Table 5 The presence of a female chair...

Table 5

The presence of a female chair on the environmental committee and stock liquidity

Dependent variables	(1)	(2)	(3)
	Model 1	Model 2	Model 3
	L_Illiquidity	SR_Zero_return	L_Turnover
L1	0.371***	−0.049	0.305***
L1	[0.102]	[0.058]	[0.037]
L2	0.080	0.020	−0.166***
L2	[0.067]	[0.049]	[0.027]
ESG female chair	−0.445**	−0.008**	0.164***
ESG female chair	[0.152]	[0.003]	[0.039]
ESG size	−0.088**	−0.028***	0.031
ESG size	[0.031]	[0.006]	[0.022]
ESG independence	0.137	−0.209***	−0.208
ESG independence	[0.789]	[0.051]	[0.162]
ESG meetings	−0.143*	−0.002	0.063*
ESG meetings	[0.063]	[0.006]	[0.027]
ESG attendance	−5.776***	−0.236***	1.464***
ESG attendance	[1.431]	[0.059]	[0.240]
ESG average age	−0.081***	−0.002*	0.007
ESG average age	[0.015]	[0.001]	[0.004]
ESG board chair	0.201	0.059***	−0.127*
ESG board chair	[0.113]	[0.011]	[0.052]
DA	0.219	0.199***	−1.224***
DA	[0.471]	[0.050]	[0.219]
AudComSize	0.023	−0.032***	0.094***
AudComSize	[0.053]	[0.006]	[0.018]
AudComInd	0.710	−0.055	−0.664***
AudComInd	[0.694]	[0.053]	[0.179]
AudComExp	−0.945*	−0.103	0.245*
AudComExp	[0.401]	[0.059]	[0.118]
AudComMeet	−0.003	0.003	−0.002
AudComMeet	[0.074]	[0.003]	[0.012]
AudComAttend	3.575***	0.086*	−0.428*
AudComAttend	[0.990]	[0.043]	[0.196]
BIG4AUD	0.582**	−0.015	−0.162*
BIG4AUD	[0.191]	[0.030]	[0.076]
MktCap	−0.000	0.000*	−0.000*
MktCap	[0.000]	[0.000]	[0.000]
Institutional investors	−0.643	0.011	0.314***
Institutional investors	[0.405]	[0.019]	[0.068]
LEV	−1.732**	0.025	−0.163
LEV	[0.552]	[0.063]	[0.093]
ROA	−3.270***	−0.423***	0.390
ROA	[0.902]	[0.061]	[0.249]
AGE	−0.002	−0.001	0.000
AGE	[0.009]	[0.001]	[0.002]
DPS	0.000	0.001***	−0.001
DPS	[0.002]	[0.000]	[0.000]
GRI guidelines	0.039	0.001	0.001
GRI guidelines	[0.063]	[0.005]	[0.023]
PRICE	0.002	−0.007***	0.004*
PRICE	[0.008]	[0.001]	[0.002]
RETURN_Vol	96.509***	−2.569***	18.587***
RETURN_Vol	[11.376]	[0.691]	[2.149]
MTB	0.008**	−0.000	−0.002*
MTB	[0.003]	[0.000]	[0.001]
N	395	395	395
Year FE	Yes	Yes	Yes
Industry FE	Yes	Yes	Yes
Hansen J-statistics	22.377	43.106	49.923
p-value for Hansen test	0.718	0.467	0.187
χ²	16784429.491***	101975.810***	113369.630***
AR (1)	−3.001***	−4.128***	−3.705***
AR (2)	0.371	−1.255	0.509
No. of instruments	53	70	69

Dependent variables	(1)	(2)	(3)
	Model 1	Model 2	Model 3
	L_Illiquidity	SR_Zero_return	L_Turnover
L1	0.371***	−0.049	0.305***
L1	[0.102]	[0.058]	[0.037]
L2	0.080	0.020	−0.166***
L2	[0.067]	[0.049]	[0.027]
ESG female chair	−0.445**	−0.008**	0.164***
ESG female chair	[0.152]	[0.003]	[0.039]
ESG size	−0.088**	−0.028***	0.031
ESG size	[0.031]	[0.006]	[0.022]
ESG independence	0.137	−0.209***	−0.208
ESG independence	[0.789]	[0.051]	[0.162]
ESG meetings	−0.143*	−0.002	0.063*
ESG meetings	[0.063]	[0.006]	[0.027]
ESG attendance	−5.776***	−0.236***	1.464***
ESG attendance	[1.431]	[0.059]	[0.240]
ESG average age	−0.081***	−0.002*	0.007
ESG average age	[0.015]	[0.001]	[0.004]
ESG board chair	0.201	0.059***	−0.127*
ESG board chair	[0.113]	[0.011]	[0.052]
DA	0.219	0.199***	−1.224***
DA	[0.471]	[0.050]	[0.219]
AudComSize	0.023	−0.032***	0.094***
AudComSize	[0.053]	[0.006]	[0.018]
AudComInd	0.710	−0.055	−0.664***
AudComInd	[0.694]	[0.053]	[0.179]
AudComExp	−0.945*	−0.103	0.245*
AudComExp	[0.401]	[0.059]	[0.118]
AudComMeet	−0.003	0.003	−0.002
AudComMeet	[0.074]	[0.003]	[0.012]
AudComAttend	3.575***	0.086*	−0.428*
AudComAttend	[0.990]	[0.043]	[0.196]
BIG4AUD	0.582**	−0.015	−0.162*
BIG4AUD	[0.191]	[0.030]	[0.076]
MktCap	−0.000	0.000*	−0.000*
MktCap	[0.000]	[0.000]	[0.000]
Institutional investors	−0.643	0.011	0.314***
Institutional investors	[0.405]	[0.019]	[0.068]
LEV	−1.732**	0.025	−0.163
LEV	[0.552]	[0.063]	[0.093]
ROA	−3.270***	−0.423***	0.390
ROA	[0.902]	[0.061]	[0.249]
AGE	−0.002	−0.001	0.000
AGE	[0.009]	[0.001]	[0.002]
DPS	0.000	0.001***	−0.001
DPS	[0.002]	[0.000]	[0.000]
GRI guidelines	0.039	0.001	0.001
GRI guidelines	[0.063]	[0.005]	[0.023]
PRICE	0.002	−0.007***	0.004*
PRICE	[0.008]	[0.001]	[0.002]
RETURN_Vol	96.509***	−2.569***	18.587***
RETURN_Vol	[11.376]	[0.691]	[2.149]
MTB	0.008**	−0.000	−0.002*
MTB	[0.003]	[0.000]	[0.001]
N	395	395	395
Year FE	Yes	Yes	Yes
Industry FE	Yes	Yes	Yes
Hansen J-statistics	22.377	43.106	49.923
p-value for Hansen test	0.718	0.467	0.187
χ²	16784429.491***	101975.810***	113369.630***
AR (1)	−3.001***	−4.128***	−3.705***
AR (2)	0.371	−1.255	0.509
No. of instruments	53	70	69

Note(s): This table presents results on the presence of a female chair 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

[ViewLarge]

Sharing Unavailable