Robustness of industry variation: Propensity score-matched results
| Variable | CCR | |||||||
|---|---|---|---|---|---|---|---|---|
| Highly exposed to CCR | Slightly exposed to CCR | |||||||
| (1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) | |
| TR | 0.2783*** (3.21) | 0.1009*** (2.97) | 0.1102*** (3.14) | 0.1192*** (3.31) | ||||
| IR | 0.2105*** (3.33) | 0.1015*** (3.23) | 0.1056*** (3.17) | 0.0995*** (3.2) | ||||
| Mβ | 0.1942*** (3.27) | 0.0981*** (2.95) | 0.1073*** (3.31) | 0.0941*** (3.15) | ||||
| BoGD | −0.1022** (−2.89) | −0.0928*** (−3.06) | ||||||
| ESG | 0.1005*** (3.11) | 0.1391*** (3.25) | ||||||
| Size | −0.1331*** (−3.34) | −0.1501*** (−3.31) | ||||||
| R&D | −0.0707** (−2.43) | −0.0807*** (−2.96) | ||||||
| LEV | −0.0656 (−1.19) | −0.0615* (−1.7) | ||||||
| MTB | −0.1029* (−1.69) | −0.1101** (−2.28) | ||||||
| PPE | 0.0751*** (3.17) | 0.0719*** (3.21) | ||||||
| Sargan test statistic (chi-square, p-value) | 50.392 (p = 0.0053) | 42.719 (p = 0.0051) | 42.452 (p = 0.0061) | 44.355 (p = 0.006) | 45.054 (p = 0.0055) | 43.512 (p = 0.0052) | 44.679 (p = 0.0054) | 45.102 (p = 0.0061) |
| AR(2) (z, p-value) | −0.729 (p = 0.3228) | −0.591 (p = 0.3209) | −0.605 (p = 0.3192) | −0.794 (p = 0.3271) | −0.459 (p = 0.3301) | −0.519 (p = 0.3257) | −0.613 (p = 0.3151) | −0.677 (p = 0.3205) |
| Wald test for coefficients | 15.492 (p < 0.01) | 13.092 (p < 0.01) | 13.206 (p < 0.01) | 15.037 (p < 0.01) | 13.119 (p < 0.01) | 13.41 (p < 0.01) | 13.305 (p < 0.01) | 15.322 (p < 0.01) |
| Wald test for time dummies | 21.216 (p < 0.01) | 20.529 (p < 0.01) | 21.045 (p < 0.01) | 21.109 (p < 0.01) | 20.592 (p < 0.01) | 19.899 (p < 0.01) | 20.212 (p < 0.01) | 21.315 (p < 0.01) |
| Wald test for industry dummies | 23.052 (p < 0.01) | 22.15 (p < 0.01) | 23.112 (p < 0.01) | 23.105 (p < 0.01) | 22.505 (p < 0.01) | 20.231 (p < 0.01) | 22.13 (p < 0.01) | 23.061 (p < 0.01) |
| Hansen test (Chi-square, p-value) | 0.5909 (p = 0.3152) | 0.5917 (p = 0.3064) | 0.5775 (p = 0.3025) | 0.622 (p = 0.3112) | 0.5872 (p = 0.3051) | 0.5591 (p = 0.313) | 0.5873 (p = 0.3041) | 0.6143 (p = 0.3031) |
| F test (fisher, p-value) | 386.2912 (p < 0.01) | 359.7295 (p < 0.01) | 362.9057 (p < 0.01) | 381.039 (p < 0.01) | 371.3033 (p < 0.01) | 360.2521 (p < 0.01) | 361.0271 (p < 0.01) | 378.552 (p < 0.01) |
| Number of instruments | 112 | |||||||
| Year | Yes | |||||||
| Firm | Yes | |||||||
| Observations | 4,226 | 3,642 | ||||||
| Countries | 34 | |||||||
| Variable | ||||||||
|---|---|---|---|---|---|---|---|---|
| Highly exposed to | Slightly exposed to | |||||||
| (1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) | |
| 0.2783 | 0.1009 | 0.1102 | 0.1192 | |||||
| 0.2105 | 0.1015 | 0.1056 | 0.0995 | |||||
| 0.1942 | 0.0981 | 0.1073 | 0.0941 | |||||
| −0.1022 | −0.0928 | |||||||
| 0.1005 | 0.1391 | |||||||
| −0.1331 | −0.1501 | |||||||
| −0.0707 | −0.0807 | |||||||
| −0.0656 (−1.19) | −0.0615 | |||||||
| −0.1029 | −0.1101 | |||||||
| 0.0751 | 0.0719 | |||||||
| 50.392 ( | 42.719 ( | 42.452 ( | 44.355 ( | 45.054 ( | 43.512 ( | 44.679 ( | 45.102 ( | |
| −0.729 ( | −0.591 ( | −0.605 ( | −0.794 ( | −0.459 ( | −0.519 ( | −0.613 ( | −0.677 ( | |
| 15.492 ( | 13.092 ( | 13.206 ( | 15.037 ( | 13.119 ( | 13.41 ( | 13.305 ( | 15.322 ( | |
| 21.216 ( | 20.529 ( | 21.045 ( | 21.109 ( | 20.592 ( | 19.899 ( | 20.212 ( | 21.315 ( | |
| 23.052 ( | 22.15 ( | 23.112 ( | 23.105 ( | 22.505 ( | 20.231 ( | 22.13 (p < 0.01) | 23.061 ( | |
| 0.5909 ( | 0.5917 ( | 0.5775 ( | 0.622 ( | 0.5872 ( | 0.5591 ( | 0.5873 ( | 0.6143 ( | |
| 386.2912 ( | 359.7295 ( | 362.9057 ( | 381.039 ( | 371.3033 ( | 360.2521 ( | 361.0271 ( | 378.552 ( | |
| 112 | ||||||||
| Yes | ||||||||
| Yes | ||||||||
| 4,226 | 3,642 | |||||||
| 34 | ||||||||
Note(s):Highly (slightly) exposed to CCR are industries with CCR measures above (below) the sample mean. CPRI is the Climate Physical Risk Index developed by Guo et al. (2024). BoGD is proxied by the Blau index. 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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