Climate Change Awareness: the time evolution of ETFs reaction to disasters.All Sample PRE-Paris agreement (2013–2015).
| y = log returns (1) | y = log returns (2) | y = log returns (3) | |
|---|---|---|---|
| SUST | 0.724 (2.580) | ||
| DAM -1 | 0.257*** (0.022) | 0.247*** (0.021) | 0.345*** (0.035) |
| SUST_DAM-1 | -0.033 (0.172) | -0.045 (0.172) | -0.143 (0.178) |
| Size t-1 | -0.306*** (0.051) | -2.389*** (0.156) | -2.377*** (0.157) |
| Age t-1 | 0.013*** (0.002) | ||
| Div yeldt-1 | -0.183*** (0.026) | 0.011 (0.050) | 0.010 (0.050) |
| No. observations | 22.490 | 22.490 | 22.490 |
| Company-FE | Yes | NO | NO |
| Domicile*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 | ||
| Total deaths | 1st stage results. 0.529*** (0.004) | ||
| Total affected | 0.327*** (0.002) |
| y | y = | ||
|---|---|---|---|
| 0.724 (2.580) | |||
| 0.257*** (0.022) | 0.247*** (0.021) | 0.345*** (0.035) | |
| -0.033 (0.172) | -0.045 (0.172) | -0.143 (0.178) | |
| -0.306*** (0.051) | -2.389*** (0.156) | -2.377*** (0.157) | |
| 0.013*** (0.002) | |||
| -0.183*** (0.026) | 0.011 (0.050) | 0.010 (0.050) | |
| No. observations | 22.490 | 22.490 | 22.490 |
| Company-FE | Yes | NO | NO |
| Domicile*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 | ||
| Total deaths | 1st stage results. 0.529*** (0.004) | ||
| Total affected | 0.327*** (0.002) |
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