Table 2 Results for sectoral corporate...

Table 2

Results for sectoral corporate profits and climate risk nexus without the role of green innovation

Sector	Physical climate risks					Transition climate risks
Sector	${P r o f i t}_{t - 1}$	${C r i s k}_{t}$	Lag	PDL01	PDL02	${P r o f i t}_{t - 1}$	${C r i s k}_{t}$	Lag	PDL01	PDL02
Communication service	0.7503*** (0.0808)	−0.1750** (0.0850)	2	−0.4446* (0.2350)	0.2695* (0.0157)	0.7341*** (0.0792)	0.2234*** (0.0837)	2	0.6079*** (0.2165)	−0.3844*** (0.1381)
Consumer discretionary	0.6738*** (0.0844)	0.0546*** (0.0204)	2	0.1534** (0.0625)	−0.0988** (0.0434)	0.5980*** (0.0826)	0.0549*** (0.0185)	2	0.1806*** (0.0550)	−0.1258*** (0.0384)
Consumer staple	0.7593*** (0.0676)	0.0380*** (0.0123)	3	0.0624** (0.0245)	−0.0244* (0.0126)	0.7574*** (0.0704)	0.0407*** (0.0146	2	0.1166*** (0.0435)	−0.0759** (0.0305)
Energy	0.1977* (0.1100)	−0.4438* (0.2345)	2	−1.3809** (0.6928)	0.9370** (0.4743)	0.2045* (0.1057)	0.4929*** (0.1679)	2	1.3507*** (0.4753)	−0.8577*** (0.3191)
Financial	−0.0989 (0.1092)	0.4839*** (0.1649)	4	0.6892*** (0.2492)	−0.2053*** (0.0907)	−0.0662 (0.1122)	0.4586*** (0.1593)	3	0.8851*** (0.3185)	−0.4265** (0.1647)
Health care	0.7675*** (0.0662)	−0.0298** (0.0152)	2	−0.1073*** (0.0398)	0.0775*** (0.0268)	0.7764*** (0.0656)	−0.0237** (0.0102)	4	−0.0398** (0.0159)	0.0160*** (0.0058)
Industrial	0.5502*** (0.0909)	−0.0224* (0.0121)	4	−0.0363** (0.0182)	0.0139** (0.0066)	0.5587*** (0.0904)	−0.0285* (0.0166)	2	−0.0901** (0.0441)	0.0615** (0.0283)
Information technology	0.8450*** (0.0748)	−0.0472 (0.0298)	2	−0.1575** (0.0778)	0.1103** (0.0523)	0.8182*** (0.0709)	−0.0330** (0.0156)	4	−0.0622** (0.0245)	0.0291*** (0.0093)
Material	0.6747** (0.0938)	0.0284** (0.0109)	4	0.0483*** (0.0174)	−0.0198*** (0.0068)	0.6219*** (0.0881)	−0.0254** (0.0103)	4	−0.0432*** (0.0160)	0.0177*** (0.0059)
Real estate	0.8850*** (0.0552)	0.0088* (0.0048)	2	0.0234* (0.0126)	−0.0146* (0.0081)	0.8902*** (0.0499)	−0.0039 (0.0030)	3	−0.0104* (0.0059)	0.0064** (0.0030)
Utility	0.5321*** (0.0937)	−0.0208 (0.0159)	2	−0.0844** (0.0419)	0.0636** (0.0269)	0.5584*** (0.0884)	0.0243* (0.0132)	4	0.0394* (0.0211)	−0.0150* (0.0080)

Sector	Physical climate risks					Transition climate risks
Sector	${P r o f i t}_{t - 1}$	${C r i s k}_{t}$	Lag	PDL01	PDL02	${P r o f i t}_{t - 1}$	${C r i s k}_{t}$	Lag	PDL01	PDL02
Communication service	0.7503*** (0.0808)	−0.1750** (0.0850)	2	−0.4446* (0.2350)	0.2695* (0.0157)	0.7341*** (0.0792)	0.2234*** (0.0837)	2	0.6079*** (0.2165)	−0.3844*** (0.1381)
Consumer discretionary	0.6738*** (0.0844)	0.0546*** (0.0204)	2	0.1534** (0.0625)	−0.0988** (0.0434)	0.5980*** (0.0826)	0.0549*** (0.0185)	2	0.1806*** (0.0550)	−0.1258*** (0.0384)
Consumer staple	0.7593*** (0.0676)	0.0380*** (0.0123)	3	0.0624** (0.0245)	−0.0244* (0.0126)	0.7574*** (0.0704)	0.0407*** (0.0146	2	0.1166*** (0.0435)	−0.0759** (0.0305)
Energy	0.1977* (0.1100)	−0.4438* (0.2345)	2	−1.3809** (0.6928)	0.9370** (0.4743)	0.2045* (0.1057)	0.4929*** (0.1679)	2	1.3507*** (0.4753)	−0.8577*** (0.3191)
Financial	−0.0989 (0.1092)	0.4839*** (0.1649)	4	0.6892*** (0.2492)	−0.2053*** (0.0907)	−0.0662 (0.1122)	0.4586*** (0.1593)	3	0.8851*** (0.3185)	−0.4265** (0.1647)
Health care	0.7675*** (0.0662)	−0.0298** (0.0152)	2	−0.1073*** (0.0398)	0.0775*** (0.0268)	0.7764*** (0.0656)	−0.0237** (0.0102)	4	−0.0398** (0.0159)	0.0160*** (0.0058)
Industrial	0.5502*** (0.0909)	−0.0224* (0.0121)	4	−0.0363** (0.0182)	0.0139** (0.0066)	0.5587*** (0.0904)	−0.0285* (0.0166)	2	−0.0901** (0.0441)	0.0615** (0.0283)
Information technology	0.8450*** (0.0748)	−0.0472 (0.0298)	2	−0.1575** (0.0778)	0.1103** (0.0523)	0.8182*** (0.0709)	−0.0330** (0.0156)	4	−0.0622** (0.0245)	0.0291*** (0.0093)
Material	0.6747** (0.0938)	0.0284** (0.0109)	4	0.0483*** (0.0174)	−0.0198*** (0.0068)	0.6219*** (0.0881)	−0.0254** (0.0103)	4	−0.0432*** (0.0160)	0.0177*** (0.0059)
Real estate	0.8850*** (0.0552)	0.0088* (0.0048)	2	0.0234* (0.0126)	−0.0146* (0.0081)	0.8902*** (0.0499)	−0.0039 (0.0030)	3	−0.0104* (0.0059)	0.0064** (0.0030)
Utility	0.5321*** (0.0937)	−0.0208 (0.0159)	2	−0.0844** (0.0419)	0.0636** (0.0269)	0.5584*** (0.0884)	0.0243* (0.0132)	4	0.0394* (0.0211)	−0.0150* (0.0080)

Note(s): This table reports the ADL-MIDAS estimation results for the effect of climate risk on corporate profits without including control variables (e.g., technological innovations). For parsimony, the ADL-MIDAS model is estimated with a polynomial degree (PLD/Almon) of 2, or 3 when the lag length of 2 is found to be inefficient. The effect of each explanatory variable is obtained by summing the coefficients of the two polynomial degrees (PLD01 and PLD02), as determined using a Wald test. The lag length used corresponds to the optimal lag for the independent variable. Values in parentheses are standard errors. ***, **, and * denote statistical significance at the 1%, 5%, and 10% levels, respectively

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