Attention to climate change and downside risk: Evidence from China

Abstract

We explore the role of public climate attention, captured by the Baidu search volume index, in the downside risk. Using 45 keywords from five perspectives related to climate change, we construct a public climate attention index in China. We find a positive and significant relationship between climate attention and downside risk at the market-level and firm-level. Moreover, the risk-increase effect of climate attention becomes more prominent for state-owned and high-carbon-emission firms. Further analysis shows that excellent sustainable performance can moderate the adverse effect of rising climate attention, while the major climate disasters exacerbate the effect. Overall, our findings shed additional light on the important role of collective climate beliefs in corporate risk management and investor decision-making.

Industries' heterogeneous reactions during the COVID‐19 outbreak: Evidence from Chinese stock markets

“…In the early days of the pandemic, it was expected that people would panic. Motivated by Da et al ( 2011 , 2015 ), Y. Chen et al ( 2021 ), and X. Chen et al ( 2022 ), we used the Baidu search index to construct a fear sentiment index for COVID‐19. The idea behind this index was that the higher the search volume (SVI) of COVID‐19‐related keywords, 1 the more it reflected the panic among the people.…”

Climate change attention and carbon futures return prediction

“…On a related note, Sautner et al (2020) use a machine learning approach to identify the exposures of different climate change shocks from company earnings calls and examine the relationship between these exposures and company valuations. Chen et al (2023) use the Baidu search volume of several keywords related to climate change to quantify public climate attention in China. Their findings show a significantly positive relationship between climate attention and downside risk in the stock market.…”

“…Considering these advantages, we choose the Google search volume to construct the public climate concern based on several predetermined climate change‐related keywords. Referring to the keywords of climate risk in the relevant literature by Chen et al (2023) and Sautner et al (2020), we construct a list of keywords (see Appendix A). Finally, we obtain five parts of keyword lists: physical risk causes attention, physical risk results attention, regulatory attention, opportunity attention category and broad cognitive level.…”

Are the good spared? Corporate social responsibility as insurance against cyber security incidents

“…Indeed, more and more scholars now agree that socially responsible behavior can generate moral capital and goodwill, thereby creating an insurance-like mechanism (Barnett et al, 2018;Luo et al, 2018;Shiu & Yang, 2017). 1 For instance, Chen et al (2022) use value-at-risk and lower partial moment measures to demonstrate that excellent CSR performance can alleviate downside risks. This mechanism can protect firms from negative events and offer better control of stakeholder expectations in crisis situations (Lins et al, 2017).…”

“…For instance, Chen et al. (2022) use value‐at‐risk and lower partial moment measures to demonstrate that excellent CSR performance can alleviate downside risks. This mechanism can protect firms from negative events and offer better control of stakeholder expectations in crisis situations (Lins et al., 2017).…”