ABCDEFGHIJKLMNOPQRSTUVWXYZ
1
2
Replication Data
3
Climate Change Uncertainty and the Cross-Section of Green and Brown Returns
4
Monthly data for U.S. equities · main sample January 2015 – November 2022 · two-stage Fama–MacBeth regressions
5
6
1. Workbook contents
7
8
Each data sheet has the same layout: column A holds the month as text (YYYY-MM), row 1 holds the column headers and the data start in row 2, so every sheet can be read directly with a standard import (e.g. pandas.read_excel(file, sheet_name=...)). Click a sheet name to open it. Observation counts and periods are computed live from the sheets.
9
10
SheetContentsColumnsPeriodObs.UnitsPaper reference
11
CCU ProxiesThe four climate-change-uncertainty (CCU) proxies, in levelsDate + 4 proxies2014-11 – 2022-1197Index levelSec. 3.1, Table 1
12
Mimicking factorsFactor-mimicking portfolio returns for each CCU proxy (traded component)Date + 4 factors2015-01 – 2022-1195Fitted value, w′RₜSec. 6.1, Eq. (6)–(7)
13
Portfolios High CO2Brown portfolios – CO2 intensity above monthly medianDate + 25 portfolios2015-01 – 2022-1296Return, % per monthSec. 3.3.2, Table 6B
14
Portfolios Low CO2Green portfolios – CO2 intensity below monthly medianDate + 25 portfolios2015-01 – 2022-1296Return, % per monthSec. 3.3.2, Table 6A
15
Portfolios High ESGGreen portfolios – Environmental score above medianDate + 25 portfolios2015-01 – 2022-1296Return, % per monthSec. 3.3.2, Table 5A
16
Portfolios Low ESGBrown portfolios – Environmental score below medianDate + 25 portfolios2015-01 – 2022-1296Return, % per monthSec. 3.3.2, Table 5B
17
Portfolios ExposedBrown portfolios – climate-policy-relevant sectors (Battiston et al., 2017)Date + 25 portfolios2004-01 – 2022-11227Return, % per monthSec. 3.3.2, Table 7B
18
Portfolios Not ExposedGreen portfolios – sectors not exposed (Battiston et al., 2017)Date + 25 portfolios2004-01 – 2022-11227Return, % per monthSec. 3.3.2, Table 7A
19
20
21
2. CCU proxies (sheet: CCU Proxies)
22
23
ColumnVariable (symbol in paper)SourceDescription
24
ARIMA_GT_CCGoogle Trends – “Climate Change” (GTCC)Authors’ elaborationU.S. Google search volume for the topic “Climate Change” (all categories), seasonally adjusted with an ARIMA(1,1,1) model following Parsley and Popper (2024).
25
MCCCIMedia Climate Change Concerns Index (MCCCI)Ardia et al. (2023)Unexpected shifts in climate-change concerns extracted from ten major U.S. newspapers and two newswires (Associated Press, Reuters).
26
CPUClimate Policy Uncertainty Index (CPU)Gavriilidis (2021)Share of articles in eight leading U.S. newspapers that jointly mention uncertainty, climate terms and regulation/policy terms.
27
CAIClimate Attention Index (CAI)Arteaga-Garavito et al. (2025)Climate attention measured from over 20 million tweets published by leading national newspapers, 2014–2022.
28
29
Series are stored in levels. In the regressions the paper uses each proxy as a growth rate (Section 4), which is why the sheet starts in 2014-11, two months before the estimation sample.
30
31
3. Factor-mimicking portfolios (sheet: Mimicking factors)
32
33
ColumnMimicsDescription
34
GT_CCGTCC (ARIMA_GT_CC)Each column is the traded, return-spanned component of one CCU proxy: the fitted value w′Rₜ from the time-series regression CCUₜ = α + w′Rₜ + εₜ, where Rₜ stacks all test-asset portfolio returns used in the paper (Fama–French, CO2, ESG and Exposure portfolios). Used in place of the raw proxies in the Section 6 Fama–MacBeth tests (Tables 13–16).
35
MCCCIMCCCI
36
CPUCPU
37
CAICAI
38
39
40
4. Green and brown test portfolios (six “Portfolios …” sheets)
41
42
Stocks are first split into a green and a brown group by one of three criteria. Within each group they are sorted by market capitalisation into 25 portfolios, and returns are value-weighted within each portfolio. Column headers 1–25 are the size portfolios: 1 = smallest firms, 25 = largest firms.
43
44
CriterionGreen / Brown splitGreen sheetBrown sheetRebalancingAvg. stocks per portfolio
45
ESG (Environmental pillar, Refinitiv)Above / below the cross-sectional median E-scorePortfolios High ESGPortfolios Low ESGGreen/brown: yearly (scores updated each December). Size sorts: monthly.21–22
46
CO2 intensity (Scope 1 emissions / revenue, Refinitiv)Below / above the monthly medianPortfolios Low CO2Portfolios High CO2Green/brown: yearly (new emissions data each year-end). Size sorts: monthly.14–15
47
Climate-policy exposure (Battiston et al., 2017)Sectors not exposed / exposed (fossil fuels, energy-intensive, housing, utilities, transport, finance)Portfolios Not ExposedPortfolios ExposedSector classification; size sorts monthly.Not exposed 31–32 · Exposed 24–25
48
49
Source for stock counts: Appendix B, Table B1. Summary statistics of the portfolio returns are in Table B2.
50
51
5. Notes for replication
52
53
TopicNote
54
Estimation sampleJanuary 2015 – November 2022 (monthly). The portfolio sheets extend beyond this window (CO2/ESG to 2022-12; Exposure portfolios from 2004-01), so trim to the sample before estimating.
55
Missing valuesEmpty cells mean the series is not available: ARIMA_GT_CC has no value for 2014-11; MCCCI and CPU end in 2022-08 (blank for 2022-09 to 2022-11).
56
DatesColumn A is text in YYYY-MM format, identical across sheets, so sheets can be merged on it directly.
57
Excess returnsThe first-stage regression (Eq. 4) uses excess returns. This workbook does not state whether the risk-free rate has already been deducted from the portfolio returns; confirm before estimating (RF is in the Fama–French Data Library).
58
Not includedControl factors MKT, SMB, HML and RF (Fama–French Data Library); U.S. personal consumption expenditures for the consumption-growth factor (FRED); and the Fama–French test portfolios (49 industries; 100 size × book-to-market, size × investment, size × operating profitability).
59
NamingThe Google Trends proxy is labelled ARIMA_GT_CC in CCU Proxies, GT_CC in Mimicking factors and GTCC in the paper; all three refer to the same variable.
60
Displayed precisionCells are displayed to 3 decimals (CAI to 4); the full-precision values are stored.
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100