Excess stock returns and corporate environmental performance in China

Financial Innovation

Table 4 Correlation coefficient matrix

	RET	LOGGREEN	BETA	LOGSIZE	BM	MOM	ROE	INV	TURNOVER	CONCERN	POLICY
RET	1
LOGGREEN	0.08***	1
BETA	− 0.04***	− 0.07***	1
LOGSIZE	− 0.03***	0.30***	− 0.11***	1
BM	0.06***	0.24***	− 0.02***	0.00	1
MOM	− 0.10***	− 0.02***	− 0.05***	0.23***	− 0.33***	1
ROE	− 0.01***	0.07***	− 0.11***	0.27***	0.01***	0.06***	1
INV	− 0.01***	− 0.03***	− 0.02***	0.16***	− 0.11***	− 0.01***	0.26***	1
TURNOVER	− 0.11***	− 0.13***	0.06***	− 0.11***	− 0.30***	0.35***	− 0.11***	− 0.00	1
CONCERN	0.07***	0.26***	− 0.03***	0.00	0.09***	− 0.07***	− 0.02***	− 0.04***	− 0.05***	1
POLICY	0.08***	0.25***	− 0.06***	− 0.00	0.06***	− 0.03***	− 0.02***	− 0.03***	− 0.04***	0.59***	1

This table presents the Pearson pairwise correlations between the firm-level variables for 3,326 Chinese listed companies and the climate-related indices in the period from March 2014 to November 2021. All variables are defined in Table 2. *, **, and *** denote significance at the 10%, 5%, and 1% levels, respectively