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Financial Innovation

Table 10 Moderating effect of climate policy before and after the dual carbon goals

From: Excess stock returns and corporate environmental performance in China

 

Before the dual carbon goals

After the dual carbon goals

(1)

(2)

(3)

(4)

LOGGREEN

− 0.007

− 0.007

0.102***

0.093***

(− 1.30)

(− 1.32)

(12.75)

(11.87)

POLICY

− 4.471***

− 4.478***

4.108***

4.217***

(− 12.28)

(− 12.28)

(13.77)

(14.27)

POLICY*LOGGREEN

0.173**

0.171*

− 0.846***

− 0.879***

(1.98)

(1.96)

(− 10.76)

(− 11.31)

Constant

0.138***

0.167***

− 0.406***

− 0.411***

(6.19)

(7.29)

(-12.83)

(− 12.68)

Control

Y

Y

Y

Y

Industry fixed effects

N

Y

N

Y

Year/month fixed effects

Y

Y

Y

Y

Observations

176,214

176,214

45,286

45,286

Adjusted R2

0.4215

0.4226

0.1078

0.1209

  1. This table reports the results for the regression tests of the moderating effect of climate policy (POLICY) on the relationship between environmental performance (LOGGREEN) and excess stock returns (RET) with controls and robust standard errors clustered at the firm level before and after the dual carbon goals. Columns (1) and (2) show the results for the period from March 2014 to September 2020 (before the dual-carbon goals). Columns (3) and (4) show the results for the period from October 2020 to November 2021 (after the dual-carbon goals). The unit of observation is a month. All variables are defined in Table 2. All regressions include year-month fixed effects. Columns (2) and (4) also include industry-fixed effects. *, **, and *** denote significance at the 10%, 5%, and 1% levels, respectively
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