Excess stock returns and corporate environmental performance in China

Financial Innovation

Table 3 Summary statistics

Variables	N	Mean	Std. Dev	Min	Median	Max	Fisher-ADF	Fisher-PP
RET	221500	− 0.13	0.13	− 1.38	− 0.14	1.24	765.89***	1363.91***
LOGGREEN	221500	3.61	0.27	2.47	3.59	4.61	2.87***	2.05**
BETA	221500	1.14	0.37	− 2.02	1.13	3.55	4.52***	49.83***
LOGSIZE	221500	22.81	1.06	20.22	22.62	28.66	10.66***	26.77***
BM	221500	0.44	0.30	0.03	0.37	1.46	20.57***	27.57***
MOM	221500	0.04	0.39	-0.80	0.01	1.17	26.18***	44.21***
ROE	221500	0.05	0.15	-0.89	0.06	0.33	11.49***	21.36***
INV	221500	0.14	0.26	-0.33	0.08	1.57	18.15***	21.45***
TURNOVER	221500	0.44	0.43	0.03	0.29	2.25	32.7***	369.71***
CONCERN	93	5.62	0.19	5.17	5.61	6.27	–	–
POLICY	93	0.06	0.02	0.02	0.06	0.15	–	–

This table presents the summary statistics of the firm-level variables for 3,326 Chinese listed companies and the climate-related indices for the period from March 2014 to November 2021. RET is the monthly excess stock return; LOGGREEN is the logarithm of the corporate E-scores; BETA is the CAPM beta calculated over the past 36 months; LOGSIZE is the logarithm of corporate market capitalization; BM is the book-to-market ratio; MOM is the total return of the past 12 months; ROE is the return on equity; INV is the growth of assets; TURNOVER is the turnover rate; CONCERN is the logarithmic climate-change concerns index, calculated as \(CONCERN=ln(1+{climate change concerns index}_{t})\); POLICY is the climate-policy index. We use the modified inverse chi-squared statistics from the Fisher-ADF and Fisher-PP tests to assess the stationarity of the variables. *, **, and *** denote significance at the 10%, 5%, and 1% levels, respectively