner, Laurence van Lent, Grigory Vilkov, Ruishen Zhang

We introduce a method that identifies climate change exposure from earnings conference calls of 10,158 firms from 34 countries. The method adapts a machine learning keyword discovery algorithm and captures exposures related to opportunity, physical, and regulatory shocks associated with climate change. The exposure measures exhibit cross-sectional and time-series variations that align with reasonable priors, and these measures are better at capturing firm-level variation than are carbon intensities or ratings. The exposure measures capture economic factors that prior work has identified as important correlates of climate change exposure. In recent years, exposure to regulatory shocks negatively correlates with firm valuations.

Sautner, Zacharias and van Lent, Laurence and Vilkov, Grigory and Zhang, Ruishen, Firm-level Climate Change Exposure (May 10, 2021). European Corporate Governance Institute – Finance Working Paper No. 686/2020, Available at SSRN: or

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