Moderation effects of BoGD and ESG
| Variable | CCR | |||
|---|---|---|---|---|
| (1) | (2) | (3) | (4) | |
| TR | 0.1601*** (3.11) | 0.2041** (2.11) | ||
| TR × BoGD | −0.0824** (−2.31) | −0.0085** (−1.99) | ||
| TR × ESG | 0.1046*** (3.21) | 0.1083** (2.15) | ||
| IR | 0.0986*** (3.15) | 0.1021*** (3.14) | ||
| IR × BoGD | −0.054** (−2.17) | −0.0621*** (−2.94) | ||
| IR × ESG | 0.0971*** (3.1) | 0.0921** (2.56) | ||
| M𝛽 | 0.1015*** (3.3) | 0.1005** (2.43) | ||
| M𝛽 × BoGD | −0.0551** (−2.25) | −0.0603*** (−2.11) | ||
| M𝛽 × ESG | 0.1023*** (3.17) | 0.0951*** (2.85) | ||
| BoGD | −0.0996** (−2.22) | −0.0936** (−2.27) | −0.1019** (−2.25) | −0.103** (−2.33) |
| ESG | 0.1007*** (3.13) | 0.0951*** (3.35) | 0.0935*** (3.12) | 0.1051*** (3.39) |
| BoGD × ESG | −0.1757** (−2.52) | −0.1623** (−2.02) | −0.1081* (−1.72) | −0.1631** (−2.01) |
| Size | −0.1841*** (−3.3) | −0.1615*** (−3.1) | −0.1204*** (−3.22) | −0.1523** (−2.31) |
| R&D | −0.0505* (−1.89) | −0.0511* (−1.73) | −0.0481* (−1.17) | −0.0541** (−1.95) |
| LEV | −0.0282 (−1.15) | −0.0241 (−1.17) | −0.0211 (−1.22) | 0.0307 (−1.25) |
| MTB | −0.1099* (−1.71) | −0.1031* (−1.67) | −0.1092* (−1.75) | −0.1052** (−2.09) |
| PPE | 0.0642** (2.45) | 0.0581** (2.31) | 0.0551** (2.33) | 0.0617** (2.29) |
| Sargan test statistic (Chi-square, p-value) | 40.221 (p = 0.0055) | 38.154 (p = 0.0053) | 39.027 (p = 0.0056) | 40.031 (p = 0.0053) |
| AR(2) (z, p-value) | −0.4515 (p = 0.3404) | −0.4042 (p = 0.4321) | −0.4394 (p = 0.4273) | −0.421 (p = 0.3331) |
| Wald test for coefficients | 13.212 (p < 0.01) | 13.152 (p < 0.01) | 12.851 (p < 0.01) | 13.115 (p < 0.01) |
| Wald test for time dummies | 15.852 (p < 0.01) | 14.788 (p < 0.01) | 14.021 (p < 0.01) | 15.101 (p < 0.01) |
| Wald test for industry dummies | 16.941 (p < 0.01) | 16.563 (p < 0.01) | 16.097 (p < 0.01) | 16.109 (p < 0.01) |
| Hansen test (Chi-square, p-value) | 0.5511 (p = 0.2315) | 0.5013 (p = 0.2124) | 0.4871 (p = 0.2016) | 0.5021 (p = 0.2007) |
| F test (fisher, p-value) | 310.2075 (p < 0.01) | 301.1714 (p < 0.01) | 296.5386 (p < 0.01) | 303.5122 (p < 0.01) |
| Number of instruments | 112 | |||
| Year | Yes | |||
| Firm | Yes | |||
| Observations | 10,874 | |||
| Countries | 34 | |||
| Variable | ||||
|---|---|---|---|---|
| (1) | (2) | (3) | (4) | |
| 0.1601 | 0.2041 | |||
| −0.0824 | −0.0085 | |||
| 0.1046 | 0.1083 | |||
| 0.0986 | 0.1021 | |||
| −0.054 | −0.0621 | |||
| 0.0971 | 0.0921 | |||
| 0.1015 | 0.1005 | |||
| −0.0551 | −0.0603 | |||
| 0.1023 | 0.0951 | |||
| −0.0996 | −0.0936 | −0.1019 | −0.103 | |
| 0.1007 | 0.0951 | 0.0935 | 0.1051 | |
| −0.1757 | −0.1623 | −0.1081* (−1.72) | −0.1631 | |
| −0.1841 | −0.1615 | −0.1204 | −0.1523 | |
| −0.0505 | −0.0511 | −0.0481 | −0.0541 | |
| −0.0282 (−1.15) | −0.0241 (−1.17) | −0.0211 (−1.22) | 0.0307 (−1.25) | |
| −0.1099 | −0.1031 | −0.1092 | −0.1052 | |
| 0.0642 | 0.0581 | 0.0551 | 0.0617 | |
| 40.221 ( | 38.154 ( | 39.027 ( | 40.031 ( | |
| −0.4515 ( | −0.4042 ( | −0.4394 ( | −0.421 ( | |
| 13.212 ( | 13.152 ( | 12.851 ( | 13.115 ( | |
| 15.852 ( | 14.788 ( | 14.021 ( | 15.101 ( | |
| 16.941 ( | 16.563 ( | 16.097 ( | 16.109 ( | |
| 0.5511 ( | 0.5013 ( | 0.4871 ( | 0.5021 ( | |
| 310.2075 ( | 301.1714 ( | 296.5386 ( | 303.5122 ( | |
| 112 | ||||
| Yes | ||||
| Yes | ||||
| 10,874 | ||||
| 34 | ||||
Note(s):t-Values 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%)
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