Table 4 The number of environmental...

Table 4

The number of environmental committee female members and stock liquidity

Dependent variables	(1)	(2)	(3)
	Model 1	Model 2	Model 3
	L_Illiquidity	SR_Zero_return	L_Turnover
L1	0.306*	0.215***	0.186***
L1	[0.123]	[0.027]	[0.053]
L2	0.134	−0.085**	−0.189***
L2	[0.099]	[0.029]	[0.035]
ESG female	−0.222**	−0.014***	0.132*
ESG female	[0.078]	[0.003]	[0.056]
ESG male	−0.139**	−0.006**	0.015
ESG male	[0.053]	[0.002]	[0.031]
ESG independence	−0.112	0.020	−0.419*
ESG independence	[1.163]	[0.013]	[0.192]
ESG meetings	−0.168	−0.002	0.149***
ESG meetings	[0.121]	[0.001]	[0.038]
ESG attendance	−7.985***	−0.022	0.723*
ESG attendance	[2.272]	[0.014]	[0.293]
ESG average age	−0.062*	−0.001	0.018
ESG average age	[0.025]	[0.001]	[0.009]
ESG board chair	0.143	0.013***	−0.062
ESG board chair	[0.161]	[0.004]	[0.088]
DA	−0.247	0.011	−0.805*
DA	[0.778]	[0.027]	[0.387]
AudComSize	0.015	−0.005**	0.126***
AudComSize	[0.069]	[0.002]	[0.021]
AudComInd	1,176,000	−0.023	−0.405
AudComInd	[1.168]	[0.038]	[0.314]
AudComExp	−0.454	−0.112***	0.258
AudComExp	[0.464]	[0.013]	[0.183]
AudComMeet	0.069	0.003	−0.038
AudComMeet	[0.130]	[0.002]	[0.020]
AudComAttend	3.992*	0.057*	−0.514
AudComAttend	[1.606]	[0.029]	[0.354]
BIG4AUD	0.567	−0.013	0.051
BIG4AUD	[0.295]	[0.008]	[0.116]
MktCap	−0.000	0.000***	−0.000
MktCap	[0.000]	[0.000]	[0.000]
Institutional investors	−1069,000	0.000	0.204
Institutional investors	[0.709]	[0.010]	[0.139]
LEV	−1.970*	0.117***	−0.500**
LEV	[0.893]	[0.028]	[0.178]
ROA	−2.810**	−0.156***	0.233
ROA	[1.058]	[0.014]	[0.264]
AGE	0.001	−0.002***	0.000
AGE	[0.016]	[0.001]	[0.002]
DPS	−0.002	0.000	−0.000
DPS	[0.003]	[0.000]	[0.001]
GRI guidelines	0.220	−0.006	−0.105***
GRI guidelines	[0.263]	[0.004]	[0.028]
PRICE	0.021	−0.004***	0.002
PRICE	[0.024]	[0.001]	[0.006]
RETURN_Vol	99.317***	0.714**	17.149**
RETURN_Vol	[9.992]	[0.262]	[5.362]
MTB	0.008	−0.000***	−0.001
MTB	[0.004]	[0.000]	[0.001]
N	395	395	395
Year FE	Yes	Yes	Yes
Industry FE	Yes	Yes	Yes
Hansen J-statistics	18.637	54.126	32.923
p-value for Hansen test	0.288	0.141	0.239
χ²	168691.780***	18291.805***	617.098***
AR (1)	−2.518***	−4.353***	−2.869***
AR (2)	0.405	0.924	0.761
No. of instruments	42	71	55

Dependent variables	(1)	(2)	(3)
	Model 1	Model 2	Model 3
	L_Illiquidity	SR_Zero_return	L_Turnover
L1	0.306*	0.215***	0.186***
L1	[0.123]	[0.027]	[0.053]
L2	0.134	−0.085**	−0.189***
L2	[0.099]	[0.029]	[0.035]
ESG female	−0.222**	−0.014***	0.132*
ESG female	[0.078]	[0.003]	[0.056]
ESG male	−0.139**	−0.006**	0.015
ESG male	[0.053]	[0.002]	[0.031]
ESG independence	−0.112	0.020	−0.419*
ESG independence	[1.163]	[0.013]	[0.192]
ESG meetings	−0.168	−0.002	0.149***
ESG meetings	[0.121]	[0.001]	[0.038]
ESG attendance	−7.985***	−0.022	0.723*
ESG attendance	[2.272]	[0.014]	[0.293]
ESG average age	−0.062*	−0.001	0.018
ESG average age	[0.025]	[0.001]	[0.009]
ESG board chair	0.143	0.013***	−0.062
ESG board chair	[0.161]	[0.004]	[0.088]
DA	−0.247	0.011	−0.805*
DA	[0.778]	[0.027]	[0.387]
AudComSize	0.015	−0.005**	0.126***
AudComSize	[0.069]	[0.002]	[0.021]
AudComInd	1,176,000	−0.023	−0.405
AudComInd	[1.168]	[0.038]	[0.314]
AudComExp	−0.454	−0.112***	0.258
AudComExp	[0.464]	[0.013]	[0.183]
AudComMeet	0.069	0.003	−0.038
AudComMeet	[0.130]	[0.002]	[0.020]
AudComAttend	3.992*	0.057*	−0.514
AudComAttend	[1.606]	[0.029]	[0.354]
BIG4AUD	0.567	−0.013	0.051
BIG4AUD	[0.295]	[0.008]	[0.116]
MktCap	−0.000	0.000***	−0.000
MktCap	[0.000]	[0.000]	[0.000]
Institutional investors	−1069,000	0.000	0.204
Institutional investors	[0.709]	[0.010]	[0.139]
LEV	−1.970*	0.117***	−0.500**
LEV	[0.893]	[0.028]	[0.178]
ROA	−2.810**	−0.156***	0.233
ROA	[1.058]	[0.014]	[0.264]
AGE	0.001	−0.002***	0.000
AGE	[0.016]	[0.001]	[0.002]
DPS	−0.002	0.000	−0.000
DPS	[0.003]	[0.000]	[0.001]
GRI guidelines	0.220	−0.006	−0.105***
GRI guidelines	[0.263]	[0.004]	[0.028]
PRICE	0.021	−0.004***	0.002
PRICE	[0.024]	[0.001]	[0.006]
RETURN_Vol	99.317***	0.714**	17.149**
RETURN_Vol	[9.992]	[0.262]	[5.362]
MTB	0.008	−0.000***	−0.001
MTB	[0.004]	[0.000]	[0.001]
N	395	395	395
Year FE	Yes	Yes	Yes
Industry FE	Yes	Yes	Yes
Hansen J-statistics	18.637	54.126	32.923
p-value for Hansen test	0.288	0.141	0.239
χ²	168691.780***	18291.805***	617.098***
AR (1)	−2.518***	−4.353***	−2.869***
AR (2)	0.405	0.924	0.761
No. of instruments	42	71	55

Note(s): This table presents results for the no. of female members on the Environmental committee and stock liquidity. A higher Amihud’s Illiquidity in column (1) means lower stock liquidity. The more Zero Return days in column (2) means lower stock liquidity. A higher Stock Turnover ratio in column (3) means more stock liquidity. Variable definitions and measures are in Table 1. Parentheses designate standard errors. ***, ** and * coefficients are significant at 0.1%, 1% and 5% levels, respectively

Source(s): Authors’ own work

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