Table 1.

Construction of the EnvDisclosure score – factor analysis

Panel A: Factor analysis – principal factor methodEigenvalueDifferenceProportionCumulative
Factor1 – EnvDisclosure scorec1.0221.0711.5661.566 
Factor2−0.040.076−0.0751.490 
Factor3−0.1250.069−0.1921.298 
Factor4−0.194.−0.2981 
LR test: independent vs saturated: Prob > chi2 = 0.0000
Panel B: Factor loadings (pattern matrix) and unique variances
VariableFactor1Uniqueness  
Biodiversity impact reduction (Asset4 code: ENERDP019)0.5890.653   
Climate change risks/opportunities (Asset4 code: ENERDP089)0.5110.738   
Environmental investments initiatives (Asset4 code: ENERDP095)0.4830.766   
Spill impact reduction (Asset4 code: ENERDP087)0.4250.819   
Panel C: Summary statistics of the items and EnvDisclosure score
VariableObsMeanStd. dev.MinMax
Biodiversity impact reduction (Asset4 code: ENERDP019)55,4420.1690.3750.0001.000
Climate change risks/opportunities (Asset4 code: ENERDP089)55,4420.3050.4600.0001.000
Environmental investments initiatives (Asset4 code: ENERDP095)55,4420.1330.3390.0001.000
Spill impact reduction (Asset4 code: ENERDP087)55,4420.0590.2360.0001.000
EnvDisclosure scorea55,4420.0000.744−0.4872.660
Ln(EnvDisclosure)55,442−0.2100.607−0.6681.297

Notes:

aIn the construction of the environmental score, all available firm-year observations (55,471) on the Thomson Reuters Asset4 database have been used

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