The Impact of TCFD Reporting - A New Application of Zero-Shot Analysis to Climate-Related Financial Disclosures

Alix Auzepy (Justus-Liebig-Universität Gießen), Elena Tönjes (Justus-Liebig-Universität Gießen) and Christoph Funk (Justus-Liebig-Universität Gießen)

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Climate Finance & Economics Natural Language Processing


We examine climate-related disclosures in 3,335 reports based on a sample of 188 banks that officially endorsed the recommendations of the Task Force for Climate-related Financial Disclosures (TCFD). In doing so, we introduce a new application of zero-shot text classification based on the BART model and a MNLI task. By developing a set of robust and fine-grained labels, we show that zero-shot analysis provides high accuracy in analyzing companies’ climate-related reporting without further model training. We are able to demonstrate that banks that support the TCFD increase their level of disclosure after officially declaring their support for the guidelines, although we also find significant differences depending on the topic of disclosure. Our findings yield important conclusions for the design of climate-related disclosures.