Skip to main content

Table 4 Influencing factors of heterogeneous effect of SRI investment

From: When and where does it pay to be green? – A look into socially responsible investing and the cost of equity capital

 

Coefficient

Std. Error

Market Cap

\(-0.0104\)

(0.015)

Leverage

\(0.849^{***}\)

(0.100)

Book-to-Market

\(1.437^{***}\)

(0.030)

Dispersion

\(0.500^{***}\)

(0.018)

Long-term Growth

\(-0.054^{**}\)

(0.024)

Beta

\(0.442^{***}\)

(0.026)

Return

\(0.043^{***}\)

(0.014)

SRI

0.138

(0.390)

Environmental Concern

\(-0.269^{***}\)

(0.076)

Intermediate

\(-0.179^{**}\)

(0.081)

Diversity

\(-0.041\)

(0.074)

SRI\(\times\)Environmental Concern

\(0.250^{***}\)

(0.078)

SRI\(\times\)Intermediate

0.050

(0.082)

SRI\(\times\)Diversity

\(0.127^{*}\)

(0.076)

\(\hat{u}\)

0.003

(0.394)

Year FE

Yes

 

Observations

12,134

 

R\(^{2}\)

0.541

 

Adjusted R\(^{2}\)

0.540

 

F Statistic

\(549.520^{***}\)

 
  1. Effect of SRI investment accounting for industry characteristics. Column 1 reports coefficient estimates, and Column 2 reports the standard errors. “Diversity” is the number of sub-industry groups in each of the 48 industry groups, “Environmental Concern” is the ratio of average environmental concerns to environmental strengths in each industry group, and “Intermediate” is the fraction of sub-industry groups that are composed of intermediate industries. All industry level variables are scaled to have mean of 0 and standard deviation of 1. *, **, *** denote statistical significance at the 10%, 5%, and the 1% levels, respectively