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Financial Innovation

Table 7 Corporate green performance and excess stock returns

From: Excess stock returns and corporate environmental performance in China

 

(1)

(2)

LOGGREEN

0.008***

0.006***

(7.81)

(5.89)

BETA

− 0.002***

− 0.003***

(− 3.20)

(− 3.84)

LOGSIZE

− 0.004***

− 0.005***

(− 15.87)

(− 15.81)

BM

0.001

0.005***

(0.96)

(4.75)

MOM

− 0.001

− 0.000

(− 0.83)

(− 0.36)

ROE

− 0.001

− 0.001

(− 0.75)

(− 0.50)

INV

0.001

0.001

(0.82)

(0.76)

TURNOVER

− 0.022***

− 0.023***

(− 27.35)

(− 28.88)

Constant

− 0.186***

− 0.164***

(− 26.64)

(− 20.55)

Industry fixed effects

N

Y

Year/month fixed effects

Y

Y

Observations

221,500

221,500

Adjusted R2

0.3605

0.3618

  1. 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. The sample period is March 2014 to November 2021, and the unit of observation is a month. All variables are defined in Table 2. Both regressions include year-month fixed effects, and column (2) also includes industry fixed effects. *, **, and *** denote significance at the 10%, 5%, and 1% levels, respectively
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