Table A1. Variables’ definitions... | Emerald Publishing

Table A1.

Variables’ definitions

Variable	Acronym	Description	Source
Dependent variable
Climate change risk	CCR	Firm-level climate change risk from Sautner et al. (2023)	Link to Firm‐level climate change exposureLink to the cited article.
Independent variables
Total risk	TR	Annualized stock volatility measured as the standard deviation of daily stock returns	DataStream – WorldScope
Idiosyncratic risk	IR	Idiosyncratic risk measured as the standard deviation of residuals from FAMA three-factor model, based on daily stock return
Market beta	Mβ	CAPM model using daily frequency data with a window of 252 trading days
Control variables
ESG performance	ESG	ESG disclosure scores from Bloomberg data service	Bloomberg
Boardroom gender diversity	BoGD	% of female board members to total board members	DataStream - WorldScope
Size	Size	Natural logarithm of total assets
R&D expenditures	R&D	R&D expenditures divided by total assets
Financial leverage	LEV	Sum of the book value of long-term debt and the book value of current liabilities divided by total assets
Market-to-book ratio	MTB	Market value of equity divided by book value of equity
Tangible assets	PPE	Property, plant and equipment divided by total assets

Variable	Acronym	Description	Source
Dependent variable
Climate change risk	CCR	Firm-level climate change risk from Sautner et al. (2023)	Link to the cited article.
Independent variables
Total risk	TR	Annualized stock volatility measured as the standard deviation of daily stock returns	DataStream – WorldScope
Idiosyncratic risk	IR	Idiosyncratic risk measured as the standard deviation of residuals from FAMA three-factor model, based on daily stock return
Market beta	Mβ	CAPM model using daily frequency data with a window of 252 trading days
Control variables
ESG performance	ESG	ESG disclosure scores from Bloomberg data service	Bloomberg
Boardroom gender diversity	BoGD	% of female board members to total board members	DataStream - WorldScope
Size	Size	Natural logarithm of total assets
R&D expenditures	R&D	R&D expenditures divided by total assets
Financial leverage	LEV	Sum of the book value of long-term debt and the book value of current liabilities divided by total assets
Market-to-book ratio	MTB	Market value of equity divided by book value of equity
Tangible assets	PPE	Property, plant and equipment divided by total assets

Source(s): Author’s own work