Table 3 Results for sectoral corporate...

Table 3

Results for sectoral corporate profits and physical climate risk nexus with the role of green innovation

	${P r o f i t}_{t - 1}$	${C r i s k}_{t}$	${T e c h}_{t}$	Lag	PDL01	PDL02
Communication service	0.3792*** (0.1069)	−1.1356*** (0.2021)	0.0002*** (5.269e−05)	3	−0.4468*** (0.1208)	0.2448*** (0.0605)
Consumer discretionary	0.4817*** (0.0977)	−0.1020* (0.0599)	3.979e−05*** (1.337e−05)	3	−0.0647* (0.0347)	0.0339* (0.0186)
Consumer staple	0.4130*** (0.1001)	−0.0167 (0.0595)	5.532e−05*** (1.257e−05)	2	−0.1137** (0.0467)	0.0815*** (0.0318)
Energy	0.1475 (0.1106)	0.1316 (0.8975)	−0.0002** (0.0001)	2	−1.1856* (0.6859)	0.8347* (0.4677)
Financial	−0.0990 (0.1099)	1.6795*** (0.5154)	−3.398e−06 (0.0001)	4	0.6897*** (0.2512)	−0.2052** (0.0913)
Health care	0.0897 (0.1080)	−0.1134*** (0.0386)	8.900e−05*** (1.244e−05)	2	−0.0885*** (0.0313)	0.0586*** (0.0211)
Industrial	0.3536*** (0.1027)	0.0579 (0.0373	3.067e−05*** (8.943e−06)	4	−0.0389** (0.0171)	0.0132** (0.0062)
Information technology	0.2725** (0.1235)	−0.3350*** (0.0867)	0.0001*** (2.462e−05)	2	−0.1176* (0.0671)	0.0727 (0.0454)
Material	0.4935*** (0.1045)	0.0191 (0.0346)	2.841e−05*** (8.706e−06)	4	0.0405** (0.0166)	−0.0178*** (0.0065)
Real estate	0.7250*** (0.0771)	0.0095 (0.0169)	1.020e−05*** (3.577e−06)	2	0.0214* (0.0121)	−0.0132* (0.0078)
Utility	0.2251** (0.1094)	0.0067 (0.0430)	3.174e−05*** (7.114e−06)	2	−0.0843** (0.0380)	0.0613** (0.0244)

	${P r o f i t}_{t - 1}$	${C r i s k}_{t}$	${T e c h}_{t}$	Lag	PDL01	PDL02
Communication service	0.3792*** (0.1069)	−1.1356*** (0.2021)	0.0002*** (5.269e−05)	3	−0.4468*** (0.1208)	0.2448*** (0.0605)
Consumer discretionary	0.4817*** (0.0977)	−0.1020* (0.0599)	3.979e−05*** (1.337e−05)	3	−0.0647* (0.0347)	0.0339* (0.0186)
Consumer staple	0.4130*** (0.1001)	−0.0167 (0.0595)	5.532e−05*** (1.257e−05)	2	−0.1137** (0.0467)	0.0815*** (0.0318)
Energy	0.1475 (0.1106)	0.1316 (0.8975)	−0.0002** (0.0001)	2	−1.1856* (0.6859)	0.8347* (0.4677)
Financial	−0.0990 (0.1099)	1.6795*** (0.5154)	−3.398e−06 (0.0001)	4	0.6897*** (0.2512)	−0.2052** (0.0913)
Health care	0.0897 (0.1080)	−0.1134*** (0.0386)	8.900e−05*** (1.244e−05)	2	−0.0885*** (0.0313)	0.0586*** (0.0211)
Industrial	0.3536*** (0.1027)	0.0579 (0.0373	3.067e−05*** (8.943e−06)	4	−0.0389** (0.0171)	0.0132** (0.0062)
Information technology	0.2725** (0.1235)	−0.3350*** (0.0867)	0.0001*** (2.462e−05)	2	−0.1176* (0.0671)	0.0727 (0.0454)
Material	0.4935*** (0.1045)	0.0191 (0.0346)	2.841e−05*** (8.706e−06)	4	0.0405** (0.0166)	−0.0178*** (0.0065)
Real estate	0.7250*** (0.0771)	0.0095 (0.0169)	1.020e−05*** (3.577e−06)	2	0.0214* (0.0121)	−0.0132* (0.0078)
Utility	0.2251** (0.1094)	0.0067 (0.0430)	3.174e−05*** (7.114e−06)	2	−0.0843** (0.0380)	0.0613** (0.0244)

Note(s): This table reports the ADL-MIDAS estimation results for the role of green innovation as an additional predictor in the effect of physical climate risk on corporate profits. 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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