Table 7 Robustness test result Model 1...

Table 7

Robustness test result

	Model 1		Model 2
Variable	Coeff.	t-value	Coeff.	t-value
CAR11_{lag 1}	0.034	0.62	0.03	0.51
ES	0.352***	3.20	0.382***	3.72
ABSEM	−0.009	−0.64	−0.01	−0.76
Dummy_EM	0.013	0.77	0.01	0.62
sqES*EM	1.498***	3.14
ESG		−0.13	0.008	0.05
sqESEMESG		−2.02	0.034***	3.33
Size	−0.009	−1.00	−0.008	−0.11
ROA	−0.509**	−0.28	−0.52**	−2.13
WC	−0.112	0.64	−0.106	−0.99
Growth2	−0.009	−0.10	−0.012	−0.41
sqrtCR	0.038	−0.65	0.032	0.50
Y2020	−0.002	−1.51	−0.005	−0.26
Y2021	−0.013	0.22	−0.016	−0.65
Y2022	−0.042	0.62	−0.046	−1.34
Constant	0.514	3.20	0.482	0.19
Sargan test (p-value)	6.343 (0.274)		6.233 (0.284)
AR(1) test (p-value)	−2.281 (0.023)		−2.168 (0.030)
AR(2) test (p-value)	−1.009 (0.313)		−1.111 (0.266)

	Model 1		Model 2
Variable	Coeff.	t-value	Coeff.	t-value
CAR11_{lag 1}	0.034	0.62	0.03	0.51
ES	0.352***	3.20	0.382***	3.72
ABSEM	−0.009	−0.64	−0.01	−0.76
Dummy_EM	0.013	0.77	0.01	0.62
sqES*EM	1.498***	3.14
ESG		−0.13	0.008	0.05
sqESEMESG		−2.02	0.034***	3.33
Size	−0.009	−1.00	−0.008	−0.11
ROA	−0.509**	−0.28	−0.52**	−2.13
WC	−0.112	0.64	−0.106	−0.99
Growth2	−0.009	−0.10	−0.012	−0.41
sqrtCR	0.038	−0.65	0.032	0.50
Y2020	−0.002	−1.51	−0.005	−0.26
Y2021	−0.013	0.22	−0.016	−0.65
Y2022	−0.042	0.62	−0.046	−1.34
Constant	0.514	3.20	0.482	0.19
Sargan test (p-value)	6.343 (0.274)		6.233 (0.284)
AR(1) test (p-value)	−2.281 (0.023)		−2.168 (0.030)
AR(2) test (p-value)	−1.009 (0.313)		−1.111 (0.266)

Note(s): ***p < 0.01; **p < 0.05; *p < 0.10. CAR11 is cumulative abnormal return within five day before announcement date until five day after announcement date (t−5, t+0, t−5)

Source(s): Authors’ own work

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