Variable definitions
| Notation | Variable name | Measure |
|---|---|---|
| Panel A: dependent variables-stock liquidity dimensions (considered separately) | ||
| Depth and resilience dimensions | ||
| Illiq | Amihud’s illiquidity ratio | Average ratio of absolute stock return to Australian dollars transaction volume (higher ratio indicates lower stock liquidity) |
| Tightness dimension | ||
| Return_zero | Zero return ratio | Ratio of zero return days to total trading days per year (higher ratio indicates lower stock liquidity) |
| Immediacy dimension | ||
| TO | Stock turnover ratio | Shares traded divided by shares outstanding (higher ratio indicates higher stock liquidity) |
| Robustness test variables | ||
| Bid-ask spread | Time-weighted quoted bid-ask spread | The daily average of the ratio between the time-weighted bid-ask spread and the time-weighted midpoint spread |
| AnC | Stock coverage by analysts | Analyst number following the company |
| Panel B: variables of interest | ||
| ESG female | Environmental committee female | Number of female members on the environmental committee |
| ESG male | Environmental committee male | Number of male members on the environmental committee |
| ESG female chair | Environmental committee female chair | A dummy variable indicating a female environmental committee chair, where 1 indicates presence, otherwise 0 |
| ESG interlocking | ESG interlock memberships | Environmental committee interlocking members with board members of all other ASX-listed companies in that year |
| ESG female interlocking | ESG female interlocks | Number of female interlocking environmental committee members with board members of all other ASX-listed companies in that year |
| ESG male interlocking | ESG male interlocks | Number of male interlocking environmental committee members with board members of all other ASX-listed companies in that year |
| Panel C: control variables | ||
| Environmental committee effectiveness | ||
| ESG size | Environmental committee size | Number of environmental committee members |
| ESG independence | Environmental committee independence | Proportion of non-executive members on environmental committee |
| ESG meetings | Environmental committee meetings | Number of environmental committee meetings held |
| ESG attendance | Environmental committee attendance | Proportion of environmental committee meetings attended |
| ESG average age | Environmental committee average age | Average age of environmental committee members |
| ESG board chair | Environmental committee board chair | A dummy variable indicating board chair membership of the environmental committee, where 1 indicates presence, 0 otherwise |
| Financial reporting quality | ||
| DA | Discretionary accruals | Residuals εi,t (Kothari et al., 2005) estimated for firm i in year t |
| Audit committee effectiveness | ||
| AudComSize | Audit committee size | Number of audit committee members |
| AudComInd | Audit committee independence | Percentage of non-executive audit committee members |
| AudComExp | Audit committee expert | Percentage of audit committee members holding accounting or finance qualifications(e.g. CPA, CA) |
| AudComMeet | Audit committee meetings | Number of audit committee meetings |
| AudComAttend | Audit committee attendance | Average percentage attendance of audit committee members |
| BIG4Aud | Big 4 audit firm | A dummy variable indicating audit quality, 1 if Big 4 auditor, 0 otherwise |
| Company characteristics | ||
| MktCap | Market capitalisation | Financial year-end market capitalisation (AUD) |
| Institutional investors | Institutional investors | Institutional investor share holdings as % |
| LEV | Company leverage | Total debt scaled by total assets |
| ROA | Return on assets | Net profit scaled by total assets |
| AGE | Company age | Duration of firm’s listing in years |
| DPS | Dividend per share | Dividends divided by shares outstanding |
| GRI | GRI guidelines | Indicator = 1 if company’s ESG report follows GRI guidelines, otherwise 0 |
| Stock characteristics | ||
| PRICE | Share price | Share price at financial year-end |
| Trading volume | Trading volume | Number of shares traded in a year |
| R_Vol | Return volatility | Standard deviation of daily stock returns |
| MTB | Market-to-book ratio | Market value scaled by book value |
| Notation | Variable name | Measure |
|---|---|---|
| Illiq | Amihud’s illiquidity ratio | Average ratio of absolute stock return to Australian dollars transaction volume (higher ratio indicates lower stock liquidity) |
| Return_zero | Zero return ratio | Ratio of zero return days to total trading days per year (higher ratio indicates lower stock liquidity) |
| TO | Stock turnover ratio | Shares traded divided by shares outstanding (higher ratio indicates higher stock liquidity) |
| Bid-ask spread | Time-weighted quoted bid-ask spread | The daily average of the ratio between the time-weighted bid-ask spread and the time-weighted midpoint spread |
| AnC | Stock coverage by analysts | Analyst number following the company |
| ESG female | Environmental committee female | Number of female members on the environmental committee |
| ESG male | Environmental committee male | Number of male members on the environmental committee |
| ESG female chair | Environmental committee female chair | A dummy variable indicating a female environmental committee chair, where 1 indicates presence, otherwise 0 |
| ESG interlocking | ESG interlock memberships | Environmental committee interlocking members with board members of all other ASX-listed companies in that year |
| ESG female interlocking | ESG female interlocks | Number of female interlocking environmental committee members with board members of all other ASX-listed companies in that year |
| ESG male interlocking | ESG male interlocks | Number of male interlocking environmental committee members with board members of all other ASX-listed companies in that year |
| ESG size | Environmental committee size | Number of environmental committee members |
| ESG independence | Environmental committee independence | Proportion of non-executive members on environmental committee |
| ESG meetings | Environmental committee meetings | Number of environmental committee meetings held |
| ESG attendance | Environmental committee attendance | Proportion of environmental committee meetings attended |
| ESG average age | Environmental committee average age | Average age of environmental committee members |
| ESG board chair | Environmental committee board chair | A dummy variable indicating board chair membership of the environmental committee, where 1 indicates presence, 0 otherwise |
| DA | Discretionary accruals | Residuals εi,t ( |
| AudComSize | Audit committee size | Number of audit committee members |
| AudComInd | Audit committee independence | Percentage of non-executive audit committee members |
| AudComExp | Audit committee expert | Percentage of audit committee members holding accounting or finance qualifications(e.g. CPA, CA) |
| AudComMeet | Audit committee meetings | Number of audit committee meetings |
| AudComAttend | Audit committee attendance | Average percentage attendance of audit committee members |
| BIG4Aud | Big 4 audit firm | A dummy variable indicating audit quality, 1 if Big 4 auditor, 0 otherwise |
| MktCap | Market capitalisation | Financial year-end market capitalisation (AUD) |
| Institutional investors | Institutional investors | Institutional investor share holdings as % |
| LEV | Company leverage | Total debt scaled by total assets |
| ROA | Return on assets | Net profit scaled by total assets |
| AGE | Company age | Duration of firm’s listing in years |
| DPS | Dividend per share | Dividends divided by shares outstanding |
| GRI | GRI guidelines | Indicator = 1 if company’s ESG report follows GRI guidelines, otherwise 0 |
| PRICE | Share price | Share price at financial year-end |
| Trading volume | Trading volume | Number of shares traded in a year |
| R_Vol | Return volatility | Standard deviation of daily stock returns |
| MTB | Market-to-book ratio | Market value scaled by book value |
Source(s): Authors’ own work
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