UPDATE: Political risk and Covid-19 measures now available up to March 31, 2022
We released a paper with early evidence on the firm-level impact of exposure to the coronavirus. The corresponding data is available on this website. The data contain measures of a given firm's exposure, sentiment and risk to epidemic diseases (covid-19, SARS, H1N1, Ebola, etc.) for a sample of firms from 81 countries. Use our email sign-up if you wish to be notified of updates.
This website aggregates firm-level measures of exposure, risk, and sentiment constructed using textual analysis of quarterly earnings conference calls held by more than 11,000 listed firms in 81 countries. The data draws on work in three papers:
In our paper “Firm-Level Political Risk: Measurement and Effects,” as published in the Quarterly Journal of Economics , we construct measures of political sentiment and risk ranging from 2002 to 2021q2.
In "The Global Impact of Brexit Uncertainty," we extend this methodology to construct measures of the costs, benefits, and risks associated with specific shocks, such as the UK's decision to leave the EU. Our measures of Brexit exposure, risk, and sentiment are currently updated through the first quarter of 2019.
In a third paper, "Firm-level Exposure to Epidemic Disease: Covid-19, SARS, and H1N1," we apply the same methodology to construct measures of costs, benefits, and risks individual firms associate with the spread of Covid-19, SARS, H1N1, Ebola, Zika, and MERS, ranging 2002 to 2021q2.
Our measures of risk use simple tools from computational linguistics to quantify the share of the earnings call devoted to discussing risk in general, risks associated with politics, and risks associated with particular political topics, such as health care and economic policy.
Brexit risk
Risk related to the spread of epidemic diseases
Our measures of sentiment count positive and negative tone words used during the earnings call to measure the overall tone of the conversation, as well as call participants' optimism or pessimism associated with political and non-political topics.
Brexit sentiment
Sentiment related to the spread of epidemic diseases
Our exposure measures count the frequency of keywords related to Brexit and the spread of epidemic diseases like Covid-19, SARS, and H1N1 in conference call transcripts.