MS；气候变化公司绩效和投资者意外（英）

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ClimateChange,FirmPerformance,andInvestor

Surprises

NoraPankratz,RobBauer,JeroenDerwall

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NoraPankratz,RobBauer,JeroenDerwall(2023)ClimateChange,FirmPerformance,andInvestorSurprises.ManagementScience69(12):7352-7398.

/10.1287/mnsc.2023.4685

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MANAGEMENTSCIENCE

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Vol.69,No.12,December2023,pp.7352–7398ISSN0025-1909(print),ISSN1526-5501(online)

ClimateChange,FirmPerformance,andInvestorSurprises

NoraPankratz,a,*RobBauer,b,cJeroenDerwallb,d

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aBoardofGovernorsoftheFederalReserveSystem,Washington,DistrictofColumbia20551;bSchoolofBusinessandEconomics,MaastrichtUniversity,6211LMMaastricht,Netherlands;cInternationalCentreforPensionManagement,Toronto,OntarioM5A3S5,Canada;dSchoolof

Economics,UtrechtUniversity,3584CSUtrecht,Netherlands*Correspondingauthor

Contact:

nora.m.pankratz@

,

https:/0000-0002-1292-3051/

(NP);

r.bauer@maastrichtuniversity.nl

,

https:/0000-0003-1468-1313/

(RB);

j.derwall@maastrichtuniversity.nl

,

https:/0000-0002-2509-2146/

(JD)

Received:March1,2021

Revised:April12,2022

Accepted:June26,2022

PublishedOnlineinArticlesinAdvance:

March21,2023

/10.1287/mnsc.2023.4685

Copyright:©2023INFORMS

Abstract.Welinkrecordsoffirmperformance,equityanalystforecasterrors,andstockreturnsaroundcompanies’earningsannouncementstofirm-specificmeasuresofheatexpo-sureformorethan17,000firmsin93countriesfrom1995to2019.Wefindthatincreasedexposuretoextremelyhightemperaturesreducesfirms’revenuesandoperatingincome.Aone-standard-deviationincreaseinthenumberofhotdaysdecreasesrevenues(operatingincome)by0.6%(1.8%)oftheaveragequarterlyrevenue(operatingincome).Moreover,weprovideevidencethatincreasedheatexposureimpactsnegativelyonfirmfinancialperfor-mancerelativetoanalystpredictionsandonearningsannouncementreturns.Thesefindingsindicatethatcapitalmarketparticipantsdonotfullyanticipatetheeconomicconsequencesofheatasafirstorderphysicalclimaterisk.

History:ThispaperwasacceptedbyColinMayer,SpecialSectionofManagementScienceonBusinessandClimateChange.

Funding:N.PankratzgratefullyacknowledgesfinancialsupportfromtheFrenchSocialInvestmentForumandthePrinciplesforResponsibleInvestment[PhDResearchGrant2017].

SupplementalMaterial:Dataareavailableat

/10.1287/mnsc.2023.4685

.

Keywords:climatechange•firmperformance•analystforecastaccuracy•earningsannouncements

1.Introduction

AccordingtotheTaskForceonClimate-RelatedFinan-cialDisclosures

(2017,

p.

3),1

climatechangeis“oneofthemostsignificant,andperhapsmostmisunderstood,risksthatorganizationsfacetoday.”Inparticular,centralbanksandinternationalfinancialinstitutionsexpressconcernsthatinvestorsmightnotanticipatetheeffectsofclimatechangeandthiscouldendangerfinancialstabil-ity(BankforInternationalSettlements

2018,

BankofEngland

2019,

BoardofGovernorsoftheFederalReserveSystem

2021,

EuropeanCentralBank

2021,

InternationalMonetaryFund

2021

).Incorporatefinanceandinvest-ments,theseconcernsarereflectedintwofundamentalquestions:First,dopastrecordsindicatethatphysicalcli-materiskaffectsthefinancialperformanceoflistedfirms?Second,ifso,doinvestorsanticipatethatthephys-icalrisksofclimatechangeaffectfirms’earnings?

Inthispaper,weinvestigatethesequestionsinthecontextofhightemperaturesforaglobalsampleofmorethan17,000firmsin93countriesfrom1995to2019.Understandingthefinancialeffectofheatisparti-cularlyimportantastheIntergovernmentalPanelonClimateChange(

2013

,

2021

)(IPCC)projectshightem-peraturestobecomemuchmorefrequent.Whereasmajorchangehasyettooccur,thenewmillenniumhasgivenapreviewofwhattheseprojectionsentailasit

hassofarrecorded19ofthe20hottestyearssince1850(NASA

2021

).

Toaddressthequestionofwhethertemperaturesaffectthefinancialperformanceoflistedfirms,weesti-matethepastsensitivityofearningstoextremelyhightemperatures.Wecausallyidentifytheneteffectofextremelyhightemperaturesusingyear-to-yearvaria-tioninfirms’exposuretodaysofextremetemperatures.Thisvariationisexogenousandrandomlydistributedconditionalonspatialandtemporalfixedeffectsand,therefore,resemblesanongoingnaturalexperiment(seeAuffhammeretal.

2013,

Delletal.

2014

fordiscussionsoftheeconometricapproach).Wefindthathightem-peraturesnegativelyaffectbothrevenuesandoperatingincome.Subsequently,wetestwhetheranalystsandinvestorsanticipatetheseeffectsonperformance.

Tomeasureheatexposure,weusewithin-locationand-seasonvariationinthenumberofdaysperfinancialquarteronwhichfirmsareexposedtoheat.Toclassifydaysashot,weusetwodifferentapproaches:First,physi-ologicstudiesindicatethattaskperformancefallssubstan-tiallywhentemperaturesexceed30◦C(Pilcheretal.

2002,

Seppnenetal.

2006

).Asworkerperformanceconstitutes

oneimportantchannelthroughwhichtemperaturescouldaffectfirmperformance,weuse30◦Casthefirsttemperaturethreshold.Second,whethertemperatures

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causeeconomicrepercussionscouldbecontingentonlocallevelsofadaptationdrivenbyhistoricaltempera-tureconditions.Therefore,oursecondmeasuredefinesdaysashotwhentemperaturesexceedboth30◦Candthe90thpercentileofthelocation-andseason-specifictemperaturedistribution

.2

Wederivebothmeasuresfromspatiallyandtemporallygranularinformationondailymaximumtemperaturesfromaglobaltempera-turereanalysisdataset,ERA5

.3

Tolinkfinancialsandtemperatures,wedeterminethecoordinatesoffirms’addressesandspatiallymatchthemwiththeERA5grid.Further,wemeasureperformancethroughrevenuesandoperatingincome,obtainanalysts’revenueandincomeestimatesasaproxyforinvestorexpectationsoffinan-cialperformance,andcalculatedailyabnormalreturnsaroundpublicearningsannouncements.

Ourstudyconnectstothemicroeconomicandmac-roeconomicevidencethatheatdecreasesthesupplyofinputs

4

aswellasstudiesillustratinganegativerelationbetweenheatstressandtheproductivityofunlistedfirms(e.g.,TraoreandFoltz

2017

,Xie

2017

,Zhangetal.

2018

,Lietal.

2021

,Somanathanetal.

2021

),householdincomes,andaggregateeconomicoutput.

5

Earlierstud-iesstressapersistentnegativeeffectonworkers’cogni-tiveandphysicalperformance(seePilcheretal.

2002

,

Seppnenetal.

2006

,Xiangetal.

2014

forreviews)and

onthequantityofhoursworked(Graff-ZivinandNei-dell

2014

).Inaddition,somestudiesarguethattheemployee-relatedeffectscompoundtoeconomicallyrelevantmagnitudesthatcouldexplaintheobservedperformancesensitivityatthefirmlevel(e.g.,Zhangetal.

2018

,Somanathanetal.

2021

).

Buildingonthesestudies,weinvestigateifthenega-tiveeffectofheatalsomanifestsitselfatthelevelofindi-viduallistedfirms.WhereastheInternationalEnergyAgency(

2018

)reportsthatairconditioning(AC)ratesoutsideoftheUnitedStatesarelow,firmscouldadjusttohightemperaturesinotherwaysintheabsenceofAC,forinstance,byadaptingthecombinationofinputsusedorbyreschedulingoperationsaroundtemperaturepeaks.Theseeffortstoadaptcouldbesubstantial,andthegeneraleconomiclogicindicatesthatfirmsadapttotheextentthatthemarginalbenefitsofadditionalmea-suresequalthemarginalcosts.Withouridentificationstrategy,wecapturefirms’remainingsensitivitytoheatnetofallrealizedadaptation.Implicitly,weadoptthenullhypothesisthat,iffirmshavealreadyinvestedinadaptationtoanextentthatmakesthemresilienttofluc-tuationsinextremetemperatures,weshouldnotob-servearelationbetweenexogenousvariationinhightemperatureexposureandfirmperformance.

Wefindthat,onaverage,anadditionaldayofheatexposuresignificantlyreducesbothrevenuesandoperat-ingincome:assumingthateverydayofthefinancialquar-terisequallyimportantingeneratingquarterlyrevenues(income),eachadditionaldayofheatyieldsalossofabout

8.4%(26.1%)ofanaverageday’sworthofrevenues(oper-atingincome)normalizedbyassets

.6

Theseestimatesareeconomicallysignificantandrejectournullhypothesis.Relativetofirms’performanceoverthefinancialquarter,aone-standard-deviationincreaseinthenumberofhotdaysresultsinadecreaseinrevenues(operatingincome)of0.3%–0.6%(1.3%–1.8%).Comparedwiththemeantotalassetsofthefirmsinoursample,thedecreaseinoperatingincomecorrespondstoanabsolutequarterlydecreaseofupto655,202U.S.dollarsperfinancialquarter

.7

Tobetterunderstandtheeconomicchannelsbehindthiseffect,weconductaseriesofadditionaltests.First,wefindincreasesinthecostsofgoodssold(COGS)aswellasselling,general,andadministrative(SGA)expenseswhenfirmsexperiencemoredaysofheat,whichcouldinpartbedrivenbyincreasedcostsofcool-ing.Second,wefindthatfirms’totalwagesincreaseaftertwofinancialquarters.Thislaggedeffectisconsistentwiththetemporalstructureweobservefortheeffectsofheatonfirmperformanceandisinlinewiththeideathatfirmsincreaselaborinputsinlaterquarterstocom-pensateforearlierdecreasesinperformance.Inaddition,thewageresponseisconsistentwithphysiologicandmicroeconomicstudiesindicatingthatheat’seffectonworkersisanimportantchannelthroughwhichheatexposureaffectstheeconomy.Third,weobservethattheperformancereductionisattenuatedwhenfirmshavelargesharesofforeigncustomersnotsubjecttotheperiodsofheatthemselves.However,theresultsdifferdependingonhowwemeasuretheshareofforeignsales,andinlinewiththerecentliterature(PankratzandSchiller

2021,

Custodioetal.

2022

),itappearsplausi-blethatbothdemandandsupplyshocksareatplay

.8

Fourth,whereaswefindthatfirmsacrossalarge,di-verse,andinternationalsampleare,onaverage,ad-verselyaffected,somefirmsmightbenefitfromhightemperatures,andwefindinsignificanteffectsonfinan-cialperformanceoffirmsincolderareasoftheworld.

Subsequenttothecross-sectionaltests,weinvestigatewhetherfinancialmarketsanticipatethenetphysicaleffectofhightemperaturesonfirmsthroughallpoten-tialeconomicchannels.Giventhatfirms’revenuesandincomeprovetobeheat-sensitive,doinvestorsandana-lystsanticipatethenetperformancerepercussionsofextremetemperaturesatthefirmlevel?Whereasfinan-cialtheoryarguesthatassetpricesquicklyadjusttoandreflectallpubliclyavailableinformation,recentdebatesbycentralbanks,regulators,andtheinvestmentcom-munityraisedoubtsabouttheextenttowhichthemar-ketabsorbsinformationonclimatechange.Withregardtomitigatingclimatechangeandthetransitiontoalow-carboneconomy,financialassessmentisoftencompli-catedbypolicyandclimateuncertainty

.9

Thecaseofextremelyhightemperaturesasaphysicalrisk,incon-trast,providesacleansettingtotestinvestors’anticipa-tionfortworeasons:First,informationonheatexposure

Pankratz,Bauer,andDerwall:ClimateChange,FirmPerformance,Analysts,Investors

7354ManagementScience,2023,vol.69,no.12,pp.7352–7398,©2023INFORMS

iswidelyandpubliclyavailable,particularlyasanalystsandinvestorscanacquireinformationonafirm-by-firmbasis

.10

Second,extremetemperaturescannotbeinflu-encedexternally,andthatenablesanobjectivestudyofwhetherparticipantsinfinancialmarketsanticipatetheperformancerepercussions.

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Tolearnwhetherinvestorsanticipatetheeffectofheatonfinancialperformancetodate,weconducttwotests.First,weuseanalysts’forecastsofrevenueandoperatingincomeasaproxyforinvestors’expectationsandtestifanalystsurprisesaboutfirmperformancearenegativelyrelatedtorandomlydistributeddeviationsincorporateexposuretoheataboveaverageconditions.Ifextremelyhigh-temperaturedaysarefinanciallymaterialandana-lystsdonotanticipatethiseffect,theirforecastsofreve-nueandoperatingincomeshouldbesystematicallytoohighinperiodswhenfirmsareaffectedbymoreex-tremelywarmdaysthanusual.Hence,deviationsintheforecastsfromtheactualperformanceshouldbecomemorenegativewithincreasingheatexposureunlessana-lystscorrectlyassessandsufficientlyincorporateinfor-mationonhightemperatures.Toensurethatinformationonlocation-specificexposureisavailable,weuserevenueandincomeforecaststhatcouldhavebeenupdatedaftertheheatexposureofthefirmwasrealizedbutbeforeearningswereannounced.

Despitethefactthatthistestensuresthatanalystshavesufficienttimetoupdatetheirexpectations,wefindthatsurprisesaboutrevenueandoperatingincomebecomemorenegativewithincreasedcorporateexpo-suretoheat.Thefindingthatthefinancialeffectofheatisnotfullyanticipatedissurprisinginlightoftheefficient-markethypothesis.Particularly,asthefirmsinoursamplehavesomedegreeofgeographicconcentra-tion,theexposuretoextremeweatherconditionsismorestraightforwardtoassessthaninthecaseoffirmswithglobal,complexproductionnetworks.Atthesametime,analystsmightnothavethecapacitytofollowthefirmscloselyenoughtorespondtolocal,environmentalconditionseveniftheseconditionsareperformance-relevant

.11

Weconductasecondtesttoconfirmthatourfindingsarepredictiveofinvestors’capacitytoassesstheperfor-mancerepercussionsofheatingeneralthatarenotsolelyattributabletoanalysts’inertiainreassessingsmallandmidcaps.Inthistest,westudyearnings-announcementreturnstoinvestigateifinvestorsaresurprisedbyfirms’financialsensitivitytoheat.Again,wehypothesizethatexogenousyear-to-yearchangesinfirms’heatexposureshouldnotbesystematicallyrelatedtoannouncementreturnsifinvestorsincorporateinformationontempera-turesintheirexpectationsonperformancepriortotheannouncement.However,wefindthatannouncementreturnsbecomemorenegativewhenfirmsareexposedtomoredayswithextremelyhightemperatures.Hence,ourresultsindicatethatnotonlyanalysts,butalso

investorsdonotfullyanticipatetheeffectofheatonfirmperformance.

Thefirstpartofourstudyaddstothegrowingeco-nomicliteratureonheatexposureandfirmproductiv-ityaswellasthefinancialliteratureontheimpactofclimatehazardsonfirmperformanceandfinancingdecisions.Firm-levelresearchontemperaturesinitiallyfocusedonunlistedfirmsindevelopingcountriesandpredominantlystudieseconomicmeasuresofproduc-tivity:Somanathanetal.(

2021

)analyzetheeffectofheatontheproductivityandattendanceofworkersinIndiaandfindasizeablenegativeeffect.Lietal.(

2021

)showthattemperatureshocksreduceChinesefirms’exportquantities.Zhangetal.(

2018

)similarlyfindthatheatreducestheproductivityofalargesampleofChi-neseproductionfacilities.TraoreandFoltz(

2017

)studyadetaileddatasetoffirmsintheIvoryCoastandfindanegativelinkbetweenhightemperaturesandperfor-mance.Xie(

2017

)showsthatthermalstressdrivesexitprobabilitiesofIndonesianfirms.Consistentwiththesestudies,wefindthatheatsignificantlyaffectsrevenuesandprofitability.Weextendthisliteraturebystudyingtheeffectofheatexposureonfirmsthroughacapital-marketlensbytestingwhetheranalystsandinvestorsanticipatethefinancialrepercussionsofheatatthefirmlevel.Insteadofanalyzingproductivity,wefocusonfinancialmeasuresofinteresttoinvestorsandanalysts,whichwecancomparewithanalysts’forecastsandinvestors’surprises.

Inaconcurrentstudy,Addoumetal.(

2020

)investi-gatetheeffectofabnormaltemperaturesonestablish-mentsalesandproductivityintheUnitedStates.Apartfromapositiveimpactoflowtemperatureonsalesintheenergysectorandamarginallypositiveimpactonhealthcarefirms,theyfindnosignificanteffectsofabnor-mallyhighorlowtemperaturesonfirmsales.Thisresultcouldindicatethatfirmslocatedinmoredevelopedcountriesbuildcapacitytowithstandextremeweatheralthoughourresultspointtoasignificantnegativeeffectofheatacrossawiderangeofdevelopedcountriesout-sidetheUnitedStates.

Further,thisstudycloselyrelatestoresearchoncor-poratefinanceandotherenvironmentalhazards.BarrotandSauvagnat(

2016

)studytheeffectofnaturaldisas-tersonsalesgrowthandfindthatdisastersnegativelyaffectboththesalesgrowthofdirectlyexposedfirmsandtheirlargestcustomers.Adoptingabehavioralper-spective,DessaintandMatray(

2017

)provideevidencethatcorporatemanagersoverreacttonearbyhurricanestrikesthatdonotincreaserealfirmrisk:firmsneigh-boringareasthatexperienceanaturaldisaster—butarenotaffectedbyit—increasecashholdingsfollowingthedisaster.Studyingcoldspellsandtheuseofcredit,Brownetal.(

2021

)findthatextremecoldrepresentsashocktofirms’cashholdings.IncontrasttoBrownetal.

(

2021

),wefocusonhigh-temperatureextremesbecause

Pankratz,Bauer,andDerwall:ClimateChange,FirmPerformance,Analysts,Investors

ManagementScience,2023,vol.69,no.12,pp.7352–7398,©2023INFORMS7355

hightemperatures,inparticular,couldbecomemuchmorefrequentineconomicallyimportantareas

.12

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Beyondtheliteratureontheperformanceimplicationsofenvironmentalconditions,thesecondpartofthisstudyextendstheliteratureoninvestorreactionstophysicalclimaterisks.Recentstudiesfindthatexposuretosea-levelriseaffectspropertyvalues,municipal-bondyields,andunderwriterfees(Bernsteinetal.

2019,

Bal-daufetal.

2020

).Moreover,Anttila-Hughes(

2016

)findsthatNASAannouncementsoftemperaturerecordsandcollapsingiceshelvesaffectthereturnsofenergycompa-nies.Further,theliteratureshowsthatinvestorsmayoverreactorunderreacttoclimate-andweather-relatedphenomena

.13

Forexample,Aloketal.(

2020

)findthatU.S.mutual-fundmanagerswhoexperienceamajornat-uraldisastersubsequentlyunderweightdisaster-zonestocks.HuynhandXia(

2021

)provideevidencethatU.S.firmsexhibithigherfuturestockandbondreturnsafteranaturaldisasterstrikes.Choietal.(

2020

)findthatpeo-pleincreaseattentiontoglobalwarmingafterexperienc-ingextremetemperatureslocally,andthisattentionaffectsreturnsonlocal“emission-minus-clean”stockportfolios.Hongetal.(

2019

)concludethatinvestorsunderreacttotheeffectsofdroughtontheprofitabilityoffood-sectorcompaniesasfirmslocatedincountrieswithseveredroughttrendsexperiencenotonlyweakerprofitgrowth,butalsolowerabnormalstockreturns.Evidencefromsurveysofinvestors,policymakers,andacademicsfurthersupportstheviewthatmarketsun-derestimateclimaterisk(Kruegeretal.

2020,

StroebelandWurgler

2021

)

.14

OurresultsextendHongetal.(

2019

)byshowingthatheatexposureaffectsfirmper-formancebeyondthefoodandagriculturalsectorsandthistemperatureeffectcontributestoinvestors’surprisesaboutfirms’earnings.Theseresultsalsocontributetodebatesabouttheefficientpricingofclimateriskraisedinrecentstudies(Hongetal.

2020

).

Moreover,ourresultsconnecttostudiesonthefinan-cialmaterialityofenvironmentalinformation.Consid-erableresearchinthisareainvestigateshowfirms’impactontheenvironmentisreflectedinrealizedand

expectedstockreturns(i.e.,Flammer

2013

,Krger

2015

,BoltonandKacperczyk

2021

),spreadsonbankloans(Chava

2014

),andcorporate-bondspreads(Selt-zeretal.

2020

).Inaddition,HuynhandXia(

2021

)findthatcorporatebondshavelowerfuturereturnswhentheyoffergreaterpotentialtohedgeagainstclimaterisknews,andDelisetal.(

2019

)associatefossilfuelreserveswithhigherbank-loanrates.Beyondequityandbondmarkets,Ilhanetal.(

2021

)documentthatuncertaintyaboutclimatepolicyispricedintheoptionmarket.Incontrasttothesestudies,whichprimarilyassociatecorporateenvironmentalimpactswithfinan-ciallyrelevantpolicyandregulatoryrisks,wefocusontheeffectoftheenvironmentonfirms

.15

Amongotherinternationalfinancialinstitutions,theBankforInternationalSettlements(

2018

),EuropeanCen-tralBank(

2021

),InternationalMonetaryFund(

2021

),andtheBoardofGovernorsoftheFederalReserveSystem

(2021

)voicegrowingconcernwithregardtothethreatclimatechangeposestofinancialstability.Inaddition,legislatorsinFrance

16

andtheEuropeanUnion

17

havere-centlyintegratedclimateriskintocorporateandfinancialdisclosurerequirements.Toprovideguidance,theEuro-peanBankofDevelopmentandReconstruction

(2018

)proposesspecificclimate-riskmetrics,includinganas-sessmentofthefinancialeffectofheatexposureasoneofsixfirstorderphysicalrisks.Ourstudycloselyconnectstothepolicydebatesonclimatechange–relateddisclo-sureandglobalwarmingasafinancialrisk.

2.FinancialDataandTemperatures

2.1.Firms’Locations

Forouranalyses,weusetheuniverseoffirmsinStandard&Poor’sCompustatGlobalDatabase.Asinformationonestablishmentsandfirmactivitiesbyestablishmentisscarceinaglobalcontext,welinkrecordsoffirmperfor-mancewithfirms’exposuretotemperaturesbasedonheadquarterslocation.Forthispurpose,weobtainfirmlocationsfromFactsetFundamentalsandcross-checkwhetherthecountriesmatchwithCompustatGlobalrecords.Subsequently,wegeocodestreet-leveladdressesusingtheBingMapsAPIandmatchfirmsandERA5gridnodesbyminimizingtherespectivedistance.Clearly,headquarterlocationsmaynotrepresentlocationswithsignificantfirmoperations.Tolimitthepotentialdistor-tionscausedbysuchmismatches,weobtainameasureoffirms’geographicconcentrationofassetsfromFactset’sinternationalsegmentrecords.Inmanyjurisdictions,pu-bliclylistedfirmsarerequiredtodiscloseinformationontheiractivitiesbygeographicsegmentsintheirinterimfinancialreportsbyaddinginformationonallsegmentsrepresentingmorethan10%oftotalassets,sales,orincome.Thegranularityofthereportedsegmentsdiffersacrossfirmsandrangesfromstatetocontinentallevels.Welimitoursampletofirmsthatreportsegmentsonacountry-by-countrybasisandobtaininformationontheconcentrationofassetsinfirms’homecountries.Exante,itisunclearwhichthresholdisadequatetoeliminatefirmswithmismatchedtemperaturedatafromoursam-plewithoutimposingunnecessaryconstraintsonthesampleandvalidityofthefindings.Inasimilarsetting,BarrotandSauvagnat(

2016

)focusonfirmswithmorethan10%oftheiremployeesbasedatheadquarterloca-tionstomatchfirmswithdataonnaturaldisasters.Wefollowthischoiceandexcludefirmsthatholdlessthan10%oftheirtotalassetsintheirhomecountry.

18

Despitethisadjustment,wecannotpreventthatfirms