Firms with high and low quality of code of ethics
| N | r_AVG | r_GLS | r_CT | r_OJ | r_ET | ||
|---|---|---|---|---|---|---|---|
| Panel A: Means | |||||||
| ETHICS in the upper quartile | (1) | 548 | 9.40% | 7.48% | 9.84% | 7.57% | 11.96% |
| ETHICS in the lower quartile | (2) | 861 | 9.84% | 8.07% | 10.59% | 8.46% | 12.99% |
| Difference | (1)–(2) | −0.44%** | −0.59%*** | −0.75%*** | −0.89%* | −1.03%** | |
| t-Statistic | −1.64 | −3.38 | 1.75 | −1.39 | −1.76 | ||
| One sided p-value | (0.05) | (<0.01) | (<0.01) | (0.08) | (0.04) | ||
| Panel B: Medians | |||||||
| ETHICS in the upper quartile | (1) | 548 | 8.08% | 7.02% | 10.82% | 1.00% | 8.78% |
| ETHICS in the lower quartile | (2) | 861 | 8.61% | 7.76% | 11.16% | 2.08% | 9.74% |
| Difference | (1)–(2) | −0.53%*** | −0.74%** | −0.34%** | −1.08%*** | −0.96%*** | |
| Z-Statistic | −2.27 | −4.46 | 1.33 | −2.38 | −4.46 | ||
| One sided p-value | (0.01) | (0.04) | (0.05) | (0.01) | (<0.01) | ||
| (1) | 548 | 9.40% | 7.48% | 9.84% | 7.57% | 11.96% | |
| (2) | 861 | 9.84% | 8.07% | 10.59% | 8.46% | 12.99% | |
| Difference | (1)–(2) | −0.44%** | −0.59%*** | −0.75%*** | −0.89%* | −1.03%** | |
| −1.64 | −3.38 | 1.75 | −1.39 | −1.76 | |||
| One sided | (0.05) | (<0.01) | (<0.01) | (0.08) | (0.04) | ||
| (1) | 548 | 8.08% | 7.02% | 10.82% | 1.00% | 8.78% | |
| (2) | 861 | 8.61% | 7.76% | 11.16% | 2.08% | 9.74% | |
| Difference | (1)–(2) | −0.53%*** | −0.74%** | −0.34%** | −1.08%*** | −0.96%*** | |
| −2.27 | −4.46 | 1.33 | −2.38 | −4.46 | |||
| One sided | (0.01) | (0.04) | (0.05) | (0.01) | (<0.01) | ||
Note(s): This table presents mean (panel A) and median (panel B) comparison tests for four individual and average cost of capital estimates across subsamples of upper and lower quartiles of ETHICS. The total sample includes 548 firm-year observations in the upper quartile subsample and 861 firm-year observations in the lower quartile subsample for the period between 2004 and 2012. ***, **, and * indicate statistical significance at the 0.01, 0.05, and 0.10 level, respectively. A more detailed description of the variables is in Appendix A