Table 9 Moderating effect of climate policy on the relationship between environmental performance and excess stock returns

LOGGREEN

0.010***

0.008***

0.002

0.000

0.040***

0.039***

0.022***

0.021***

(3.22)

(2.60)

(0.62)

(0.09)

(9.36)

(9.02)

(4.88)

(4.48)

POLICY

2.969***

2.978***

(16.81)

(16.85)

L1.POLICY

1.713***

1.722***

(8.72)

(8.77)

L6.POLICY

6.749***

6.787***

(24.14)

(24.25)

L12.POLICY

115.420***

115.647***

(54.53)

(54.65)

POLICY*LOGGREEN

− 0.023

 −  0.024

(− 0.53)

(− 0.55)

L1.POLICY*LOGGREEN

0.093*

0.092*

(1.82)

(1.79)

L6.POLICY*LOGGREEN

− 0.541***

− 0.549***

(− 7.70)

(− 7.81)

L12.POLICY*LOGGREEN

− 0.249***

− 0.251***

(− 3.21)

(− 3.22)

Constant

− 0.401***

− 0.380***

− 0.243***

− 0.222***

− 0.563***

− 0.544***

− 8.704***

− 8.699***

(− 28.12)

(− 25.37)

(− 17.87)

(− 15.39)

(− 29.95)

(− 28.13)

(− 55.31)

(− 55.31)

Control

Y

Y

Y

Y

Y

Y

Y

Y

Industry fixed effects

N

Y

N

Y

N

Y

N

Y

Year/month fixed effects

Y

Y

Y

Y

Y

Y

Y

Y

Observations

221,500

221,500

221,500

221,500

221,500

221,500

221,500

221,500

Adjusted R²

0.3605

0.3618

0.3606

0.3618

0.3607

0.3620

0.3606

0.3618