Table 7 Bayesian linear regression model...

Table 7

Bayesian linear regression model comparison of overreaction and underreaction to ESG News

Model comparison - I engage in investments that are SR
Models	P(M)	P(M\|data)	BF_M	BF₁₀	R²
recentevents + activeduringextremeweatherevents	0.033	0.339	14.903	1.000	0.362
recentevents + negativereactiontonegativeESGnews + activeduringextremeweatherevents	0.050	0.155	3.481	0.304	0.368
quickreactiontomktinfo + recentevents + negativereactiontonegativeESGnews + activeduringextremeweatherevents	0.200	0.143	0.666	0.070	0.368
Activeduringextremeweatherevents	0.050	0.111	2.365	0.217	0.315
quickreactiontomktinfo + recentevents + activeduringextremeweatherevents	0.050	0.101	2.128	0.198	0.362
recentevents + negativereactiontonegativeESGnews	0.033	0.050	1.515	0.146	0.335
negativereactiontonegativeESGnews + activeduringextremeweatherevents	0.033	0.030	0.905	0.089	0.328
quickreactiontomktinfo + activeduringextremeweatherevents	0.033	0.025	0.752	0.074	0.325
quickreactiontomktinfo + negativereactiontonegativeESGnews	0.050	0.017	0.330	0.033	0.336

Model comparison - I engage in investments that are SR
Models	P(M)	P(M\|data)	BF_M	BF₁₀	R²
recentevents + activeduringextremeweatherevents	0.033	0.339	14.903	1.000	0.362
recentevents + negativereactiontonegativeESGnews + activeduringextremeweatherevents	0.050	0.155	3.481	0.304	0.368
quickreactiontomktinfo + recentevents + negativereactiontonegativeESGnews + activeduringextremeweatherevents	0.200	0.143	0.666	0.070	0.368
Activeduringextremeweatherevents	0.050	0.111	2.365	0.217	0.315
quickreactiontomktinfo + recentevents + activeduringextremeweatherevents	0.050	0.101	2.128	0.198	0.362
recentevents + negativereactiontonegativeESGnews	0.033	0.050	1.515	0.146	0.335
negativereactiontonegativeESGnews + activeduringextremeweatherevents	0.033	0.030	0.905	0.089	0.328
quickreactiontomktinfo + activeduringextremeweatherevents	0.033	0.025	0.752	0.074	0.325
quickreactiontomktinfo + negativereactiontonegativeESGnews	0.050	0.017	0.330	0.033	0.336

Note(s): BFM (Bayesian Factor Model) quantifies the evidence favoring one model over another. P(M) is the probability of a specific model. P(M|data) is the probability of the model given the observed data. BF10 is the Bayes Factor supporting the alternative hypothesis over the null hypothesis. R² represents the coefficient of determination, indicating the proportion of variance in the dependent variable explained by the independent variables

recentevents: Impact of recent events in the stock market on investment decisions

activeduringextremeweatherevents: Level of activity on sustainability issues during

extreme weather events or climate changes negativereactiontonegativeESGnews: Reacting negatively to negative Environmental, Social, and Governance (ESG) related news about a specific company

quickreactiontomktinfo: Quick reaction to new information in the market

Source(s): Table by authors

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