Pricing Biodiversity Risk: Evidence from Earnings Conference Calls

As proposed by among others Giglio et al. (2025, RoF), we therefore focus on earnings conference call (ECC)–based indicators as a potentially more accurate source of information on biodiversity risk exposure. We use an expert-labelled sample of ECC excerpts combined with ChatGPT-assisted annotation and fine-tune BERT models to examine whether this disclosure and the associated measure of biodiversity risk exposure are financially material. We assemble a global panel of ECC transcripts for listed firms from 2001–2024 and split each call into short excerpts, structured around the prepared remarks, analyst Q&A exchanges, and closing statements. Environmental and biodiversity specialists manually label a high-quality sample of excerpts into several categories (biodiversity, climate risk and opportunity, and natural disasters), explicitly flagging cases where dictionary methods misclassify language (e.g. “technology ecosystem”) as biodiversity-related. We then use this labelled set with ChatGPT-assisted annotation and fine-tune transformer models (BERT) to estimate the independent probabilities of belonging to each category. Aggregating these probabilities yields firm-year, LLM-based indicators of nature-related disclosure. In parallel, we construct a keyword-based baseline for biodiversity and climate from ECCs. We use this indicator, which is similar to those used elsewhere in the literature, for the main empirical tests and to benchmark the LLM measures.

Using the keyword indicators, we document a strong upward trend in biodiversity disclosure in ECCs from 2001 to 2024, starting from very low levels and with a sharp jump around 2020–2021. Comparing with climate change, we find that climate disclosure starts from a much higher and more stable baseline and also rises around the Covid period, so that biodiversity remains at lower absolute levels but grows more rapidly over time. Also, linking biodiversity disclosure to firm characteristics and market outcomes, we find that higher biodiversity exposure is positively associated with social ESG scores and negatively associated with stakeholder-engagement scores, while largely unrelated to current profitability. Firms that mention biodiversity exhibit slightly lower subsequent excess returns and higher market beta, suggesting that markets currently interpret biodiversity primarily as a source of systematic risk rather than a short-term opportunity.