Climate Change Awareness: the time evolution of ETFs reaction to disasters.All Sample POST-Parisagreement (2016–2018).
| y = TR_Vol (1) | y = TR_Vol (2) | y = TR_Vol (3) | |
|---|---|---|---|
| SUST | -1.996*** (0.615) | ||
| DAM -1 | 0.028*** (0.007) | 0.030*** (0.006) | 0.024* (0.013) |
| SUST_DAM-i | 0.143*** (0.042) | 0.142*** (0.039) | 0.148*** (0.039) |
| Size t-i | -0.031 (0.029) | -0.283*** (0.073) | -0.288*** (0.074) |
| Age t-1 | -0.000 (0.001) | ||
| Div yeldt-1 | -0.020*** (0.009) | 0.000 (0.011) | 0.000 (0.011) |
| No. observations | 21.741 | 21.741 | 21.741 |
| 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) | 0.000 | ||
| Total deaths | 1st stage results. 0.313*** (0.011) | ||
| Total affected | 0.255*** (0.009) |
| -1.996*** (0.615) | |||
| 0.028*** (0.007) | 0.030*** (0.006) | 0.024* (0.013) | |
| 0.143*** (0.042) | 0.142*** (0.039) | 0.148*** (0.039) | |
| -0.031 (0.029) | -0.283*** (0.073) | -0.288*** (0.074) | |
| -0.000 (0.001) | |||
| -0.020*** (0.009) | 0.000 (0.011) | 0.000 (0.011) | |
| No. observations | 21.741 | 21.741 | 21.741 |
| 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) | 0.000 | ||
| Total deaths | 1st stage results. 0.313*** (0.011) | ||
| Total affected | 0.255*** (0.009) |
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