Table A1 BDS test results Dimension...

Table A1

BDS test results

Dimension	Positive ESG news sentiment								Negative ESG news sentiment
Dimension	2				6				2				6
Embedding dimension	0.5σ	1σ	1.5σ	2σ	0.5σ	1σ	1.5σ	2σ	0.5σ	1σ	1.5σ	2σ	0.5σ	1σ	1.5σ	2σ
AGL	8.228*	9.347*	10.302*	10.560*	15.872*	16.255*	17.209*	17.321*	2.393*	3.819*	5.659*	7.068*	2.661*	5.000*	6.775*	8.899*
AMS	4.722*	5.507*	6.153*	6.116*	11.312*	10.076*	10.226*	10.936*	4.328*	5.327*	6.241*	6.052*	3.466*	5.946*	7.947*	9.544*
ANG	3.715*	4.729*	5.763*	6.2871*	4.857*	6.7072*	8.523*	9.641*	4.821*	5.058*	5.019*	4.619*	2.448*	6.565*	7.087*	7.159*
EXX	4.634*	4.770*	4.987*	4.945*	5.216*	6.463*	7.271*	7.471*	2.295*	2.004*	2.311*	3.097*	2.329*	3.407*	3.887*	4.617*
GFI	5.402*	6.353*	7.553*	8.168*	7.330*	9.114*	10.781*	11.798*	2.642*	3.691*	4.537*	4.906*	4.399*	6.256*	7.253*	7.923*
GLN	7.794*	9.206*	9.590*	8.378	13.148*	15.746*	17.388*	16.720*	3.239*	3.552*	2.959*	2.087*	4.553*	5.456*	6.441*	6.859*
HAR	4.662*	5.630*	6.823	7.906*	6.617*	7.842*	9.215*	10.562*	3.652*	4.188*	4.689*	4.169*	4.566*	5.531*	6.237*	6.320*
IMP	4.430*	5.386*	6.433*	7.155*	7.430*	8.320*	9.608*	10.964*	3.816*	3.941*	5.304*	5.460*	5.495*	5.909*	8.075*	9.032*
JSE	3.091*	3.873*	4.163*	3.912*	4.227*	6.030*	6.748*	7.154*	4.251*	4.209*	3.452*	1.201*	6.445*	7.213*	6.145*	4.162*
MUR	10.174*	10.247*	10.562*	10.757*	21.016*	14.85*	12.199*	11.271*	6.499*	7.190*	7.179*	6.824*	13.820*	11.178*	9.243*	7.988*
NED	6.486*	8.381*	11.036*	12.937*	12.007*	13.245*	15.080*	16.817*	4.442*	4.994*	5.537*	5.767*	9.7044*	9.509*	9.272*	9.051*
NHM	4.475*	5.562*	6.981*	8.168*	8.185*	7.922*	8.996*	10.608*	4.665*	4.968*	5.433*	5.360*	6.885*	6.286*	7.665*	8.052*
RBP	6.933*	7.494*	8.608*	9.230*	12.253*	11.509*	11.759*	11.949*	5.805*	6.913*	7.769*	7.565*	8.262*	8.992*	10.098*	11.368*
REM	7.438*	8.759*	9.658*	10.631*	12.807*	7.438*	8.759*	9.658*	3.547*	3.991*	4.780*	4.614*	5.648*	6.487*	8.497*	9.362*
SAP	8.492*	8.824*	9.725*	10.726*	14.565*	14.144*	13.568*	13.538*	4.291*	5.060*	4.935*	4.707*	6.491*	6.839*	7.222*	7.582*
SBK	6.140*	6.751*	7.769	9.166*	9.156*	10.029*	11.239*	13.454*	4.181*	4.384*	4.595*	4.584*	7.714*	8.034*	8.995*	8.829*
SHP	2.498*	3.169*	3.830*	4.478*	6.012*	6.721*	6.637*	6.2178*	1.361*	1.491*	1.717*	2.312*	3.476*	3.782*	3.119*	2.860*
SSW	3.709*	4.425*	4.952*	5.269*	8.943*	8.660*	8.765*	9.294*	4.397*	5.315*	6.193*	6.031*	8.241*	8.776*	9.969*	11.163*
TBS	4.033*	5.302*	6.952*	8.327*	6.485*	7.503*	8.093*	9.113*	2.071*	3.177*	4.971*	6.340*	2.700*	3.192*	5.227*	7.555*
WBO	6.071*	7.314*	8.887*	8.910*	11.631*	9.997*	10.355*	9.955*	2.710*	3.821*	5.041*	5.120*	2.368*	4.634*	5.385*	5.864*

Dimension	Positive ESG news sentiment								Negative ESG news sentiment
Dimension	2				6				2				6
Embedding dimension	0.5σ	1σ	1.5σ	2σ	0.5σ	1σ	1.5σ	2σ	0.5σ	1σ	1.5σ	2σ	0.5σ	1σ	1.5σ	2σ
AGL	8.228*	9.347*	10.302*	10.560*	15.872*	16.255*	17.209*	17.321*	2.393*	3.819*	5.659*	7.068*	2.661*	5.000*	6.775*	8.899*
AMS	4.722*	5.507*	6.153*	6.116*	11.312*	10.076*	10.226*	10.936*	4.328*	5.327*	6.241*	6.052*	3.466*	5.946*	7.947*	9.544*
ANG	3.715*	4.729*	5.763*	6.2871*	4.857*	6.7072*	8.523*	9.641*	4.821*	5.058*	5.019*	4.619*	2.448*	6.565*	7.087*	7.159*
EXX	4.634*	4.770*	4.987*	4.945*	5.216*	6.463*	7.271*	7.471*	2.295*	2.004*	2.311*	3.097*	2.329*	3.407*	3.887*	4.617*
GFI	5.402*	6.353*	7.553*	8.168*	7.330*	9.114*	10.781*	11.798*	2.642*	3.691*	4.537*	4.906*	4.399*	6.256*	7.253*	7.923*
GLN	7.794*	9.206*	9.590*	8.378	13.148*	15.746*	17.388*	16.720*	3.239*	3.552*	2.959*	2.087*	4.553*	5.456*	6.441*	6.859*
HAR	4.662*	5.630*	6.823	7.906*	6.617*	7.842*	9.215*	10.562*	3.652*	4.188*	4.689*	4.169*	4.566*	5.531*	6.237*	6.320*
IMP	4.430*	5.386*	6.433*	7.155*	7.430*	8.320*	9.608*	10.964*	3.816*	3.941*	5.304*	5.460*	5.495*	5.909*	8.075*	9.032*
JSE	3.091*	3.873*	4.163*	3.912*	4.227*	6.030*	6.748*	7.154*	4.251*	4.209*	3.452*	1.201*	6.445*	7.213*	6.145*	4.162*
MUR	10.174*	10.247*	10.562*	10.757*	21.016*	14.85*	12.199*	11.271*	6.499*	7.190*	7.179*	6.824*	13.820*	11.178*	9.243*	7.988*
NED	6.486*	8.381*	11.036*	12.937*	12.007*	13.245*	15.080*	16.817*	4.442*	4.994*	5.537*	5.767*	9.7044*	9.509*	9.272*	9.051*
NHM	4.475*	5.562*	6.981*	8.168*	8.185*	7.922*	8.996*	10.608*	4.665*	4.968*	5.433*	5.360*	6.885*	6.286*	7.665*	8.052*
RBP	6.933*	7.494*	8.608*	9.230*	12.253*	11.509*	11.759*	11.949*	5.805*	6.913*	7.769*	7.565*	8.262*	8.992*	10.098*	11.368*
REM	7.438*	8.759*	9.658*	10.631*	12.807*	7.438*	8.759*	9.658*	3.547*	3.991*	4.780*	4.614*	5.648*	6.487*	8.497*	9.362*
SAP	8.492*	8.824*	9.725*	10.726*	14.565*	14.144*	13.568*	13.538*	4.291*	5.060*	4.935*	4.707*	6.491*	6.839*	7.222*	7.582*
SBK	6.140*	6.751*	7.769	9.166*	9.156*	10.029*	11.239*	13.454*	4.181*	4.384*	4.595*	4.584*	7.714*	8.034*	8.995*	8.829*
SHP	2.498*	3.169*	3.830*	4.478*	6.012*	6.721*	6.637*	6.2178*	1.361*	1.491*	1.717*	2.312*	3.476*	3.782*	3.119*	2.860*
SSW	3.709*	4.425*	4.952*	5.269*	8.943*	8.660*	8.765*	9.294*	4.397*	5.315*	6.193*	6.031*	8.241*	8.776*	9.969*	11.163*
TBS	4.033*	5.302*	6.952*	8.327*	6.485*	7.503*	8.093*	9.113*	2.071*	3.177*	4.971*	6.340*	2.700*	3.192*	5.227*	7.555*
WBO	6.071*	7.314*	8.887*	8.910*	11.631*	9.997*	10.355*	9.955*	2.710*	3.821*	5.041*	5.120*	2.368*	4.634*	5.385*	5.864*

Note(s): The first row reports the dimension while the second row documents the embedding dimension by values of the standard deviation of the sample. * indicates significance at 1%

Source(s): Authors’ estimations

[ViewLarge]

Sharing Unavailable