Table 4 Results for sectoral corporate...

Table 4

Results for sectoral corporate profits and transition 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	0.3741*** (0.1175)	−0.4577** (0.1939)	0.0002*** (5.731e−05)	4	0.1699** (0.0716)	−0.0593** (0.0259)
Consumer discretionary	0.4516*** (0.0971)	−0.0878 (0.0535)	4.183e−05*** (1.290e−05)	3	−0.0557** (0.0255)	0.0271** (0.0127)
Consumer staple	0.4548*** (0.1023)	0.0678 (0.0409)	5.001e−05*** (1.264e−05)	4	−0.0381** (0.0173)	0.0141** (0.0063)
Energy	0.1515 (0.1071)	2.4453*** (0.6257)	−0.0002 (0.0001)	2	1.2343** (0.4701)	−0.7770** (0.3158)
Financial	−0.0672 (0.1127)	1.8363*** (0.5568)	4.931e−05 (0.0001)	3	0.8863*** (0.3201)	−0.4270** (0.1656)
Health care	0.0928 (0.1080)	−0.0576** (0.0274)	8.846e−05*** (1.231e−05)	4	−0.0265** (0.0125)	0.0112** (0.0046)
Industrial	0.3471*** (0.1010)	0.0540 (0.0361)	2.924e−05*** (8.520e−06)	4	−0.0405*** (0.0142)	0.0164*** (0.0057)
Information technology	0.2313* (0.1221)	−0.2934*** (0.0688)	0.0001*** (2.386e−05)	4	−0.0454* (0.0252)	0.0204** (0.0100)
Material	0.4650*** (0.1016)	−0.0484 (0.0334)	2.402e−05*** (8.635e−06)	4	−0.0350** (0.0156)	0.0146** (0.0057)
Real estate	0.7502*** (0.0735)	−0.0051 (0.0115)	1.055e−05*** (3.559e−06)	4	0.0113** (0.0054)	−0.0043* (0.0022)
Utility	0.2384** (0.1013)	0.1293*** (0.0354)	3.608e−05*** (7.030e−06)	2	0.0448* (0.0234)	−0.0311* (0.0162)

	${P r o f i t}_{t - 1}$	${C r i s k}_{t}$	${T e c h}_{t}$	Lag	PDL01	PDL02
Communication service	0.3741*** (0.1175)	−0.4577** (0.1939)	0.0002*** (5.731e−05)	4	0.1699** (0.0716)	−0.0593** (0.0259)
Consumer discretionary	0.4516*** (0.0971)	−0.0878 (0.0535)	4.183e−05*** (1.290e−05)	3	−0.0557** (0.0255)	0.0271** (0.0127)
Consumer staple	0.4548*** (0.1023)	0.0678 (0.0409)	5.001e−05*** (1.264e−05)	4	−0.0381** (0.0173)	0.0141** (0.0063)
Energy	0.1515 (0.1071)	2.4453*** (0.6257)	−0.0002 (0.0001)	2	1.2343** (0.4701)	−0.7770** (0.3158)
Financial	−0.0672 (0.1127)	1.8363*** (0.5568)	4.931e−05 (0.0001)	3	0.8863*** (0.3201)	−0.4270** (0.1656)
Health care	0.0928 (0.1080)	−0.0576** (0.0274)	8.846e−05*** (1.231e−05)	4	−0.0265** (0.0125)	0.0112** (0.0046)
Industrial	0.3471*** (0.1010)	0.0540 (0.0361)	2.924e−05*** (8.520e−06)	4	−0.0405*** (0.0142)	0.0164*** (0.0057)
Information technology	0.2313* (0.1221)	−0.2934*** (0.0688)	0.0001*** (2.386e−05)	4	−0.0454* (0.0252)	0.0204** (0.0100)
Material	0.4650*** (0.1016)	−0.0484 (0.0334)	2.402e−05*** (8.635e−06)	4	−0.0350** (0.0156)	0.0146** (0.0057)
Real estate	0.7502*** (0.0735)	−0.0051 (0.0115)	1.055e−05*** (3.559e−06)	4	0.0113** (0.0054)	−0.0043* (0.0022)
Utility	0.2384** (0.1013)	0.1293*** (0.0354)	3.608e−05*** (7.030e−06)	2	0.0448* (0.0234)	−0.0311* (0.0162)

Note(s): This table reports the ADL-MIDAS estimation results for the role of green innovation as an additional predictor in the effect of transition 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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