Table A1 Definition and measurement of... | Emerald Publishing

Table A1

Definition and measurement of variables

Variable	Definition and measurement
$C S R D i s c l o s u r e_{i, t}$	To measure the construct for corporate social responsibility, we applied computer-aided textual analysis (CATA) to gauge the extent to which the press releases, issued by NZX listed firms during the ongoing COVID-19 crisis, emphasised the multidimensional CSR linguistic themes, as developed by Pencle and Mălăescu (2016)
$R O L L_C S R_{i, t}$	The 5-day rolling average of the $C S R D i s c l o s u r e_{i, t}$
$C O V I D_{N Z, t}$	The growth rate of the population-adjusted cumulative sum of confirmed cases in New Zealand on a specific day
$R O L L_C O V I D_{N Z, t}$	The 5-day rolling average of the $C O V I D_{N Z, t}$
$R A N G E_{i, t}$	The difference between the daily high and low stock price of the firm i on day t
$I L L I Q_{i, t}$	Amihud liquidity ratio defined as the daily ratio of absolute stock return to its dollar volume averaged over a specified period
$P R O F_{i, t}$	Profitability is the ratio of net income to total assets
$L E V_{i, t}$	Leverage is the ratio of total debt to total assets
$S I Z E_{i, t}$	Firm size is measured as the natural log of the total assets
$A G E_{j, t}$	Firm age is measured as the number of years since the founding year of the firm
$B E T A_{N Z, t}^{M K T}$	The time-varying beta of the market factor from the Carhart four-factor models
$B E T A_{N Z, t}^{S M B}$	The time-varying beta of the size factor from the Carhart four-factor model
$B E T A_{N Z, t}^{H M L}$	The time-varying beta of the value factor from the Carhart four-factor model
$B E T A_{N Z, t}^{M O M}$	The time-varying beta of the momentum factor from the Carhart four-factor model
$W O M E N_{i, t}$	Percentage of women on the board
$I N D I R_{i, t}$	Percentage of independent directors on the board
$B S I Z E_{i, t}$	Total number of directors on the board
$D U A L_{i, t}$	It is measured as a dummy variable, assigned 1 if the CEO simultaneously holds the position of chairman of the board, 0 otherwise

Variable	Definition and measurement
$C S R D i s c l o s u r e_{i, t}$	To measure the construct for corporate social responsibility, we applied computer-aided textual analysis (CATA) to gauge the extent to which the press releases, issued by NZX listed firms during the ongoing COVID-19 crisis, emphasised the multidimensional CSR linguistic themes, as developed by Pencle and Mălăescu (2016)
$R O L L_C S R_{i, t}$	The 5-day rolling average of the $C S R D i s c l o s u r e_{i, t}$
$C O V I D_{N Z, t}$	The growth rate of the population-adjusted cumulative sum of confirmed cases in New Zealand on a specific day
$R O L L_C O V I D_{N Z, t}$	The 5-day rolling average of the $C O V I D_{N Z, t}$
$R A N G E_{i, t}$	The difference between the daily high and low stock price of the firm i on day t
$I L L I Q_{i, t}$	Amihud liquidity ratio defined as the daily ratio of absolute stock return to its dollar volume averaged over a specified period
$P R O F_{i, t}$	Profitability is the ratio of net income to total assets
$L E V_{i, t}$	Leverage is the ratio of total debt to total assets
$S I Z E_{i, t}$	Firm size is measured as the natural log of the total assets
$A G E_{j, t}$	Firm age is measured as the number of years since the founding year of the firm
$B E T A_{N Z, t}^{M K T}$	The time-varying beta of the market factor from the Carhart four-factor models
$B E T A_{N Z, t}^{S M B}$	The time-varying beta of the size factor from the Carhart four-factor model
$B E T A_{N Z, t}^{H M L}$	The time-varying beta of the value factor from the Carhart four-factor model
$B E T A_{N Z, t}^{M O M}$	The time-varying beta of the momentum factor from the Carhart four-factor model
$W O M E N_{i, t}$	Percentage of women on the board
$I N D I R_{i, t}$	Percentage of independent directors on the board
$B S I Z E_{i, t}$	Total number of directors on the board
$D U A L_{i, t}$	It is measured as a dummy variable, assigned 1 if the CEO simultaneously holds the position of chairman of the board, 0 otherwise