Direct effect of CCR on CRT
| Variable | CCR | ||||
|---|---|---|---|---|---|
| (1) | (2) | (3) | (4) | (5) | |
| TR | 0.2153*** (3.14) | 0.2004*** (3.05) | 0.1651*** (3.12) | ||
| IR | 0.0866*** (3.26) | 0.0808*** (2.99) | 0.1031*** (3.1) | ||
| Mβ | 0.0774*** (3.1) | 0.0851*** (3.13) | 0.0883*** (3.21) | ||
| BoGD | −0.1128*** (−3.05) | −0.1107** (−2.88) | |||
| ESG | 0.1103*** (3.25) | 0.1113*** (3.47) | |||
| Size | −0.2228*** (−3.22) | ||||
| R&D | −0.0591** (−2.27) | ||||
| LEV | −0.0539 (−1.19) | ||||
| MTB | −0.0979* (−1.51) | ||||
| PPE | 0.0655*** (3.33) | ||||
| Sargan test statistic (Chi-square, p-value) | 41.404 (p = 0.0059) | 40.535 (p = 0.0056) | 38.218 (p = 0.0061) | 41.007 (p = 0.0059) | 40.112 (p = 0.0055) |
| AR(2) (z, p-value) | −0.3442 (p = 0.0289) | −0.3115 (p = 0.0301) | −0.3371 (p = 0.0329) | −0.365 (p = 0.0294) | −0.3593 (p = 0.0182) |
| Wald test for coefficients | 12.154 (p < 0.01) | 12.091 (p < 0.01) | 12.116 (p < 0.01) | 12.242 (p < 0.01) | 13.094 (p < 0.01) |
| Wald test for time dummies | 16.513 (p < 0.01) | 16.352 (p < 0.01) | 17.022 (p < 0.01) | 16.124 (p < 0.01) | 17.213 (p < 0.01) |
| Wald test for industry dummies | 18.213 (p < 0.01) | 18.175 (p < 0.01) | 19.118 (p < 0.01) | 18.401 (p < 0.01) | 19.14 (p < 0.01) |
| Hansen test (Chi-square, p-value) | 0.5311 (p = 0.2215) | 0.5145 (p = 0.2301) | 0.5329 (p = 0.2345) | 0.5511 (p = 0.2287) | 0.5371 (p = 0.231) |
| F test (Fisher, p-value) | 280.2122 (p < 0.01) | 268.4014 (p < 0.01) | 270.114 (p < 0.01) | 272.2022 (p < 0.01) | 281.5051 (p < 0.01) |
| Number of instruments | 112 | ||||
| Year | Yes | ||||
| Firm | Yes | ||||
| Observations | 10,874 | ||||
| Countries | 34 | ||||
| Variable | |||||
|---|---|---|---|---|---|
| (1) | (2) | (3) | (4) | (5) | |
| 0.2153 | 0.2004 | 0.1651 | |||
| 0.0866 | 0.0808 | 0.1031 | |||
| 0.0774 | 0.0851 | 0.0883 | |||
| −0.1128 | −0.1107 | ||||
| 0.1103 | 0.1113 | ||||
| −0.2228 | |||||
| −0.0591 | |||||
| −0.0539 (−1.19) | |||||
| −0.0979 | |||||
| 0.0655 | |||||
| 41.404 ( | 40.535 ( | 38.218 ( | 41.007 ( | 40.112 ( | |
| −0.3442 ( | −0.3115 ( | −0.3371 ( | −0.365 ( | −0.3593 ( | |
| 12.154 ( | 12.091 ( | 12.116 ( | 12.242 ( | 13.094 ( | |
| 16.513 ( | 16.352 ( | 17.022 ( | 16.124 ( | 17.213 ( | |
| 18.213 ( | 18.175 ( | 19.118 ( | 18.401 ( | 19.14 ( | |
| 0.5311 ( | 0.5145 ( | 0.5329 ( | 0.5511 ( | 0.5371 ( | |
| 280.2122 ( | 268.4014 ( | 270.114 ( | 272.2022 ( | 281.5051 ( | |
| 112 | |||||
| Yes | |||||
| Yes | |||||
| 10,874 | |||||
| 34 | |||||
Note(s):t-Values are in parenthesis. Sargan is a test of overidentification. AR(2) is the Blundell–Bond test for second-order autocorrelation. Hansen is a test of over-identifying restrictions under the null hypothesis that all instruments are correlated with the disturbance process. F is the test of the joint significance of all coefficients. Variables’ definitions figure in the Appendix. Significance levels are represented by ∗∗∗ (1%), ∗∗ (5%) and ∗ (10%)
Sharing content requires targeting cookies to be enabled. Please update your cookie preferences to use this feature.