From: Excess stock returns and corporate environmental performance in China
 | (1) | (2) |
---|---|---|
Panel A: Environmental performance and excess returns | ||
LOGGREEN | 0.008 | 0.002 |
(1.29) | (0.27) | |
BETA | − 0.013 | − 0.018 |
(− 0.61) | (− 0.77) | |
LOGSIZE | − 0.030*** | − 0.030*** |
(− 4.05) | (− 2.95) | |
BM | − 0.044** | − 0.010 |
(− 2.10) | (− 0.35) | |
MOM | − 0.003 | − 0.050 |
(− 0.10) | (− 1.63) | |
ROE | 0.000** | 0.000*** |
(2.13) | (2.98) | |
INV | − 0.000* | − 0.000 |
(− 1.66) | (− 0.96) | |
TURNOVER | − 0.002 | 0.000 |
(− 0.56) | (0.04) | |
Constant | − 1.363*** | − 1.280*** |
(− 7.31) | (− 4.98) | |
Control | N | Y |
Industry fixed effects | Y | Y |
Year fixed effects | Y | Y |
Observations | 1877 | 1877 |
Adjusted R2 | 0.3113 | 0.3366 |
 | (1) | (2) | (3) | (4) |
---|---|---|---|---|
Panel B: The moderating effect of climate-change concerns | ||||
LOGGREEN | − 0.525* | − 0.522 | − 0.201 | − 0.047 |
(− 1.68) | (− 1.45) | (− 0.52) | (− 0.10) | |
CONCERN | 1.277*** | 1.335*** | Â | Â |
(6.33) | (5.87) | Â | Â | |
L1.CONCERN | Â | Â | 1.932*** | 2.081*** |
 |  | (7.49) | (6.78) | |
CONCERN*LOGGREEN | 0.093* | 0.092 | Â | Â |
(1.71) | (1.46) | Â | Â | |
L1.CONCERN*LOGGREEN | Â | Â | 0.037 | 0.009 |
 |  | (0.54) | (0.10) | |
Constant | − 8.226*** | − 8.432*** | − 11.711*** | − 12.439*** |
(− 7.02) | (− 6.30) | (− 7.97) | (− 7.04) | |
Control | Y | Y | Y | Y |
Industry fixed effects | N | Y | N | Y |
Year fixed effects | Y | Y | Y | Y |
Observations | 1877 | 1877 | 1877 | 1877 |
Adjusted R2 | 0.3120 | 0.3373 | 0.3110 | 0.3362 |
 | (1) | (2) | (3) | (4) |
---|---|---|---|---|
Panel C: The moderating effect of climate policies | ||||
LOGGREEN | − 0.033 | − 0.042* | 0.134** | 0.150** |
(− 1.44) | (− 1.81) | (2.28) | (2.54) | |
POLICY | 11.701*** | 12.028*** | Â | Â |
(9.53) | (9.36) | Â | Â | |
L1.POLICY |  |  | − 195.909*** | − 201.899*** |
 |  | (− 15.01) | (− 14.81) | |
POLICY*LOGGREEN | 0.582** | 0.632** | Â | Â |
(2.00) | (2.13) | Â | Â | |
L1.POLICY*LOGGREEN |  |  | − 2.206** | − 2.598** |
 |  | (− 2.10) | (− 2.47) | |
Constant | − 1.965*** | − 1.883*** | 8.849*** | 9.235*** |
(− 9.32) | (− 6.81) | (13.51) | (12.86) | |
Control | Y | Y | Y | Y |
Industry fixed effects | N | Y | N | Y |
Year fixed effects | Y | Y | Y | Y |
Observations | 1877 | 1877 | 1877 | 1877 |
Adjusted R2 | 0.3128 | 0.3385 | 0.3131 | 0.3393 |