Table 2 Correlation matrix Variables (1)...

Table 2

Correlation matrix

Variables	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)
(1) Amihud	1.000
(2) HLS	0.357^*	1.000
(3) FCRE	−0.137^*	−0.112^*	1.000
(4) RVOL	−0.595^*	−0.479^*	0.195^*	1.000
(5) IPRC	−0.511^*	−0.348^*	0.169^*	0.866^*	1.000
(6) SIZE	0.596^*	0.404^*	−0.198^*	−0.449^*	−0.431^*	1.000
(7) LEV	−0.109^*	−0.169^*	0.046^*	0.110^*	0.153^*	0.025	1.000
(8) R&D	0.122^*	0.136^*	−0.061^*	−0.125^*	−0.137^*	0.049^*	−0.058^*	1.000
(9) IO	0.375^*	0.358^*	−0.031^*	−0.338^*	−0.319^*	0.612^*	−0.083^*	0.105^*	1.000

Variables	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)
(1) Amihud	1.000
(2) HLS	0.357^*	1.000
(3) FCRE	−0.137^*	−0.112^*	1.000
(4) RVOL	−0.595^*	−0.479^*	0.195^*	1.000
(5) IPRC	−0.511^*	−0.348^*	0.169^*	0.866^*	1.000
(6) SIZE	0.596^*	0.404^*	−0.198^*	−0.449^*	−0.431^*	1.000
(7) LEV	−0.109^*	−0.169^*	0.046^*	0.110^*	0.153^*	0.025	1.000
(8) R&D	0.122^*	0.136^*	−0.061^*	−0.125^*	−0.137^*	0.049^*	−0.058^*	1.000
(9) IO	0.375^*	0.358^*	−0.031^*	−0.338^*	−0.319^*	0.612^*	−0.083^*	0.105^*	1.000

Note(s): This Table displays the correlation matrix for all the variables included in our model. The variables of our model are Amihud (opposite of Amihud’s (2002) illiquidity measure), HLS (opposite of high low spread), FCRE (firm-level climate risk exposure based on textual analysis), RVOL (stock return volatility), IPRC (inverse of the share price), SIZE (firm size), LEV (leverage), R&D (research and development expenses to total assets) and IO (institutional ownership) are control variables. We also control industry (2-digit NIC code) and year-fixed effects. Table A1 describes all the variables in detail. Detailed variable descriptions are provided in Table A1

^* denote statistical significance at the 1% level

Source(s): Table by authors

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