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Transcript Climate Risk

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2023

Sautner, van Lent, Vilkov & Zhang (2023) *Journal of Finance* 78(3):

In plain terms

Same idea but for climate-related language (IPCC/ESG lexicon). The 'climate opportunity' decile outperformed in post-2015 sample.

How it works

Sautner, van Lent, Vilkov & Zhang (2023) J. Finance 78(3) "Firm-Level Climate Change Exposure." HHVT-style bigram methodology, applied to climate-specific training corpora (IPCC reports + ESG filings). The published lexicon distinguishes three sub-exposures: physical (extreme weather, sea-level), regulatory (carbon pricing, emissions caps), and opportunity (clean tech, ESG inflows). v1 collapses all three into a single density score; the opportunity decile L/S earned ~6% ann. post-2015 in the paper.

Live results

0 times picked on its own · 10 times inside a blend (10 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 10 such blended picks (10 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Earnings call transcripts
Full earnings-call transcripts (prepared + Q&A), tokenised.

Expected edge

Reported return: ~6% ann. on opportunity decile post-2015
Tested over: 2002-2020 (Sautner et al)

Long-short on the opportunity decile earned ~6% annualised post-2015 in the paper's sample.

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