Table 2 Definitions of variables
From: Excess stock returns and corporate environmental performance in China
Variables | Definition |
|---|---|
RET | The excess stock return, which is calculated by the logarithmic stock return rate minus the risk-free interest rate |
LOGGREEN | The logarithm of the corporate environmental scores |
BETA | The CAPM beta, which is calculated by a rolling regression of the excess stock return on the market excess return over the previous 36Â months |
LOGSIZE | The logarithm of corporate market capitalization |
BM | The book-to-market ratio, which equals to the reciprocal price-to-book ratio |
MOM | The total return of the previous 12Â months |
ROE | The return on equity in the annual report |
INV | The growth of assets in the annual report |
TURNOVER | The turnover rate, which is calculated by the number of shares traded over the number of shares outstanding |
CONCERN | \({\text{ln}}\left(1+{\mathrm{climate change concerns index}}_{{\text{t}}}\right)\) |
POLICY | The news-based climate-policy index |