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Financial Innovation

Table 13 Re-estimation of main regressions: alternative E-scores

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***

  

(6.33)

(5.87)

  

L1.CONCERN

  

1.932***

2.081***

  

(7.49)

(6.78)

CONCERN*LOGGREEN

0.093*

0.092

  

(1.71)

(1.46)

  

L1.CONCERN*LOGGREEN

  

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***

  

(9.53)

(9.36)

  

L1.POLICY

  

− 195.909***

− 201.899***

  

(− 15.01)

(− 14.81)

POLICY*LOGGREEN

0.582**

0.632**

  

(2.00)

(2.13)

  

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

  1. This table reports the re-estimation results of the main regressions using alternative E-scores from Refinitiv. The sample period is 2014–2021, and the unit of observation is one year. Panel A shows the results of regressing the excess stock returns (RET) on corporate environmental performance (LOGGREEN) and the controls. Panel B shows the results of the regression tests of the moderating effect of climate-change concerns (CONCERN) on the relationship between environmental performance and excess stock returns with the controls. Panel C shows the results of the regression tests of the moderating effect of climate policy (POLICY) on the relationship between environmental performance and excess stock returns with the controls. In Panels B and C, columns (1) and (2) show the contemporaneous moderating effects of climate-change concerns or the climate-policy index, and columns (3) and (4) show the moderating effects of one-year lagged climate-change concerns or the climate-policy index. All regressions include year fixed effects, and selected columns additionally include industry fixed effects. We use robust standard errors clustered at the firm level. *, **, and *** denote significance at the 10%, 5%, and 1% levels, respectively.
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