Descriptive statistics.
| Panel A - All sample | ||||
|---|---|---|---|---|
| y = log returns (1) | y = log returns (2) | y = log returns (3) | ||
| SUST | -1.873*** (0.569) | |||
| DAM-1 | -0.018** (0.008) | -0.013* (0.008) | -0.849*** (0. 011) | |
| SUST_DAM-1 | 0.143*** (0.039) | 0.143*** (0.038) | 0.215*** (0. 038) | |
| Size t-1 | -0.161+ * * (0.023) | -0.736*** (0.044) | -0.736*** (0.045) | |
| Age t-1 | 0.004*** (0.001) | |||
| Div yeldt-1 | -0.031*** (0.012) | 0.142*** (0.015) | 0. 139*** (0.018) | |
| No. observations | 74.294 | 74.294 | 74.294 | |
| Company-FE | Yes | No | No | |
| Country*Month FE | Yes | Yes | Yes | |
| ETF-FE | No | Yes | Yes | |
| Estimation approach Tests: | OLS | OLS | IV-2SLS | |
| Underidentification (p-value) | 0.000 | |||
| Weak identification (p-value) | 0.000 | |||
| Overidentification (p-value) | 0.000 1st stage results | |||
| Total deaths | 0.478*** (0.000) | |||
| Total affected | 0.315*** (0.000) | |||
| Panel B - Equity & Bond | ||||
| y = log | y = returns | y = log | y = returns | |
| Equity (1) | Equity (2) | Bonds (3) | Bonds (4) | |
| SUST | ||||
| DAM -1 | -0.021** (0.008) | -1.868*** (0.094) | 0.050*** (0.008) | -0.035 (0.095) |
| SUST_DAM-1 | 0.153*** (0.040) | 2.001*** (0.092) | 0.011 (0.026) | 0.095 (0.096) |
| Size t-i | -0.776*** (0.049) | -0.753*** (0.049) | -0.344*** (0.051) | -0.352*** (0.056) |
| Age t-1 | 0.002*** (0.001) | 0.000 (0.001) | ||
| Div yeldt-1 | 0.154*** (0.017) | 0.088*** (0.019) | 0.021 (0.017) | 0.018 (0.017) |
| No. observations | 66.254 | 66.254 | 8.040 | 8.040 |
| Company-FE | NO | NO | NO | NO |
| Domicile*Month FE | Yes | Yes | Yes | Yes |
| ETF-FE | Yes | Yes | Yes | Yes |
| Estimation approach Tests: | OLS | IV-2SLS | OLS | IV-2SLS |
| Underidentification (p-value) | 0.000 | |||
| Weak identification (p-value) | 0.000 | |||
| Overidentification (p-value) | 0.004 1st stage results | |||
| Total deaths | 0.480*** (0.000) | |||
| Total affected | 0.311*** (0.000) | |||
| y | y = | y = | ||
|---|---|---|---|---|
| -1.873*** (0.569) | ||||
| -0.018** (0.008) | -0.013* (0.008) | -0.849*** (0. 011) | ||
| 0.143*** (0.039) | 0.143*** (0.038) | 0.215*** (0. 038) | ||
| -0.161+ * * (0.023) | -0.736*** (0.044) | -0.736*** (0.045) | ||
| 0.004*** (0.001) | ||||
| -0.031*** (0.012) | 0.142*** (0.015) | 0. 139*** (0.018) | ||
| No. observations | 74.294 | 74.294 | 74.294 | |
| Company-FE | Yes | No | No | |
| Country*Month FE | Yes | Yes | Yes | |
| ETF-FE | No | Yes | Yes | |
| Estimation approach Tests: | OLS | OLS | IV-2SLS | |
| Underidentification (p-value) | 0.000 | |||
| Weak identification (p-value) | 0.000 | |||
| Overidentification (p-value) | 0.000 1st stage results | |||
| Total deaths | 0.478*** (0.000) | |||
| Total affected | 0.315*** (0.000) | |||
| y = | y = | y = | y = | |
| Equity (1) | Equity (2) | Bonds (3) | Bonds (4) | |
| -0.021** (0.008) | -1.868*** (0.094) | 0.050*** (0.008) | -0.035 (0.095) | |
| 0.153*** (0.040) | 2.001*** (0.092) | 0.011 (0.026) | 0.095 (0.096) | |
| -0.776*** (0.049) | -0.753*** (0.049) | -0.344*** (0.051) | -0.352*** (0.056) | |
| 0.002*** (0.001) | 0.000 (0.001) | |||
| 0.154*** (0.017) | 0.088*** (0.019) | 0.021 (0.017) | 0.018 (0.017) | |
| No. observations | 66.254 | 66.254 | 8.040 | 8.040 |
| Company-FE | NO | NO | NO | NO |
| Domicile*Month FE | Yes | Yes | Yes | Yes |
| ETF-FE | Yes | Yes | Yes | Yes |
| Estimation approach Tests: | OLS | IV-2SLS | OLS | IV-2SLS |
| Underidentification (p-value) | 0.000 | |||
| Weak identification (p-value) | 0.000 | |||
| Overidentification (p-value) | 0.004 1st stage results | |||
| Total deaths | 0.480*** (0.000) | |||
| Total affected | 0.311*** (0.000) | |||
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