| Variable name | Variable symbol | Variable definitions |
| Fund grouping | Green | Fund classification, if the green fund is assigned to 1, otherwise assigned to 0 |
| Fund environmental performance | EP1 | According to the enterprise industry attributes calculated fund environmental performance |
| EP2 | According to the enterprise sewage charges calculated fund environmental performance | |
| EP3 | According to the enterprise environmental investment calculation of the fund environmental performance | |
| Fund financial performance | Yg | Green Fund Group Monthly average market excess returns |
| Yq | Non-green fund group average monthly excess returns | |
| Fund size | Formsize | Fund formation size |
| Fund age | age | The age of fund at the end of 2016 |
| Fund invest type | Investtype | Fund investment type classification, 0 for the value type, 1 for the balance, 2 for the growth |
| Risk-free rate | Rf | “Three-month central bank bills” coupon rate |
| Market factors | MKT | CSI 300 Index monthly rate of return and the average monthly risk-free rate of difference |
| Scale factor | SMB | The difference between the monthly rate of return of small-scale companies and large-scale companies |
| Value factor | HML | High book market value than the stock and low book value than the stock monthly rate of return difference |
| Momentum factor | UMD | Monthly momentum effect |
| Enterprise environmental performance | indu | Enterprise industry attributes, heavily polluting industries 1, non-polluting industries 0 |
| sewage | Log (enterprise sewage +1) | |
| epi | Log (enterprise environmental protection investment +1) |