Table 7 Endogeneity test: Instrumental variables.

From: Green investors and ESG ratings divergence

Panel A The cube of the difference between the main variables

Variables

(1)

(2)

(3)

(4)

(5)

(6)

The first stage

The exogeneity test

The second stage

GI

lnGI

ESGdif

ESGdif

ESGdif

ESGdif

IV1

2.169***

 

− 0.021

   

(64.59)

 

(− 0.84)

   

GI

    

− 0.036***

 
    

(− 3.08)

 

IV2

 

0.132***

 

− 0.046

  
 

(25.41)

 

(− 1.10)

  

lnGI

     

− 0.108***

     

(− 7.31)

Size

0.077***

0.198***

0.163***

0.233***

− 0.082***

− 0.056***

(9.63)

(13.12)

(22.25)

(18.57)

(− 4.60)

(− 3.10)

Age

− 0.050***

− 0.026

0.113***

0.129***

0.361***

0.345***

(− 3.95)

(− 1.02)

(12.01)

(8.56)

(12.73)

(12.17)

ROA

0.269***

0.815***

− 0.584***

− 1.302***

− 0.281***

− 0.209**

(7.26)

(11.65)

(− 6.45)

(− 8.91)

(− 2.89)

(− 2.14)

Lev

− 0.068

− 0.172**

0.019

0.168

0.358***

0.341***

(− 1.64)

(− 2.37)

(0.25)

(1.32)

(3.87)

(3.68)

Growth

− 0.005

− 0.006

− 0.001

0.004

0.005

0.005

(− 1.52)

(− 0.93)

(− 0.10)

(0.31)

(0.79)

(0.76)

CashFlow

0.003

0.166***

0.297***

0.428***

0.167**

0.190***

(0.09)

(2.60)

(3.94)

(3.65)

(2.28)

(2.59)

BM

− 0.057***

− 0.133***

− 0.067***

− 0.088***

− 0.033***

− 0.050***

(− 13.85)

(− 14.56)

(− 8.70)

(− 6.41)

(− 2.86)

(− 4.21)

Intan

− 0.292***

− 0.113

0.309**

0.450*

0.197

0.172

(− 2.58)

(− 0.56)

(2.38)

(1.91)

(0.98)

(0.86)

SOE

− 0.058***

− 0.153***

− 0.028*

− 0.037

0.069*

0.053

(− 3.57)

(− 4.83)

(− 1.66)

(− 1.31)

(1.74)

(1.36)

Indep

0.001

0.002

0.002

0.003

− 0.001

− 0.001

(1.31)

(1.24)

(1.55)

(1.64)

(− 0.77)

(− 0.68)

Dual

0.002

− 0.007

− 0.006

− 0.016

− 0.024

− 0.024

(0.25)

(− 0.52)

(− 0.46)

(− 0.83)

(− 1.53)

(− 1.51)

Inst

0.003***

0.013***

− 0.000

− 0.000

− 0.001

0.001

(10.75)

(19.23)

(− 0.63)

(− 0.71)

(− 0.96)

(1.13)

Board

− 0.041

− 0.049

0.041

0.088

− 0.064

− 0.070

(− 1.45)

(− 0.90)

(0.99)

(1.23)

(− 0.91)

(− 1.01)

Top1

− 0.001*

− 0.003***

0.001***

0.000

0.002**

0.001

(− 1.95)

(− 3.79)

(2.68)

(0.41)

(2.12)

(1.61)

Salary

0.003

0.001

0.012*

0.016

0.025**

0.025**

(0.53)

(0.15)

(1.69)

(1.43)

(2.27)

(2.22)

Constant

− 1.242***

− 4.156***

− 3.266***

− 4.673***

/

/

(− 6.92)

(− 11.66)

(− 17.52)

(− 14.62)

/

/

N

23,796

23,796

24,123

24,123

23,796

23,796

Firm fixed effect

YES

YES

YES

YES

YES

YES

Year fixed effect

YES

YES

YES

YES

YES

YES

Kleibergen-Paap rk LM statistic

   

1979.673

386.809

Kleibergen-Paap rk Wald F statistic

   

4171.890

645.904

Panel B Legal person ownership

Variables

(1)

(2)

(3)

(4)

(5)

GI

lnGI

ESGdif

ESGdif

ESGdif

LPO

− 0.229***

− 0.397***

− 0.000

  

(− 6.95)

(− 8.38)

(− 0.29)

  

GI

   

− 1.181***

 
   

(− 4.74)

 

lnGI

    

− 0.681***

    

(− 4.96)

Size

0.144***

0.293***

− 0.111***

− 0.252***

− 0.282***

(11.26)

(15.18)

(− 5.66)

(− 6.22)

(− 6.38)

Age

− 0.093***

− 0.258***

0.401***

0.402***

0.468***

(− 3.91)

(− 7.66)

(13.01)

(10.21)

(10.89)

ROA

0.719***

0.900***

− 0.283***

− 1.163***

− 0.927***

(11.23)

(10.79)

(− 2.73)

(− 5.18)

(− 5.37)

Lev

− 0.103

− 0.203**

0.352***

0.479***

0.496***

(− 1.62)

(− 2.36)

(3.43)

(3.90)

(4.37)

Growth

− 0.011**

− 0.003

0.005

0.020**

0.009

(− 2.01)

(− 0.40)

(0.67)

(2.10)

(1.15)

CashFlow

0.131**

0.249***

0.219***

0.007

− 0.008

(2.28)

(3.30)

(2.75)

(0.07)

(− 0.09)

BM

− 0.089***

− 0.187***

− 0.024*

0.072***

0.095***

(− 12.43)

(− 16.25)

(− 1.81)

(2.77)

(3.32)

Intan

0.040

− 0.202

0.064

0.150

0.334

(0.24)

(− 0.87)

(0.30)

(0.53)

(1.26)

SOE

− 0.095***

− 0.174***

0.076*

0.179***

0.186***

(− 3.39)

(− 4.54)

(1.72)

(3.06)

(3.40)

Indep

0.000

0.002

0.000

− 0.002

− 0.003

(0.33)

(0.96)

(0.15)

(− 0.84)

(− 1.17)

Dual

0.002

0.004

− 0.017

− 0.027

− 0.028

(0.17)

(0.27)

(− 1.02)

(− 1.27)

(− 1.38)

Inst

0.009***

0.017***

− 0.001

− 0.011***

− 0.012***

(17.57)

(21.23)

(− 1.01)

(− 4.77)

(− 4.98)

Board

− 0.006

− 0.063

0.002

− 0.060

− 0.023

(− 0.13)

(− 0.93)

(0.03)

(− 0.64)

(− 0.26)

Top1

− 0.002***

− 0.005***

0.001

0.004***

0.005***

(− 2.93)

(− 5.01)

(1.17)

(3.14)

(3.94)

Salary

− 0.003

− 0.007

0.019

0.030**

0.030**

(− 0.42)

(− 0.61)

(1.55)

(2.04)

(2.18)

Constant

− 2.796***

− 5.653***

2.162***

/

/

(− 9.29)

(− 12.47)

(4.58)

/

/

N

23,836

23,836

20,856

23,836

23,836

Firm fixed effect

YES

YES

YES

YES

YES

Year fixed effect

YES

YES

YES

YES

YES

Kleibergen-Paap rk LM statistic

   

44.968

63.205

Kleibergen-Paap rk Wald F statistic

   

44.272

70.296

  1. Robust t-values clustered at the firm level are in parentheses, and *, **, and *** indicate significance at the 10%, 5%, and 1% levels, respectively.
Back to article page