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Table 8 Moderating effect of climate-change concerns on the relationship between environmental performance and excess stock returns

From: Excess stock returns and corporate environmental performance in China

 

(1)

(2)

(3)

(4)

(5)

(6)

LOGGREEN

− 0.058**

− 0.063**

− 0.307***

− 0.314***

− 0.167***

− 0.175***

(− 2.13)

(− 2.30)

(− 9.23)

(− 9.39)

(− 5.19)

(− 5.40)

CONCERN

0.224***

0.223***

    

(11.97)

(11.86)

    

L1.CONCERN

  

0.156***

0.153***

  
  

(6.83)

(6.71)

  

L2.CONCERN

    

0.286***

0.283***

    

(13.09)

(12.91)

CONCERN*LOGGREEN

0.012**

0.012**

    

(2.42)

(2.52)

    

L1.CONCERN*LOGGREEN

  

0.056***

0.057***

  
  

(9.39)

(9.51)

  

L2.CONCERN*LOGGREEN

    

0.031***

0.032***

    

(5.41)

(5.56)

Constant

− 1.397***

− 1.366***

− 0.955***

− 0.918***

− 1.628***

− 1.589***

(− 13.24)

(− 12.87)

(− 7.53)

(− 7.21)

(− 13.35)

(− 12.95)

Control

Y

Y

Y

Y

Y

Y

Industry fixed effects

N

Y

N

Y

N

Y

Year/month fixed effects

Y

Y

Y

Y

Y

Y

Observations

221,500

221,500

221,500

221,500

221,500

221,500

Adjusted R2

0.3606

0.3618

0.3608

0.3621

0.3606

0.3619

  1. This table reports the results for the regression tests of the moderating effect of climate-change concerns (CONCERN) on the relationship between environmental performance (LOGGREEN) and excess stock returns (RET) with controls and 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. Columns (1) and (2) show the contemporaneous moderating effects of climate-change concerns, columns (3) and (4) are the moderating effects of one-month lagged climate-change concerns, and columns (5) and (6) are the moderating effects of two-month lagged climate-change concerns. All variables are defined in Table 2. All regressions include year-month fixed effects, and columns (2), (4), and (6) additionally include industry fixed effects. *, **, and *** denote significance at the 10%, 5%, and 1% levels, respectively
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