Table 6 Environmental committee...

Table 6

Environmental committee interlocking membership and stock liquidity

Dependent variables	(1)	(2)	(3)
	Model 1	Model 2	Model 3
	L_Illiquidity	SR_Zero_return	L_Turnover
L1	0.307	0.523	0.114
L1	[0.184]	[0.293]	[0.061]
L2	0.065	−0.190	−0.196***
L2	[0.155]	[0.299]	[0.043]
ESG interlocking	−0.751**	−0.023*	0.078*
ESG interlocking	[0.252]	[0.011]	[0.038]
ESG independence	−0.990	0.152*	−0.553**
ESG independence	[3.093]	[0.066]	[0.199]
ESG meetings	−0.405	−0.056***	0.168***
ESG meetings	[0.223]	[0.017]	[0.033]
ESG attendance	−13.654**	0.230**	0.385
ESG attendance	[4.410]	[0.083]	[0.301]
ESG average age	−0.056	−0.022***	0.010
ESG average age	[0.063]	[0.006]	[0.010]
ESG board chair	0.726	0.049	−0.141
ESG board chair	[0.409]	[0.035]	[0.080]
DA	−1.198	−0.053	−0.661
DA	[1.764]	[0.115]	[0.411]
AudComSize	−0.114	0.022	0.125***
AudComSize	[0.173]	[0.017]	[0.023]
AudComInd	3.155	0.002	−0.442
AudComInd	[2.114]	[0.130]	[0.306]
AudComExp	0.043	−0.114*	0.245
AudComExp	[0.834]	[0.049]	[0.179]
AudComMeet	0.457	0.007	−0.041
AudComMeet	[0.314]	[0.011]	[0.021]
AudComAttend	3.940	0.059	−0.322
AudComAttend	[2.785]	[0.072]	[0.313]
BIG4AUD	−0.639	−0.102	0.096
BIG4AUD	[0.628]	[0.061]	[0.109]
MktCap	−0.000**	0.000	0.000
MktCap	[0.000]	[0.000]	[0.000]
Institutional investors	1.965	−0.063	0.272*
Institutional investors	[1.326]	[0.074]	[0.130]
LEV	0.715	0.724***	−0.432*
LEV	[1.937]	[0.145]	[0.179]
ROA	−2.404	−0.304***	0.127
ROA	[1.366]	[0.068]	[0.256]
AGE	0.043	0.012**	−0.001
AGE	[0.030]	[0.004]	[0.003]
DPS	−0.002	0.000	0.000
DPS	[0.005]	[0.000]	[0.001]
GRI guidelines	−0.081	−0.003	−0.038
GRI guidelines	[0.167]	[0.010]	[0.037]
PRICE	0.043	−0.018**	0.003
PRICE	[0.042]	[0.006]	[0.006]
RETURN_Vol	93.523***	−0.813	20.213***
RETURN_Vol	[25.977]	[1.536]	[5.757]
MTB	−0.003	−0.001**	−0.001
MTB	[0.007]	[0.000]	[0.001]
Year FE	Yes	Yes	Yes
Industry FE	Yes	Yes	Yes
N	395	395	395
Hansen J-statistics	7.628	14.409	34.806
p-value for Hansen test	0.867	0.155	0.116
χ²	48079.770***	110.025***	456.448***
AR (1)	−2.174***	−2.321***	−1.900***
AR (2)	−1.468	−0.120	0.517
No. of instruments	38	36	52

Dependent variables	(1)	(2)	(3)
	Model 1	Model 2	Model 3
	L_Illiquidity	SR_Zero_return	L_Turnover
L1	0.307	0.523	0.114
L1	[0.184]	[0.293]	[0.061]
L2	0.065	−0.190	−0.196***
L2	[0.155]	[0.299]	[0.043]
ESG interlocking	−0.751**	−0.023*	0.078*
ESG interlocking	[0.252]	[0.011]	[0.038]
ESG independence	−0.990	0.152*	−0.553**
ESG independence	[3.093]	[0.066]	[0.199]
ESG meetings	−0.405	−0.056***	0.168***
ESG meetings	[0.223]	[0.017]	[0.033]
ESG attendance	−13.654**	0.230**	0.385
ESG attendance	[4.410]	[0.083]	[0.301]
ESG average age	−0.056	−0.022***	0.010
ESG average age	[0.063]	[0.006]	[0.010]
ESG board chair	0.726	0.049	−0.141
ESG board chair	[0.409]	[0.035]	[0.080]
DA	−1.198	−0.053	−0.661
DA	[1.764]	[0.115]	[0.411]
AudComSize	−0.114	0.022	0.125***
AudComSize	[0.173]	[0.017]	[0.023]
AudComInd	3.155	0.002	−0.442
AudComInd	[2.114]	[0.130]	[0.306]
AudComExp	0.043	−0.114*	0.245
AudComExp	[0.834]	[0.049]	[0.179]
AudComMeet	0.457	0.007	−0.041
AudComMeet	[0.314]	[0.011]	[0.021]
AudComAttend	3.940	0.059	−0.322
AudComAttend	[2.785]	[0.072]	[0.313]
BIG4AUD	−0.639	−0.102	0.096
BIG4AUD	[0.628]	[0.061]	[0.109]
MktCap	−0.000**	0.000	0.000
MktCap	[0.000]	[0.000]	[0.000]
Institutional investors	1.965	−0.063	0.272*
Institutional investors	[1.326]	[0.074]	[0.130]
LEV	0.715	0.724***	−0.432*
LEV	[1.937]	[0.145]	[0.179]
ROA	−2.404	−0.304***	0.127
ROA	[1.366]	[0.068]	[0.256]
AGE	0.043	0.012**	−0.001
AGE	[0.030]	[0.004]	[0.003]
DPS	−0.002	0.000	0.000
DPS	[0.005]	[0.000]	[0.001]
GRI guidelines	−0.081	−0.003	−0.038
GRI guidelines	[0.167]	[0.010]	[0.037]
PRICE	0.043	−0.018**	0.003
PRICE	[0.042]	[0.006]	[0.006]
RETURN_Vol	93.523***	−0.813	20.213***
RETURN_Vol	[25.977]	[1.536]	[5.757]
MTB	−0.003	−0.001**	−0.001
MTB	[0.007]	[0.000]	[0.001]
Year FE	Yes	Yes	Yes
Industry FE	Yes	Yes	Yes
N	395	395	395
Hansen J-statistics	7.628	14.409	34.806
p-value for Hansen test	0.867	0.155	0.116
χ²	48079.770***	110.025***	456.448***
AR (1)	−2.174***	−2.321***	−1.900***
AR (2)	−1.468	−0.120	0.517
No. of instruments	38	36	52

Note(s): This table presents results for Environmental committee interlocking membership 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 * are significant at 1%, 5% and 10% levels, respectively

Source(s): Authors’ own work

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