Table 2. Baseline models: negative media...

Table 2.

Baseline models: negative media coverage of ESG and ETRs

Dependent variable	Predicted sign	Avg3_GAAP_ETR	Avg3_GAAP_ETR	Avg3_GAAP_ETR	Avg3_cash_ETR	Avg3_cash_ETR	Avg3_cash_ETR
Const		−0.809 (1.462)	−0.681 (1.462)	−0.685 (1.462)	−0.857 (1.709)	−0.671 (1.707)	−0.706 (1.711)
NegM_peak_FY	+	0.013*** (0.005)			0.022*** (0.006)
NegM_peak_Q4	+		0.013*** (0.004)			0.022*** (0.005)
NegM_peak_Q4Q1	+			0.014*** (0.004)			0.019*** (0.005)
Size		0.011*** (0.004)	0.011** (0.004)	0.011*** (0.004)	0.009** (0.004)	0.007* (0.004)	0.009** (0.004)
Leverage		0.071** (0.030)	0.071** (0.030)	0.070** (0.030)	−0.008 (0.035)	−0.008 (0.035)	−0.009 (0.035)
Profitability		0.026 (0.042)	0.025 (0.041)	0.027 (0.041)	−0.034 (0.050)	−0.035 (0.050)	−0.034*** (0.050)
PPE		−0.063*** (0.018)	−0.063*** (0.018)	−0.062*** (0.018)	−0.072*** (0.020)	−0.072*** (0.020)	−0.072*** (0.020)
Intangibles		0.009 (0.015)	0.010 (0.015)	0.010 (0.015)	0.061*** (0.017)	0.063*** (0.017)	0.063*** (0.017)
RD		−0.202* (0.129)	−0.201 (0.123)	−0.201 (0.123)	0.056 (0.141)	0.058 (0.140)	0.061 (0.141)
Cash		0.036 (0.036)	0.035 (0.036)	0.033 (0.036)	0.013 (0.043)	0.011 (0.043)	0.010 (0.043)
MTBV		0.001 (0.001)	0.001 (0.001)	0.001 (0.001)	0.001 (0.001)	0.001 (0.001)	0.001 (0.001)
GDP		0.083 (0.142)	0.071 (0.142)	0.071 (0.142)	0.105 (0.166)	0.089 (0.166)	0.091 (0.166)
Jud_ind		−0.032*** (0.009)	−0.032*** (0.009)	−0.032*** (0.009)	−0.032*** (0.011)	−0.033*** (0.011)	−0.033*** (0.011)
Shar_gov		−0.003 (0.005)	−0.002 (0.005)	−0.003 (0.005)	−0.006 (0.007)	−0.005 (0.007)	−0.006 (0.007)
BTC		−0.019 (0.050)	−0.017 (0.050)	−0.018 (0.050)	−0.074 (0.056)	−0.071 (0.056)	−0.073 (0.056)
CTSR		0.751*** (0.286)	0.748*** (0.286)	0.767*** (0.286)	0.335 (0.347)	0.335 (0.347)	0.353 (0.348)
Industry FE		Yes	Yes	Yes	Yes	Yes	Yes
Country FE		Yes	Yes	Yes	Yes	Yes	Yes
Year FE		Yes	Yes	Yes	Yes	Yes	Yes
N		2,309	2,309	2,309	2,142	2,142	2,142
R² (overall)		0.12	0.12	0.12	0.13	0.14	0.13
Wald Chi²		167.90***	170.30***	170.16***	160.68***	166.36***	159.61***
Max VIF		2.46	2.46	2.46	2.46	2.46	2.46

Dependent variable	Predicted sign	Avg3_GAAP_ETR	Avg3_GAAP_ETR	Avg3_GAAP_ETR	Avg3_cash_ETR	Avg3_cash_ETR	Avg3_cash_ETR
Const		−0.809 (1.462)	−0.681 (1.462)	−0.685 (1.462)	−0.857 (1.709)	−0.671 (1.707)	−0.706 (1.711)
NegM_peak_FY	+	0.013*** (0.005)			0.022*** (0.006)
NegM_peak_Q4	+		0.013*** (0.004)			0.022*** (0.005)
NegM_peak_Q4Q1	+			0.014*** (0.004)			0.019*** (0.005)
Size		0.011*** (0.004)	0.011** (0.004)	0.011*** (0.004)	0.009** (0.004)	0.007* (0.004)	0.009** (0.004)
Leverage		0.071** (0.030)	0.071** (0.030)	0.070** (0.030)	−0.008 (0.035)	−0.008 (0.035)	−0.009 (0.035)
Profitability		0.026 (0.042)	0.025 (0.041)	0.027 (0.041)	−0.034 (0.050)	−0.035 (0.050)	−0.034*** (0.050)
PPE		−0.063*** (0.018)	−0.063*** (0.018)	−0.062*** (0.018)	−0.072*** (0.020)	−0.072*** (0.020)	−0.072*** (0.020)
Intangibles		0.009 (0.015)	0.010 (0.015)	0.010 (0.015)	0.061*** (0.017)	0.063*** (0.017)	0.063*** (0.017)
RD		−0.202* (0.129)	−0.201 (0.123)	−0.201 (0.123)	0.056 (0.141)	0.058 (0.140)	0.061 (0.141)
Cash		0.036 (0.036)	0.035 (0.036)	0.033 (0.036)	0.013 (0.043)	0.011 (0.043)	0.010 (0.043)
MTBV		0.001 (0.001)	0.001 (0.001)	0.001 (0.001)	0.001 (0.001)	0.001 (0.001)	0.001 (0.001)
GDP		0.083 (0.142)	0.071 (0.142)	0.071 (0.142)	0.105 (0.166)	0.089 (0.166)	0.091 (0.166)
Jud_ind		−0.032*** (0.009)	−0.032*** (0.009)	−0.032*** (0.009)	−0.032*** (0.011)	−0.033*** (0.011)	−0.033*** (0.011)
Shar_gov		−0.003 (0.005)	−0.002 (0.005)	−0.003 (0.005)	−0.006 (0.007)	−0.005 (0.007)	−0.006 (0.007)
BTC		−0.019 (0.050)	−0.017 (0.050)	−0.018 (0.050)	−0.074 (0.056)	−0.071 (0.056)	−0.073 (0.056)
CTSR		0.751*** (0.286)	0.748*** (0.286)	0.767*** (0.286)	0.335 (0.347)	0.335 (0.347)	0.353 (0.348)
Industry FE		Yes	Yes	Yes	Yes	Yes	Yes
Country FE		Yes	Yes	Yes	Yes	Yes	Yes
Year FE		Yes	Yes	Yes	Yes	Yes	Yes
N		2,309	2,309	2,309	2,142	2,142	2,142
R² (overall)		0.12	0.12	0.12	0.13	0.14	0.13
Wald Chi²		167.90***	170.30***	170.16***	160.68***	166.36***	159.61***
Max VIF		2.46	2.46	2.46	2.46	2.46	2.46

Notes:

Standard errors in parentheses. Size, Leverage, Profitability, PPE, Intangibles, RD, Cash and MTBV are winsorised at the 1st and 99th percentiles; ***, ** and * indicate significance levels at 1, 5 and 10%, respectively. Coefficients in bold refer to hypothesis testing

Source: Authors own creation

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