| Â | Low-carbon | High-carbon |
|---|
(1) | (2) |
|---|
LOGGREEN | − 0.006 | 0.007*** |
(− 0.55) | (3.25) |
Constant | − 0.157** | − 0.157*** |
(− 2.55) | (− 9.20) |
Control | Y | Y |
Year/month fixed effects | Y | Y |
Observations | 2786 | 36,489 |
Adjusted R2 | 0.4383 | 0.3572 |
Empirical p-value | − 0.025** |  |
- This table reports the results from regressing the excess stock returns (RET) on corporate environmental performance (LOGGREEN) and controls with robust standard errors clustered at the firm level in low- and high-carbon industries. The sample period is March 2014 to November 2021, and the unit of observation is a month. Columns (1) show the results for low-carbon industries, and columns (2) show the results for high-carbon industries. All variables are defined in Table 2. Both regressions include year-month fixed effects. We use seemingly unrelated estimation to test the difference in LOGGREEN coefficients between groups. *, **, and *** denote significance at the 10%, 5%, and 1% levels, respectively
