Climate Change Awareness: the time evolution of ETFs reaction to disasters.All Sample PRE-Paris agreement(2013–2015).
| y = TR_Vol (1) | y = TR_Vol (2) | y = TR_Vol (3) | |
|---|---|---|---|
| SUST | -0.725 (1.261) | ||
| DAM -1 | -0.014 (0.012) | -0.013 (0.012) | 0.009 (0.021) |
| SUST_DAM-i | 0.051 (0.087) | 0.039 (0.084) | 0.017 (0.088) |
| Sizet-i | -0.038 (0.032) | -0.089 (0.058) | -0.087 (0.058) |
| Age t-1 | 0.001 (0.001) | ||
| Div yeldt-1 | 0.001 (0.010) | 0.001 (0.010) | 0.000 (0.010) |
| No. observations | 12.478 | 12.478 | 12.478 |
| Company-FE | Yes | NO | NO |
| Domicile* Month FE | Yes | Yes | Yes |
| ETF-FE | No | Yes | Yes |
| Estimation approach | OLS | OLS | IV-SLS |
| Tests: | |||
| Underidentification (p-value) | 0.000 | ||
| Weak identification (p-value) | 0.000 | ||
| Overidentification (p-value) | 0.013 | ||
| Total deaths | 1st stage results. 0.515*** (0.006) | ||
| Total affected | 0.334*** (0.003) |
| y = | y = | ||
|---|---|---|---|
| -0.725 (1.261) | |||
| -0.014 (0.012) | -0.013 (0.012) | 0.009 (0.021) | |
| 0.051 (0.087) | 0.039 (0.084) | 0.017 (0.088) | |
| -0.038 (0.032) | -0.089 (0.058) | -0.087 (0.058) | |
| 0.001 (0.001) | |||
| 0.001 (0.010) | 0.001 (0.010) | 0.000 (0.010) | |
| No. observations | 12.478 | 12.478 | 12.478 |
| Company-FE | Yes | NO | NO |
| Domicile* Month FE | Yes | Yes | Yes |
| ETF-FE | No | Yes | Yes |
| Estimation approach | OLS | OLS | IV-SLS |
| Tests: | |||
| Underidentification (p-value) | 0.000 | ||
| Weak identification (p-value) | 0.000 | ||
| Overidentification (p-value) | 0.013 | ||
| Total deaths | 1 | ||
| Total affected | 0.334*** (0.003) |
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