Table 7 Endogeneity analysis First stage...

Table 7

Endogeneity analysis

	First stage	Second stage
	(1)	(2)	(3)
	ESG_uncertainty_i,t	NCSKEW_i,t	DUVOL_i,t
Panel A:ESG Divergence and Stock Price Crash Risk (H1)
IV_i,t	0.003^***
IV_i,t	(3.210)
ESG_uncertainty_i,t−1		0.017^**	0.010^**
ESG_uncertainty_i,t−1		(2.507)	(2.420)
NCSKEW_i,t−1		0.047^***
NCSKEW_i,t−1		(6.301)
DUVOL_i,t−1			0.048^***
DUVOL_i,t−1			(6.394)
Size_i,t−1	0.003^**	0.001	−0.003
Size_i,t−1	(2.330)	(0.267)	(−0.701)
BM_i,t−1	0.002^***	−0.021^***	−0.012^***
BM_i,t−1	(3.024)	(−4.231)	(−3.440)
Lev_i,t−1	−0.021^***	−0.012	−0.012
Lev_i,t−1	(−3.370)	(−0.410)	(−0.521)
Big4_i,t−1	0.012^***	−0.010	−0.004
Big4_i,t−1	(3.284)	(−0.569)	(−0.307)
ROA_i,t−1	0.070^***	0.011	0.017
ROA_i,t−1	(4.677)	(0.161)	(0.330)
DA_i,t−1	−0.017	−0.026	0.008
DA_i,t−1	(−1.271)	(−0.430)	(0.180)
Ret_i,t−1	0.166	9.971^***	6.794^***
Ret_i,t−1	(1.014)	(13.388)	(12.176)
Sigma_i,t−1	−0.198^***	−0.721	−0.878^***
Sigma_i,t−1	(−2.680)	(−1.941)	(−3.263)
SOE_i,t−1	0.007^***	−0.072^***	−0.044^***
SOE_i,t−1	(3.411)	(−6.850)	(−5.808)
Intercept	0.108^***	−0.137	0.020
Intercept	(4.197)	(−1.121)	(0.224)
Year fixed effects	Yes	Yes	Yes
Industry fixed effects	Yes	Yes	Yes
N	20,662	13,134	13,134
Adj R²	0.033	0.217	0.214
F-value	22.660	22.064	23.497
Panel B: Independent directors as moderators of ESG divergence (H2)
IV_i,t	0.003^***
IV_i,t	(3.157)
ESG_uncertainty_i,t−1		−5.218^**	−2.928^***
ESG_uncertainty_i,t−1		(−2.170)	(−2.717)
ATTT_i,t−1	−0.005	0.390^**	0.010^**
ATTT_i,t−1	(−0.170)	(2.091)	(2.034)
ATTT_i,t−1 $\times$ ESG_uncertainty_i,t		−1.559^**	−0.609^**
ATTT_i,t−1 $\times$ ESG_uncertainty_i,t		(−2.419)	(−2.421)
Size_i,t−1	0.003^***	−0.055^*	−0.025^**
Size_i,t−1	(2.691)	(−1.764)	(−2.069)
BM_i,t−1	0.002^***	−0.049^**	−0.021^**
BM_i,t−1	(2.934)	(−2.410)	(−2.530)
Lev_i,t−1	−0.022^***	0.143	0.052
Lev_i,t−1	(−3.389)	(1.049)	(0.979)
Big4_i,t−1	0.009^**	−0.026	−0.009
Big4_i,t−1	(2.490)	(−0.414)	(−0.354)
ROA_i,t−1	0.072^***	−1.258^*	−0.417
ROA_i,t−1	(4.807)	(−1.773)	(−1.481)
DA_i,t−1	−0.017	0.433	0.167
DA_i,t−1	(−1.255)	(1.259)	(1.239)
Ret_i,t−1	0.169	4.576	4.381^***
Ret_i,t−1	(1.030)	(1.255)	(3.002)
Sigma_i,t−1	−0.190^**	−0.039	−0.439
Sigma_i,t−1	(−2.571)	(−0.036)	(−0.790)
SOE_i,t−1	0.007^***	−0.144^**	−0.065^***
SOE_i,t−1	(3.120)	(−2.510)	(−2.849)
Intercept	0.097^***	−0.680	0.006
Intercept	(2.633)	(−0.731)	(0.024)
Year fixed effects	Yes	Yes	Yes
Industry fixed effects	Yes	Yes	Yes
N	20,398	16,131	16,131
Adj R²	0.034	0.057	0.059
F-value	15.524	5.625	6.531

	First stage	Second stage
	(1)	(2)	(3)
	ESG_uncertainty_i,t	NCSKEW_i,t	DUVOL_i,t
Panel A:ESG Divergence and Stock Price Crash Risk (H1)
IV_i,t	0.003^***
IV_i,t	(3.210)
ESG_uncertainty_i,t−1		0.017^**	0.010^**
ESG_uncertainty_i,t−1		(2.507)	(2.420)
NCSKEW_i,t−1		0.047^***
NCSKEW_i,t−1		(6.301)
DUVOL_i,t−1			0.048^***
DUVOL_i,t−1			(6.394)
Size_i,t−1	0.003^**	0.001	−0.003
Size_i,t−1	(2.330)	(0.267)	(−0.701)
BM_i,t−1	0.002^***	−0.021^***	−0.012^***
BM_i,t−1	(3.024)	(−4.231)	(−3.440)
Lev_i,t−1	−0.021^***	−0.012	−0.012
Lev_i,t−1	(−3.370)	(−0.410)	(−0.521)
Big4_i,t−1	0.012^***	−0.010	−0.004
Big4_i,t−1	(3.284)	(−0.569)	(−0.307)
ROA_i,t−1	0.070^***	0.011	0.017
ROA_i,t−1	(4.677)	(0.161)	(0.330)
DA_i,t−1	−0.017	−0.026	0.008
DA_i,t−1	(−1.271)	(−0.430)	(0.180)
Ret_i,t−1	0.166	9.971^***	6.794^***
Ret_i,t−1	(1.014)	(13.388)	(12.176)
Sigma_i,t−1	−0.198^***	−0.721	−0.878^***
Sigma_i,t−1	(−2.680)	(−1.941)	(−3.263)
SOE_i,t−1	0.007^***	−0.072^***	−0.044^***
SOE_i,t−1	(3.411)	(−6.850)	(−5.808)
Intercept	0.108^***	−0.137	0.020
Intercept	(4.197)	(−1.121)	(0.224)
Year fixed effects	Yes	Yes	Yes
Industry fixed effects	Yes	Yes	Yes
N	20,662	13,134	13,134
Adj R²	0.033	0.217	0.214
F-value	22.660	22.064	23.497
Panel B: Independent directors as moderators of ESG divergence (H2)
IV_i,t	0.003^***
IV_i,t	(3.157)
ESG_uncertainty_i,t−1		−5.218^**	−2.928^***
ESG_uncertainty_i,t−1		(−2.170)	(−2.717)
ATTT_i,t−1	−0.005	0.390^**	0.010^**
ATTT_i,t−1	(−0.170)	(2.091)	(2.034)
ATTT_i,t−1 $\times$ ESG_uncertainty_i,t		−1.559^**	−0.609^**
ATTT_i,t−1 $\times$ ESG_uncertainty_i,t		(−2.419)	(−2.421)
Size_i,t−1	0.003^***	−0.055^*	−0.025^**
Size_i,t−1	(2.691)	(−1.764)	(−2.069)
BM_i,t−1	0.002^***	−0.049^**	−0.021^**
BM_i,t−1	(2.934)	(−2.410)	(−2.530)
Lev_i,t−1	−0.022^***	0.143	0.052
Lev_i,t−1	(−3.389)	(1.049)	(0.979)
Big4_i,t−1	0.009^**	−0.026	−0.009
Big4_i,t−1	(2.490)	(−0.414)	(−0.354)
ROA_i,t−1	0.072^***	−1.258^*	−0.417
ROA_i,t−1	(4.807)	(−1.773)	(−1.481)
DA_i,t−1	−0.017	0.433	0.167
DA_i,t−1	(−1.255)	(1.259)	(1.239)
Ret_i,t−1	0.169	4.576	4.381^***
Ret_i,t−1	(1.030)	(1.255)	(3.002)
Sigma_i,t−1	−0.190^**	−0.039	−0.439
Sigma_i,t−1	(−2.571)	(−0.036)	(−0.790)
SOE_i,t−1	0.007^***	−0.144^**	−0.065^***
SOE_i,t−1	(3.120)	(−2.510)	(−2.849)
Intercept	0.097^***	−0.680	0.006
Intercept	(2.633)	(−0.731)	(0.024)
Year fixed effects	Yes	Yes	Yes
Industry fixed effects	Yes	Yes	Yes
N	20,398	16,131	16,131
Adj R²	0.034	0.057	0.059
F-value	15.524	5.625	6.531

Note(s): Table 8 presents the results of the instrumental variable (IV) regression model, where the concern level of the company, measured by the number of research reports tracking the company in a given year, is used as the instrumental variable. The first column shows the results of the first stage regression, where the dependent variable is ESG_uncertainty for firm i at time t. In the second and third columns, the second stage regressions are reported, with the dependent variables NCSKEW and DUVOL, both measured at time t, while the independent variables are lagged by one period (i.e., i, t−1)

Source(s): Table by authors

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