Table 4 Robustness test (1) (2) (3) (4)...

Table 4

Robustness test

	(1)	(2)	(3)	(4)
Variable	${L i q u i d i t y}_{t}$
Panel A – Using alternative model specification A
${E s g D i s 1}_{t}$	0.141***		0.144***
${E s g D i s 1}_{t}$	(3.088)		(3.147)
${E s g D i s 2}_{t}$		0.169***		0.173***
${E s g D i s 2}_{t}$		(3.861)		(3.934)
Constant	−11.002***	−10.982***	−10.898***	−10.877***
Constant	(−45.525)	(−45.455)	(−44.058)	(−43.986)
${Controls}_{t - 1}$ Included	Yes	Yes	Yes	Yes
Year FE	Yes	Yes	Yes	Yes
Industry FE	Yes	Yes	Yes	Yes
Province FE	No	No	Yes	Yes
Obs	25,594	25,594	25,594	25,594
R-squared	0.723	0.723	0.728	0.729
Panel B – Using alternative model specification B
${E s g D i s 1}_{t - 1}$	0.214***		0.219***
${E s g D i s 1}_{t - 1}$	(4.701)		(4.823)
${E s g D i s 2}_{t - 1}$		0.242***		0.247***
${E s g D i s 2}_{t - 1}$		(5.553)		(5.690)
Constant	−10.989***	−10.954***	−10.885***	−10.850***
Constant	(−45.465)	(−45.333)	(−44.005)	(−43.880)
${Controls}_{t - 1}$ Included	Yes	Yes	Yes	Yes
Year FE	Yes	Yes	Yes	Yes
Industry FE	Yes	Yes	Yes	Yes
Province FE	No	No	Yes	Yes
Obs	25,594	25,594	25,594	25,594
R-squared	0.723	0.724	0.729	0.729
Panel C – Controlling for firm fixed effect
${E s g D i s 1}_{t}$	0.193***		0.195***
${E s g D i s 1}_{t}$	(4.334)		(4.394)
${E s g D i s 2}_{t}$		0.207***		0.209***
${E s g D i s 2}_{t}$		(4.840)		(4.897)
Constant	−11.173***	−11.149***	−11.115***	−11.092***
Constant	(−26.630)	(−26.581)	(−25.801)	(−25.744)
${Controls}_{t}$ Included	Yes	Yes	Yes	Yes
Year FE	Yes	Yes	Yes	Yes
Industry FE	Yes	Yes	Yes	Yes
Province FE	No	No	Yes	Yes
Firm FE	Yes	Yes	Yes	Yes
Obs	29,578	29,578	29,578	29,578
R-squared	0.657	0.657	0.584	0.585

	(1)	(2)	(3)	(4)
Variable	${L i q u i d i t y}_{t}$
Panel A – Using alternative model specification A
${E s g D i s 1}_{t}$	0.141***		0.144***
${E s g D i s 1}_{t}$	(3.088)		(3.147)
${E s g D i s 2}_{t}$		0.169***		0.173***
${E s g D i s 2}_{t}$		(3.861)		(3.934)
Constant	−11.002***	−10.982***	−10.898***	−10.877***
Constant	(−45.525)	(−45.455)	(−44.058)	(−43.986)
${Controls}_{t - 1}$ Included	Yes	Yes	Yes	Yes
Year FE	Yes	Yes	Yes	Yes
Industry FE	Yes	Yes	Yes	Yes
Province FE	No	No	Yes	Yes
Obs	25,594	25,594	25,594	25,594
R-squared	0.723	0.723	0.728	0.729
Panel B – Using alternative model specification B
${E s g D i s 1}_{t - 1}$	0.214***		0.219***
${E s g D i s 1}_{t - 1}$	(4.701)		(4.823)
${E s g D i s 2}_{t - 1}$		0.242***		0.247***
${E s g D i s 2}_{t - 1}$		(5.553)		(5.690)
Constant	−10.989***	−10.954***	−10.885***	−10.850***
Constant	(−45.465)	(−45.333)	(−44.005)	(−43.880)
${Controls}_{t - 1}$ Included	Yes	Yes	Yes	Yes
Year FE	Yes	Yes	Yes	Yes
Industry FE	Yes	Yes	Yes	Yes
Province FE	No	No	Yes	Yes
Obs	25,594	25,594	25,594	25,594
R-squared	0.723	0.724	0.729	0.729
Panel C – Controlling for firm fixed effect
${E s g D i s 1}_{t}$	0.193***		0.195***
${E s g D i s 1}_{t}$	(4.334)		(4.394)
${E s g D i s 2}_{t}$		0.207***		0.209***
${E s g D i s 2}_{t}$		(4.840)		(4.897)
Constant	−11.173***	−11.149***	−11.115***	−11.092***
Constant	(−26.630)	(−26.581)	(−25.801)	(−25.744)
${Controls}_{t}$ Included	Yes	Yes	Yes	Yes
Year FE	Yes	Yes	Yes	Yes
Industry FE	Yes	Yes	Yes	Yes
Province FE	No	No	Yes	Yes
Firm FE	Yes	Yes	Yes	Yes
Obs	29,578	29,578	29,578	29,578
R-squared	0.657	0.657	0.584	0.585

Panel D – Controlling for stock turnover
Model	(1)	(2)	(3)	(4)
Model	OLS	OLS	OLS	OLS
Variable	${L i q u i d i t y_1}_{t + 1}$	$L i q u i d i t y {_2}_{t + 1}$	$L i q u i d i t y {_1}_{t + 1}$	$L i q u i d i t y {_2}_{t + 1}$
${E s g D i s 1}_{t}$	0.228***		0.231***
${E s g D i s 1}_{t}$	(5.618)		(5.681)
${E s g D i s 2}_{t}$		0.255***		0.258***
${E s g D i s 2}_{t}$		(6.562)		(6.633)
${T u r n o v e r}_{t}$	0.002***	0.002***	0.002***	0.002***
${T u r n o v e r}_{t}$	(27.833)	(27.841)	(27.745)	(27.752)
Constant	−11.752***	−11.714***	−11.687***	−11.649***
Constant	(−62.509)	(−62.329)	(−61.046)	(−60.881)
${Controls}_{t}$ Included	Yes	Yes	Yes	Yes
Year FE	Yes	Yes	Yes	Yes
Industry FE	Yes	Yes	Yes	Yes
Province FE	No	No	Yes	Yes
Obs	29,578	29,578	29,578	29,578
R-squared	0.755	0.756	0.759	0.760

Panel D – Controlling for stock turnover
${E s g D i s 1}_{t}$	0.228***		0.231***
(5.618)		(5.681)
${E s g D i s 2}_{t}$		0.255***		0.258***
	(6.562)		(6.633)
${T u r n o v e r}_{t}$	0.002***	0.002***	0.002***	0.002***
(27.833)	(27.841)	(27.745)	(27.752)
Constant	−11.752***	−11.714***	−11.687***	−11.649***
(−62.509)	(−62.329)	(−61.046)	(−60.881)
${Controls}_{t}$ Included	Yes	Yes	Yes	Yes
Year FE	Yes	Yes	Yes	Yes
Industry FE	Yes	Yes	Yes	Yes
Province FE	No	No	Yes	Yes
Obs	29,578	29,578	29,578	29,578
R-squared	0.755	0.756	0.759	0.760

Note(s): All continuous variables are winsorized at the 1st and 99th percentile. T values are reported in parentheses under coefficients. *, **, and *** indicate significance at the 10%, 5%, and 1% levels, respectively. Variable definitions are presented in Appendix A

[ViewLarge]