Robustness of variables’ measurement
| Variable | Panel (A) | Panel (B) | Panel (C) | |||||
|---|---|---|---|---|---|---|---|---|
| CPRI | CCR | CCR | ||||||
| Model (1) | Model (2) | Physical | Regulatory | Transitional | ||||
| RISK1 | 0.1196*** (3.07) | 0.1097*** (3.41) | ||||||
| RISK2 | 0.1181*** (3.25) | 0.1101*** (3.27) | ||||||
| BoGD (Blau index) | −0.1129** (−2.42) | −0.1031*** (−3.05) | −0.1037*** (−2.99) | −0.0956** (−2.15) | ||||
| BoGD (≥ 3 female directors) | −0.1303*** (−3.51) | |||||||
| ESG | 0.1073** (2.08) | 0.1014* (1.65) | 0.1117** (2.45) | 0.1009* (1.73) | ||||
| RISK1 × BoGD (Blau index) | −0.0839** (−2.27) | −0.0863** (−2.36) | ||||||
| RISK2 × BoGD (Blau index) | −0.0974** (−2.03) | −0.1059** (−2.53) | ||||||
| RISK1 × ESG | 0.1131* (1.81) | 0.1121* (1.68) | ||||||
| RISK2 × ESG | 0.1119** (1.95) | 0.1191** (2.04) | ||||||
| BoGD (Blau index) × ESG | −0.0913** (−2.19) | −0.0941** (−2.42) | ||||||
| BoGD(≥ 3 female directors) × ESG | −0.1141*** (3.31) | |||||||
| BoGD | −0.1444** (−1.95) | −0.1277** (−2.24) | −0.1181** (−2.23) | |||||
| ESG | 0.1021* (1.83) | 0.105** (2.14) | 0.0982** (2.2) | |||||
| BoGD × ESG | −0.1065** (−2.11) | −0.1033** (−2.09) | −0.1101** (−2.39) | |||||
| Size | −0.1121*** (3.14) | −0.1183*** (3.21) | −0.1019*** (3.33) | −0.1127*** (3.15) | −0.1143*** (−3.07) | −0.1107*** (3.12) | −0.1112*** (3.35) | −0.1131*** (3.26) |
| R&D | −0.0339** (−1.98) | −0.0267* (−1.7) | −0.0197** (−2.19) | −0.0231** (−2.22) | −0.0265* (−1.88) | −0.0219* (−1.65) | −0.0202* (−1.91) | −0.0197* (−1.77) |
| LEV | −0.0187 (−1.44) | −0.0162* (−1.69) | −0.0151 (−1.51) | −0.0149 (−1.33) | 0.0197* (−1.71) | −0.0205 (−1.44) | −0.021 (−1.56) | −0.0189 (−1.35) |
| MTB | −0.1119* (−1.82) | −0.1057* (−1.8) | −0.1035* (−1.73) | −0.1156* (−1.82) | −0.1055* (−1.65) | −0.1074** (−2.17) | −0.1129* (−1.75) | −0.11** (−2.22) |
| PPE | 0.0811** (2.09) | 0.065** (2.21) | 0.0612** (2.35) | 0.0651** (2.42) | 0.0655** (2.39) | 0.0589** (2.41) | 0.0627** (2.49) | 0.0585** (2.55) |
| Sargan test statistic (Chi-square, p-value) | 37.223 (p = 0.0059) | 34.712 (p = 0.0053) | 33.089 (p = 0.0057) | 35.172 (p = 0.0055) | 31.505 (p = 0.0052) | 34.057 (p = 0.0051) | 30.835 (p = 0.005) | 30.791 (p = 0.0053) |
| AR(2) (z, p-value) | −0.5282 (p = 0.3329) | −0.4796 (p = 0.3221) | −0.5034 (p = 0.3411) | −0.5212 (p = 0.3193) | −0.5156 (p = 0.3257) | −0.6222 (p = 0.3215) | −0.6094 (p = 0.3303) | −0.5851 (p = 0.3417) |
| Wald test for coefficients | 17.331 (p < 0.01) | 16.511 (p < 0.01) | 18.217 (p < 0.01) | 17.619 (p < 0.01) | 16.258 (p < 0.01) | 17.225 (p < 0.01) | 16.302 (p < 0.01) | 17.115 (p < 0.01) |
| Wald test for time dummies | 19.21 (p < 0.01) | 18.092 (p < 0.01) | 19.582 (p < 0.01) | 19.007 (p < 0.01) | 18.101 (p < 0.01) | 19.024 (p < 0.01) | 17.505 (p < 0.01) | 18.645 (p < 0.01) |
| Wald test for industry dummies | 21.049 (p < 0.01) | 20.122 (p < 0.01) | 21.034 (p < 0.01) | 20.211 (p < 0.01) | 19.631 (p < 0.01) | 20.115 (p < 0.01) | 19.429 (p < 0.01) | 19.28 (p < 0.01) |
| Hansen test (Chi-square, p-value) | 0.6539 (p = 0.3021) | 0.6055 (p = 0.2758) | 0.6312 (p = 0.3007) | 0.6505 (p = 0.2922) | 0.5938 (p = 0.2865) | 0.6006 (p = 0.3114) | 0.5771 (p = 0.3053) | 0.5622 (p = 0.3125) |
| F test (fisher, p-value) | 330.4011 (p < 0.01) | 303.2095 (p < 0.01) | 311.3173 (p < 0.01) | 309.3313 (p < 0.01) | 307.455 (p < 0.01) | 301.4255 (p < 0.01) | 306.2025 (p < 0.01) | 313.5054 (p < 0.01) |
| Number of instruments | 112 | 113 | 110 | 112 | ||||
| Yes | ||||||||
| Year | Yes | |||||||
| Firm | Yes | |||||||
| Observations | 10,874 | 10,874 | 10,874 | 4,026 | 3,606 | 3,242 | ||
| Countries | 34 | |||||||
| Variable | Panel (A) | Panel (B) | Panel (C) | |||||
|---|---|---|---|---|---|---|---|---|
| Model (1) | Model (2) | Physical | Regulatory | Transitional | ||||
| 0.1196 | 0.1097 | |||||||
| 0.1181 | 0.1101 | |||||||
| −0.1129** (−2.42) | −0.1031 | −0.1037 | −0.0956 | |||||
| −0.1303 | ||||||||
| 0.1073 | 0.1014 | 0.1117 | 0.1009 | |||||
| −0.0839 | −0.0863 | |||||||
| −0.0974 | −0.1059 | |||||||
| 0.1131 | 0.1121 | |||||||
| 0.1119 | 0.1191 | |||||||
| −0.0913 | −0.0941 | |||||||
| −0.1141 | ||||||||
| −0.1444 | −0.1277 | −0.1181 | ||||||
| 0.1021 | 0.105 | 0.0982 | ||||||
| −0.1065 | −0.1033 | −0.1101 | ||||||
| −0.1121 | −0.1183 | −0.1019 | −0.1127 | −0.1143 | −0.1107 | −0.1112 | −0.1131 | |
| −0.0339 | −0.0267 | −0.0197 | −0.0231 | −0.0265 | −0.0219 | −0.0202 | −0.0197 | |
| −0.0187 (−1.44) | −0.0162 | −0.0151 (−1.51) | −0.0149 (−1.33) | 0.0197 | −0.0205 (−1.44) | −0.021 (−1.56) | −0.0189 (−1.35) | |
| −0.1119 | −0.1057 | −0.1035 | −0.1156 | −0.1055 | −0.1074 | −0.1129 | −0.11 | |
| 0.0811 | 0.065 | 0.0612 | 0.0651 | 0.0655 | 0.0589 | 0.0627 | 0.0585 | |
| 37.223 ( | 34.712 ( | 33.089 ( | 35.172 ( | 31.505 ( | 34.057 ( | 30.835 ( | 30.791 ( | |
| −0.5282 ( | −0.4796 ( | −0.5034 ( | −0.5212 ( | −0.5156 ( | −0.6222 ( | −0.6094 ( | −0.5851 ( | |
| 17.331 ( | 16.511 ( | 18.217 ( | 17.619 ( | 16.258 ( | 17.225 ( | 16.302 ( | 17.115 ( | |
| 19.21 ( | 18.092 ( | 19.582 ( | 19.007 ( | 18.101 ( | 19.024 ( | 17.505 ( | 18.645 ( | |
| 21.049 ( | 20.122 ( | 21.034 ( | 20.211 ( | 19.631 ( | 20.115 ( | 19.429 ( | 19.28 ( | |
| 0.6539 ( | 0.6055 ( | 0.6312 ( | 0.6505 ( | 0.5938 ( | 0.6006 ( | 0.5771 ( | 0.5622 ( | |
| 330.4011 ( | 303.2095 ( | 311.3173 ( | 309.3313 ( | 307.455 ( | 301.4255 ( | 306.2025 ( | 313.5054 ( | |
| 112 | 113 | 110 | 112 | |||||
| Yes | ||||||||
| Yes | ||||||||
| Yes | ||||||||
| 10,874 | 10,874 | 10,874 | 4,026 | 3,606 | 3,242 | |||
| 34 | ||||||||
Note(s):Models (1) and (2) are as developed in Subsection 3.1. CPRI is the Climate Physical Risk Index developed by Guo et al. (2024). Blau index of diversity where Si is the percentage of board members in each category (two: male/female) and n is the total number of board members. BoGD (≥3 female directors) is a binary that takes 1 if the critical mass of at least three women seating on the board is reached, and 0 otherwise. Physical, regulatory and transitional are dimensions of CCR. 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%)
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