Table 6 The effect of ESG on the...

Table 6

The effect of ESG on the relationship between earnings management and earnings coefficient response

	FEM		GMM		OLS
Variable	Coeff.	t-value	Coeff.	t-value	Coeff.	t-value
CAR7_{lag 1}	−0.133*	−1.77	0.025	0.21	−0.008	−0.10
ES	0.194***	3.70	0.235***	4.56	0.129***	2.67
ABSEM	−0.004	−0.58	−0.009	−1.57	0	−0.12
Dummy_EM	0.012	1.28	0.016*	1.72	0.01	1.42
ESG	−0.016	−0.30	0.105	1.22	0.048**	2.00
sqESEMESG	0.013***	4.50	0.016***	4.18	0.007**	2.20
Size	−0.053	−1.22	−0.079*	−1.94	−0.007**	−2.06
ROA	−0.192*	−1.99	−0.385***	−3.22	−0.033	−0.62
WC	−0.153***	−3.24	−0.186**	−2.42	−0.023	−1.11
Growth2	0.049***	3.06	0.038**	1.99	−0.002	−0.43
sqrtCR	0.046*	1.87	0.05	1.60	0.003	0.26
Y2020	−0.005	−0.44	−0.004	−0.45	−0.021*	−1.95
Y2021	0.011	0.79	0.01	0.78	−0.024**	−2.06
Y2022	0.007	0.40	−0.002	−0.09	−0.031***	−2.97
Constant	1.802	1.30	2.563*	1.96	0.285**	2.53
Sargan test (p-value)			4.625 (0.463)
AR(1) test (p-value)			−1.764 (0.077)
AR(2) test (p-value)			−1.449 (0.147)
F-statistic (p-value)	12.64 (0.000)				2.19 (0.011)
R-squared	0.3854				0.236

	FEM		GMM		OLS
Variable	Coeff.	t-value	Coeff.	t-value	Coeff.	t-value
CAR7_{lag 1}	−0.133*	−1.77	0.025	0.21	−0.008	−0.10
ES	0.194***	3.70	0.235***	4.56	0.129***	2.67
ABSEM	−0.004	−0.58	−0.009	−1.57	0	−0.12
Dummy_EM	0.012	1.28	0.016*	1.72	0.01	1.42
ESG	−0.016	−0.30	0.105	1.22	0.048**	2.00
sqESEMESG	0.013***	4.50	0.016***	4.18	0.007**	2.20
Size	−0.053	−1.22	−0.079*	−1.94	−0.007**	−2.06
ROA	−0.192*	−1.99	−0.385***	−3.22	−0.033	−0.62
WC	−0.153***	−3.24	−0.186**	−2.42	−0.023	−1.11
Growth2	0.049***	3.06	0.038**	1.99	−0.002	−0.43
sqrtCR	0.046*	1.87	0.05	1.60	0.003	0.26
Y2020	−0.005	−0.44	−0.004	−0.45	−0.021*	−1.95
Y2021	0.011	0.79	0.01	0.78	−0.024**	−2.06
Y2022	0.007	0.40	−0.002	−0.09	−0.031***	−2.97
Constant	1.802	1.30	2.563*	1.96	0.285**	2.53
Sargan test (p-value)			4.625 (0.463)
AR(1) test (p-value)			−1.764 (0.077)
AR(2) test (p-value)			−1.449 (0.147)
F-statistic (p-value)	12.64 (0.000)				2.19 (0.011)
R-squared	0.3854				0.236

Note(s): ***p < 0.01; **p < 0.05; *p < 0.10. This table presents the results of testing the moderating role of ESG on the effect of management on the market reaction around earnings announcements (Earnings Coefficient Response). This effect can be seen from the interaction between unexpected earnings, earnings management and ESG (sqES*EM*ESG) on CAR. T-statistics are based on robust standard errors

Source(s): Authors’ own work

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