Instrumental variable analysis
| First stage | Second stage | |
|---|---|---|
| (1) | (2) | |
| Predicted_Divergence | 5.109*** | |
| (1.848) | ||
| IV_MCA | 0.324** | |
| (0.156) | ||
| IV_RegionalESGcover | 0.008*** | |
| (0.002) | ||
| Size | 0.001 | 0.204*** |
| (0.002) | (0.013) | |
| Lev | −0.026*** | −0.382*** |
| (0.008) | (0.078) | |
| ROE | 0.000 | 0.009** |
| (0.000) | (0.004) | |
| Top1 | 0.020* | −0.337*** |
| (0.011) | (0.087) | |
| SOE | 0.000 | 0.175*** |
| (0.003) | (0.026) | |
| INST | −0.020*** | −0.041 |
| (0.007) | (0.063) | |
| Volatility | −0.003 | −0.877*** |
| (0.005) | (0.051) | |
| Volume | −0.004** | 0.013 |
| (0.002) | (0.014) | |
| HHI | −0.001 | −0.477** |
| (0.029) | (0.202) | |
| Constant | 0.568*** | −5.801*** |
| (0.041) | (0.447) | |
| Industry FE | Yes | Yes |
| Year FE | Yes | Yes |
| N | 20,923 | 20,923 |
| Adj. R2 | 0.036 | 0.091 |
| Under-identification test | ||
| Kleibergen–Paap rk LM statistic | 16.795 | |
| p-value | 0.000*** | |
| Weak identification test | ||
| Cragg–Donald Wald F statistic | 15.652 | |
| Over identification test | ||
| Sargan test (p-value) | 0.12 | |
| First stage | Second stage | |
|---|---|---|
| (1) | (2) | |
| 5.109*** | ||
| (1.848) | ||
| 0.324** | ||
| (0.156) | ||
| 0.008*** | ||
| (0.002) | ||
| 0.001 | 0.204*** | |
| (0.002) | (0.013) | |
| −0.026*** | −0.382*** | |
| (0.008) | (0.078) | |
| 0.000 | 0.009** | |
| (0.000) | (0.004) | |
| 0.020* | −0.337*** | |
| (0.011) | (0.087) | |
| 0.000 | 0.175*** | |
| (0.003) | (0.026) | |
| −0.020*** | −0.041 | |
| (0.007) | (0.063) | |
| −0.003 | −0.877*** | |
| (0.005) | (0.051) | |
| −0.004** | 0.013 | |
| (0.002) | (0.014) | |
| −0.001 | −0.477** | |
| (0.029) | (0.202) | |
| 0.568*** | −5.801*** | |
| (0.041) | (0.447) | |
| Industry FE | Yes | Yes |
| Year FE | Yes | Yes |
| 20,923 | 20,923 | |
| Adj. | 0.036 | 0.091 |
| Under-identification test | ||
| Kleibergen–Paap rk LM statistic | 16.795 | |
| 0.000*** | ||
| Weak identification test | ||
| Cragg–Donald Wald | 15.652 | |
| Over identification test | ||
| Sargan test ( | 0.12 | |
Note(s): This table reports the instrument variable/2SLS regression results. Results for the first and second stage are reported in columns (1) and (2), respectively. The instrumental variables are IV_MCA, which is firm-level climate attention and IV_RegionalESGcover, which is the annual sample median number of rating agencies covering firms in the same city. The Kleibergen–Paap rk LM statistic, Cragg–Donald Wald F statistic and Sargan test also are shown. The control variables are the same as in our baseline model. See Appendix A for variable definitions. All continuous variables are winsorized at the 1% and 99% levels. Standard errors, clustered at the firm level, are reported in parentheses. ***, ** and * indicate significance at the 1%, 5% and 10% levels, respectively
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