Panel data to run the regression model, underlying the pending publication: Do Investors Reward Climate Responsibility? Event Study Evidence from the Nordic Countries

The dataset include: 1. Cumulative abnormal returns (4-day event window) that were calculated based on the market model for 174 corporate climate-related initiatives (103 favourable events and 71 unfavourable events) by Nordic firms, 2. Calendar days of the events and the respective year, 3. Abnormal volume on event days and respective high attention dummy, 4. Year dummies to capture time-trend, 5. Control variables (firm size, price-to-book ratio, analyst coverage, ROA, leverage ratio, environmental pillar score according to Refinitive), 6. Event classification and industry classification of firms. Data was collected using the Refinitiv Eikon database, and all the data is secondary.

本数据集包含以下内容：1. 基于市场模型计算得到的174项北欧企业气候相关举措的累计异常收益率（4日事件窗口），其中利好事件103起、利空事件71起；2. 事件发生的日历日期及对应年份；3. 事件当日的异常交易量及对应的高关注度虚拟变量；4. 用于捕捉时间趋势的年份虚拟变量；5. 控制变量（企业规模、市净率、分析师覆盖数量、资产收益率（ROA）、杠杆率以及路孚特（Refinitiv）环境支柱评分）；6. 企业的事件分类与行业分类。本数据集通过路孚特Eikon（Refinitiv Eikon）数据库采集所得，所有数据均为二手数据。