Note(s): This table reports the panel fixed effect regression results of the robustness test by including additional control variables in the baseline regression model. The dependent variable is stock liquidity, measured by Amihud (opposite of Amihud’s (2002) illiquidity measure) and HLS (opposite of high low spread) and the independent variable is FCRE (firm-level climate risk exposure based on textual analysis). The additional control variables are Tobin’s_Q (market value of the firm), ROA (return on assets), Age (firm age), and HHI (Herfindahl–Hirschman Index for market concentration). We also control the baseline model control variables, industry (2-digit NIC code), and year-fixed effects. Table A1 describes all the variables in detail. The sample period is 2003–2004 to 2022–2023. t-statistics are reported in parentheses. ^***, ^** and ^* denote statistical significance at the 1, 5 and 10% levels, respectively

Source(s): Table by authors