GMM estimation results for mediation steps for ESG, (LC), (BRT)
| Mediation steps | Step 1 (ESG → BRT) | Step 2 (ESG → LC) | Step 3 (LC → BRT) | Step 4 (ESG → BRT, controlling for LC) |
|---|---|---|---|---|
| SPC | Eq. (1) | Eq. (2) | Eq. (3) | Eq. (4) |
| BRT it-1 | 0.472* (0.091) | N/A | 0.363* (0.052) | 0.508*** (0.004) |
| ESG it-1 | −0.022** (0.032) | 0.060*** (0.003) | N/A | −0.015* (0.082) |
| LC it-1 | N/A | 0.422* (0.072) | −0.113** (0.039) | −0.136** (0.021) |
| SIZE | −0.482** (0.013) | 0.538*** (0.005) | −0.323 (0.151) | −0.469* (0.060) |
| CAP | −0.100 (0.135) | 0.139 (0.143) | 0.150** (0.019) | −0.110** (0.025) |
| GDP | −0.025 (0.885) | 0.088* (0.077) | 0.028 (0.563) | −0.030 (0.385) |
| INF | 0.016 (0.483) | 0.055 (0.252) | 0.039 (0.508) | 0.010 (0.650) |
| BC | −0.018** (0.026) | 0.032 (0.122) | −0.025 (0.218) | −0.005 (0.772) |
| BNK | 1.274* (0.068) | 2.813** (0.018) | 0.802 (0.142) | 0.597* (0.052) |
| DCOVID | 0.105 (0.842) | 0.470 (0.433) | −0.206 (0.403) | −0.473 (0.308) |
| AR(1) p-value | 0.045 | 0.013 | 0.016 | 0.014 |
| AR(2) p-value | 0.602 | 0.271 | 0.537 | 0.511 |
| Hansen Test (p-value) | 0.294 | 0.809 | 0.694 | 0.608 |
| Sargan Test (p-value) | 0.248 | 0.720 | 0.618 | 0.459 |
| Wald Test (p-value) | 0.000 | 0.000 | 0.000 | 0.000 |
| N | 62 | 62 | 62 | 62 |
| Mediation steps | Step 1 (ESG → BRT) | Step 2 (ESG → LC) | Step 3 (LC → BRT) | Step 4 (ESG → BRT, controlling for LC) |
|---|---|---|---|---|
| SPC | ||||
| BRT | 0.472* (0.091) | N/A | 0.363* (0.052) | 0.508*** (0.004) |
| ESG | −0.022** (0.032) | 0.060*** (0.003) | N/A | −0.015* (0.082) |
| LC | N/A | 0.422* (0.072) | −0.113** (0.039) | −0.136** (0.021) |
| SIZE | −0.482** (0.013) | 0.538*** (0.005) | −0.323 (0.151) | −0.469* (0.060) |
| CAP | −0.100 (0.135) | 0.139 (0.143) | 0.150** (0.019) | −0.110** (0.025) |
| GDP | −0.025 (0.885) | 0.088* (0.077) | 0.028 (0.563) | −0.030 (0.385) |
| INF | 0.016 (0.483) | 0.055 (0.252) | 0.039 (0.508) | 0.010 (0.650) |
| BC | −0.018** (0.026) | 0.032 (0.122) | −0.025 (0.218) | −0.005 (0.772) |
| BNK | 1.274* (0.068) | 2.813** (0.018) | 0.802 (0.142) | 0.597* (0.052) |
| DCOVID | 0.105 (0.842) | 0.470 (0.433) | −0.206 (0.403) | −0.473 (0.308) |
| AR(1) | 0.045 | 0.013 | 0.016 | 0.014 |
| AR(2) | 0.602 | 0.271 | 0.537 | 0.511 |
| Hansen Test ( | 0.294 | 0.809 | 0.694 | 0.608 |
| Sargan Test ( | 0.248 | 0.720 | 0.618 | 0.459 |
| Wald Test ( | 0.000 | 0.000 | 0.000 | 0.000 |
| N | 62 | 62 | 62 | 62 |
Note(s): Dependent variable varies by equation (BRT in Steps 1, 3, 4; LC in Step 2). Standard errors robust to heteroskedasticity. *, **, and *** denote significance at 10%, 5%, and 1% levels respectively
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