Published 2022 | Version v5
Open dataset Metadata-only

Firm-Level Risk

Creators

Description

Description

The Firm‑Level Risk dataset aggregates quarterly earnings conference call transcripts for more than 11,000 listed firms across 81 countries and provides machine‑generated metrics of political risk, Brexit‑related uncertainty, and epidemic‑disease exposure (COVID‑19, SARS, H1N1, Ebola, Zika, MERS) from 2002 through Q2 2021 (Brexit measures updated to Q1 2019). For each firm‑quarter the data includes sentiment scores, risk indices, and exposure variables derived from systematic textual analysis, enabling cross‑sectional and panel studies of how macro‑shocks affect corporate outcomes.

Please cite the following papers if you use the data:
  • Hassan, T. A., Hollander, S., van Lent, L., & Tahoun, A. (2019). Firm‑Level Political Risk: Measurement and Effects. Quarterly Journal of Economics, 134(4), 2135‑2202. https://doi.org/10.1093/qje/qjz021
  • Hassan, T. A., Hollander, S., van Lent, L., & Tahoun, A. (2020). The Global Impact of Brexit Uncertainty. NBER Working Paper No. 26609.
  • Hassan, T. A., Hollander, S., van Lent, L., Schwedeler, M., & Tahoun, A. (2022). Firm‑Level Exposure to Epidemic Diseases: Covid‑19, SARS, and H1N1. London Business School (mimeo). Available at SSRN: https://ssrn.com/abstract=3566530



 

Details

Resource type Open dataset
Title Firm-Level Risk
Creators
  • Hassan, Tarek A.
  • Hollander, Stephan
  • van Lent, Laurence
  • Tahoun, Ahmed
  • Schwedeler, Markus
    • Publisher Firm-level risk
    Year of publication 2022
    Dates of collection 2002 – 2021
    Research fields Business Administration Economic & Social History Political Science Economics
    Size 76.1 MB ; 124 MB
    Formats Comma-separated values (CSV) (.csv) dta
    External resource https://www.firmlevelrisk.com/download

    Additional details

    Related works

    Is referenced by
    Journal article: 10.1093/qje/qjz021 (DOI)
    Journal article: https://ssrn.com/abstract=3566530 (URL)