Table A1: Variable description.... | Emerald Publishing

Table A1:

Variable description.

Variables	Symbol	Definition and calculation method	Exp. Sign	Source
Dependent Variables:
ETF return	log returns	The log difference in price between two consecutive months for a given ETF.		Thomson Reuters Data
Trading Volume	TR_ Vol	Total monthly trading volumes for a given ETF.		Thomson Reuters Data
Independent Variables:
Sustainable Investments	SUSTt-1	A dummy variable taking the value of 1 if an ETF is associated with sustainability themes, and 0 otherwise.	+/-	Authors computation on Thomson Reuters Data

Natural disasters impact on sustainable investments	SUST_DAM_t-1	The interaction between SUST and the lagged value of DAM.	+	Authors computation on Thomson Reuters Data & EM-DAT database
Damages (Disaster Intensity	DAMt-1	DAM capture the severity of disastrous events that occurred during the previous month. This disaster metrics is represented by Logarithm of total damages in thousands of dollars.	+/-	Authors computation on EM-DAT database
Control Variables: Fund asset size	Sizet—1	Total market value of the ETF as observed at the end of month.t.	—	Thomson Reuters Data
ETF age	Aget-1	ETF seniority (number of months since inception).	+	Thomson Reuters Data
Div yield return	Div yieldt—1	Dividend Yield return.		Thomson Reuters Data

Variables	Symbol	Definition and calculation method	Exp. Sign	Source
Dependent Variables:
ETF return	log returns	The log difference in price between two consecutive months for a given ETF.		Thomson Reuters Data
Trading Volume	TR_ Vol	Total monthly trading volumes for a given ETF.		Thomson Reuters Data
Independent Variables:
Sustainable Investments	SUSTt-1	A dummy variable taking the value of 1 if an ETF is associated with sustainability themes, and 0 otherwise.	+/-	Authors computation on Thomson Reuters Data

Natural disasters impact on sustainable investments	SUST_DAM_t-1	The interaction between SUST and the lagged value of DAM.	+	Authors computation on Thomson Reuters Data & EM-DAT database
Damages (Disaster Intensity	DAMt-1	DAM capture the severity of disastrous events that occurred during the previous month. This disaster metrics is represented by Logarithm of total damages in thousands of dollars.	+/-	Authors computation on EM-DAT database
Control Variables: Fund asset size	Sizet—1	Total market value of the ETF as observed at the end of month.t.	—	Thomson Reuters Data
ETF age	Aget-1	ETF seniority (number of months since inception).	+	Thomson Reuters Data
Div yield return	Div yieldt—1	Dividend Yield return.		Thomson Reuters Data