Climate Change Awareness: the time evolution of ETFs reaction to disasters.All Sample POST-Paris agreement(2016–2018).
| y = log returns (1) | y = log returns (2) | y = log returns (3) | |
|---|---|---|---|
| SUST | -1.167** (0.505) | ||
| DAM -1 | 0.287*** (0.009) | -0.149*** (0.015) | 0.280*** (0.008) |
| SUST_DAM-1 | 0.101*** (0.034) | 0.525*** (0.037) | 0.100*** (0.034) |
| Size t-1 | -0.065*** (0.021) | -1.106*** (0.093) | -0.817*** (0.084) |
| Age t-1 | 0.002*** (0.001) | ||
| Div yeldt-1 | -0.045*** (0.009) | 0.099*** (0.025) | 0.102*** (0.024) |
| No. observations | 33.356 | 33.356 | 33.356 |
| 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 0.329*** (0.005) | ||
| Total affected | 0.267*** (0.004) |
| y = | |||
|---|---|---|---|
| -1.167** (0.505) | |||
| 0.287*** (0.009) | -0.149*** (0.015) | 0.280*** (0.008) | |
| 0.101*** (0.034) | 0.525*** (0.037) | 0.100*** (0.034) | |
| -0.065*** (0.021) | -1.106*** (0.093) | -0.817*** (0.084) | |
| 0.002*** (0.001) | |||
| -0.045*** (0.009) | 0.099*** (0.025) | 0.102*** (0.024) | |
| No. observations | 33.356 | 33.356 | 33.356 |
| 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 | 1 | ||
| Total affected | 0.267*** (0.004) |
Sharing content requires targeting cookies to be enabled. Please update your cookie preferences to use this feature.