The climate change effection Sustainable Investment Decisions: Change in Market reaction variable– Trading Volume.
| Panel A - All sample | ||||
|---|---|---|---|---|
| y = TR Vol (1) | y = TR Vol (2) | y = TR Vol (3) | y = TR Vol (4) | |
| SUST | -1.262*** (0.449) | |||
| DAM -1 | 0.003 (0.005) | 0.006 (0.005) | -0.115* (0.060) | |
| SUST_DAM-1 | 0.089*** (0.032) | 0.090*** (0.031) | 0.211*** (0.067) | |
| Size t-i | -0.038* (0.022) | -0.151*** (0.029) | -0.159*** (0.029) | |
| Age t-1 | -0.000 (0.001) | |||
| Div yeldt-1 | -0.001 (0.007) | 0.008 (0.007) | 0.005 (0.007) | |
| No. observations | 42.801 | 42.801 | 42.801 | |
| 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) | 0.942 | |||
| Total deaths | 1st stage results. 0.421*** (0.013) | |||
| Total affected | 0.369*** (0. 011) | |||
| Panel B - Equity & Bond | ||||
| y = TR_Vol | y = TR_Vol | y = TR_Vol | y = TR_Vol | |
| Equity (1) | Equity (2) | Bond(3) | Bond (4) | |
| SUST | ||||
| DAM _i | 0.007 (0.005) | -0.112* (0.064) | -0.003 (0.022) | -0.146 (0.095) |
| SUST_DAM _1 | 0.077** (0.030) | 0.196*** (0.069) | 0.305** (0.127) | 0.446*** (0.155) |
| Sizet_i | -0.155*** (0.029) | -0.161*** (0.030) | -0.099 (0.125) | -0.130 (0.129) |
| Aget_i | -0.000 (0.001) | 0.000 (0.001) | ||
| Div yeldt_i | 0.010 (0.007) | 0.007 (0.007) | -0.019 (0.023) | -0.026 (0.023) |
| No. observations | 39.000 | 39.000 | 3.801 | 3.801 |
| Company-FE | NO | NO | NO | NO |
| Domicile* Month FE | Yes | Yes | Yes | Yes |
| ETF-FE | Yes | Yes | Yes | Yes |
| Estimation approach | OLS | IV-SLS | OLS | IV-SLS |
| Tests: | ||||
| Underidentification (p-value) | 0.000 | 0.000 | ||
| Weak identification (p-value) | 0.000 | 0.000 | ||
| Overidentification (p-value) | 0.775 | 0.886 | ||
| 1st stage results | 1st stage results | |||
| Total deaths | 0.550*** (0.051) | 0.469*** (0.054) | ||
| Total affected | 0.402*** (0.033) | 0.315*** (0.045) | ||
| -1.262*** (0.449) | ||||
| 0.003 (0.005) | 0.006 (0.005) | -0.115* (0.060) | ||
| 0.089*** (0.032) | 0.090*** (0.031) | 0.211*** (0.067) | ||
| -0.038* (0.022) | -0.151*** (0.029) | -0.159*** (0.029) | ||
| -0.000 (0.001) | ||||
| -0.001 (0.007) | 0.008 (0.007) | 0.005 (0.007) | ||
| No. observations | 42.801 | 42.801 | 42.801 | |
| 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) | 0.942 | |||
| Total deaths | 1st stage results. 0.421*** (0.013) | |||
| Total affected | 0.369*** (0. 011) | |||
| 0.007 (0.005) | -0.112* (0.064) | -0.003 (0.022) | -0.146 (0.095) | |
| 0.077** (0.030) | 0.196*** (0.069) | 0.305** (0.127) | 0.446*** (0.155) | |
| -0.155*** (0.029) | -0.161*** (0.030) | -0.099 (0.125) | -0.130 (0.129) | |
| -0.000 (0.001) | 0.000 (0.001) | |||
| 0.010 (0.007) | 0.007 (0.007) | -0.019 (0.023) | -0.026 (0.023) | |
| No. observations | 39.000 | 39.000 | 3.801 | 3.801 |
| Company-FE | NO | NO | NO | NO |
| Domicile* Month FE | Yes | Yes | Yes | Yes |
| ETF-FE | Yes | Yes | Yes | Yes |
| Estimation approach | OLS | IV-SLS | OLS | IV-SLS |
| Tests: | ||||
| Underidentification (p-value) | 0.000 | 0.000 | ||
| Weak identification (p-value) | 0.000 | 0.000 | ||
| Overidentification (p-value) | 0.775 | 0.886 | ||
| 1st stage results | 1st stage results | |||
| Total deaths | 0.550*** (0.051) | 0.469*** (0.054) | ||
| Total affected | 0.402*** (0.033) | 0.315*** (0.045) | ||
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