公司层面气候变化暴露指数

一、数据简介

     Firm-level Climate Change Exposure

• Contributors: Zacharias Sautner, Laurence van Lent, Grigory Vilkov, Ruishen Zhang

• Date created: 2020-06-29 10:50 PM | Last Updated: 2021-10-08 05:02 PM

• Identifier: DOI 10.17605/OSF.IO/FD6JQ

• Description: 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 2020. 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.

• Background: For an extensive description of this data, please read the data and methodology sections of the paper cited below. For convenience, here is a brief description.The exposure measures count the frequency with which certain climate change bigrams occur in the transcript, scaled by the total number of bigrams in the transcript. We construe these measures as indicating the occurrence of climate change events or shocks at the firm. Our method also allows us to construct measures of the first and second moment associated with these shocks. In other words, whether the events represent (in expectation) good or bad news to the firm and whether the shocks are uncertain. For the first moment, we construct "sentiment'' measures, which count the relative frequency of climate change bigrams that occur in the vicinity of positive and negative tone words (Loughran and McDonald2011). For the second moment, or risk measures, we count the relative frequency of climate change bigrams mentioned in the same sentence as the words "risk" or "uncertainty" (or their synonyms). Following prior practice in Hassan et al. (2019), we interpret these sentiment and risk measures as components of the exposure measures.

• Updates 2021-05-14: We have updated our data to 2020Q4.

• Updates 2021-04-03: Last update missed 2019 Q3 and Q4. We added the data of these two quarters in the latest version.

• Updates 2021-01-19: We have updated our data to 2020Q3.

     Please cite the following study when using this Climate Change Exposure/Risk/Sentiment data:

• Sautner, Z., L. van Lent, G. Vilkov, and R. Zhang, Firm-level Climate Change Exposure, 2020. Available at SSRN: https://ssrn.com/abstract=3642508

     The data is publicly available and free to use, provided its source is acknowledged as follows:

• Sautner, Z., L. van Lent, G. Vilkov, and R. Zhang, 2020. ”Data for ‘Firm-level Climate Change Exposure’”. https://doi.org/10.17605/OSF.IO/FD6JQ and both data and the associated paper are cited in any work that uses these resources.

     经上海财经大学会计学院张瑞申教授授权，CnOpenData建立了该数据的展示区及数据索引，便于学者浏览。

     数据下载请点击Firm-level Climate Change Exposure，或在本页页末直接下载。

二、时间区间

2001-2020

三、字段展示

四、样本数据

firm-year-level  Climate Change Exposure

isin	dateQ	cc_expo	cc_risk	cc_pos	cc_neg	cc_senti	op_cc_expo	op_cc_risk	op_cc_pos	op_cc_neg	op_cc_senti	rg_cc_expo	rg_cc_risk	rg_cc_pos	rg_cc_neg	rg_cc_senti	ph_cc_expo	ph_cc_risk	ph_cc_pos	ph_cc_neg	ph_cc_senti	gvkey	headquarterscountry	hqcountrycode
AEA002001013	2016q4	0.000321543	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	284153	United Arab Emirates	AE
AEA002001013	2017q1	0.00073828	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	284153	United Arab Emirates	AE
AEA002001013	2017q2	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	284153	United Arab Emirates	AE
AEA002001013	2017q3	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	284153	United Arab Emirates	AE
AEA002001013	2017q4	0.000516529	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	284153	United Arab Emirates	AE
AEA002001013	2018q1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	284153	United Arab Emirates	AE
AEA002001013	2018q2	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	284153	United Arab Emirates	AE
AEA002001013	2018q3	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	284153	United Arab Emirates	AE
AEA002001013	2018q4	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	284153	United Arab Emirates	AE
AEA002001013	2019q1	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	284153	United Arab Emirates	AE

firm-quarter-level  Climate Change Exposure

isin	year	cc_expo	cc_risk	cc_pos	cc_neg	cc_senti	op_cc_expo	op_cc_risk	op_cc_pos	op_cc_neg	op_cc_senti	rg_cc_expo	rg_cc_risk	rg_cc_pos	rg_cc_neg	rg_cc_senti	ph_cc_expo	ph_cc_risk	ph_cc_pos	ph_cc_neg	ph_cc_senti	gvkey	headquarterscountry	hqcountrycode
AEA002001013	2016	0.000321543	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	284153	United Arab Emirates	AE
AEA002001013	2017	0.000313702	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	284153	United Arab Emirates	AE
AEA002001013	2018	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	284153	United Arab Emirates	AE
AEA002001013	2019	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	284153	United Arab Emirates	AE
AEA002001013	2020	0.001085196	0	0.000688055	-0.000714754	-2.67E-05	0.00013238	0	0	-0.00013238	-0.00013238	0.000191791	0	0.000191791	-0.000191791	0	0	0	0	0	0	284153	United Arab Emirates	AE
AEA002301017	2011	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	274887	United Arab Emirates	AE
AEA002401015	2009	0.002310004	0	0.000591299	-0.000582612	8.69E-06	0.000729325	0.000146714	0.000435898	-0.000291306	0.000144592	0.000151057	0	0.000151057	0	0.000151057	0.000151057	0	0.000151057	0	0.000151057	279336	United Arab Emirates	AE
AEA002401015	2010	0.00184599	0	0	-0.000510032	-0.000510032	0.00054478	0	0	0	0	0	0	0	0	0	0.000189107	0	0	-0.000189107	-0.000189107	279336	United Arab Emirates	AE
AEA002401015	2011	0.001805567	0	0.000394011	-0.000625029	-0.000231018	0.000681502	0	0.000197006	0	0.000197006	0	0	0	0	0	0.000266525	0	0	-0.000266525	-0.000266525	279336	United Arab Emirates	AE
AEA002401015	2012	0.001471892	0.00041425	0	-0.000528821	-0.000528821	0.00026441	0	0	0	0	0	0	0	0	0	0	0	0	0	0	279336	United Arab Emirates	AE

五、参考文献

• 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: https://ssrn.com/abstract=3642508 or http://dx.doi.org/10.2139/ssrn.3642508

六、数据更新频率

不定期更新（CnOpenData Firm-level Climate Change Exposure）