Table 7.

Results using Dow Jones Sustainability Index.

	OLS ESTIMATION								GLS ESTIMATION
Panel A. France
Regressors	DA		DCFO		DEXP		TEM		DA		DCFO		DEXP		TEM
	parameter	t-value	parameter	t-value	parameter	t-value	parameter	t-value	parameter	t-value	parameter	t-value	parameter	t-value	parameter	t-value
ROA	−0.0010	−0.5400	0.1484	7.92 (***)	0.0548	1.74 (*)	−0.1850	−6.33 (***)	−0.0001	−0.42	0.1308	6.45 (***)	0.0592	1.71 (*)	−0.1633	−6.01 (***)
BtM	−0.0003	−0.89	8.9062	0.48	−0.0089	−2.28 (**)	0.0084	2.13 (**)	−0.0004	−0.71	6.4513	0.39	−0.0182	−2.15 (**)	0.0082	2.08 (**)
DEBT	−0.0013	−3.32 (***)	−0.0033	−1.83 (*)	0.0051	1.3600	−0.0026	−0.72	−0.0011	−3.08 (***)	−0.0015	−1.79 (*)	0.0055	1.29	−0.0018	−0.64
LN	0.0001	1.97 (**)	−0.0010	−2.88 (***)	−0.0002	−0.35	0.0011	1.71 (*)	0.0001	1.95 (**)	−0.0010	−2.66 (***)	−0.0002	−0.25	0.0011	1.69 (*)
SEO	−0.0011	−0.78	0.0161	3.01 (***)	0.0070	0.81	−0.0212	−2.12 (**)	−0.0026	−0.59	0.0142	2.96 (***)	0.0094	0.78	−0.0207	−2.09 (**)
DJSI	−8.7287	−0.12	−0.0087	−2.08 (**)	0.0003	0.48	0.0062	0.82	−7.4194	−0.09	−0.0228	−2.01 (**)	0.0006	0.45	0.0048	0.73
FRQ-DJSI	−0.0005	−0.37	0.0032	0.64	0.0002	0.29	−0.0020	−0.21	−0.0009	−0.33	0.0014	0.55	0.0002	0.24	−0.0047	−0.17
adjusted R2	0.40%		9.28%		0.42%		2.81%		0.38%		9.16%		0.39%		2.75%
Panel B. Germany
Regressors	DA		DCFO		DEXP		TEM		DA		DCFO		DEXP		TEM
	parameter	t-value	parameter	t-value	parameter	t-value	parameter	t-value	parameter	t-value	parameter	t-value	parameter	t-value	parameter	t-value
ROA	0.0039	1.1200	0.2131	8.03 (***)	0.0348	0.5970	−0.2279	−3.30 (***)	0.0006	1.05	0.1862	7.55 (***)	0.0808	0.55	−0.2113	−3.210 (***)
BtM	−2.6958	−0.53	0.0033	1.4100	−0.0122	−1.72 (*)	0.0089	1.2400	−2.4898	−0.47	0.0097	1.36	−0.0110	−1.68 (*)	0.0018	1.19
DEBT	−0.0008	−1.68 (*)	−0.0018	−0.94	0.0012	0.27	−2.4377	−0.57	0.0009	−1.65 (*)	−0.0045	−0.89	−0.0008	0.23	−1.8283	−0.51
LN	4.3290	0.6500	−0.0013	−4.71 (***)	0.0002	0.35	0.0009	1.3800	5.5844	0.60	−0.0015	−4.36 (***)	0.0001	0.31	0.0002	1.33
SEO	−0.0018	−1.0200	0.0081	1.76 (*)	0.0010	0.11	−0.0099	−1.0300	−0.0047	−0.97	0.0071	1.71 (*)	0.0002	0.08	−0.0052	−0.96
DJSI	0.0003	0.34	−0.0026	−0.98	0.0012	0.21	0.0012	0.19	0.0002	0.31	−0.0059	−0.91	0.0015	0.16	0.0011	0.14
FRQ-DJSI	−0.0017	−0.98	0.0019	0.43	−0.0022	−0.32	−0.0006	−0.74	−0.0049	−0.86	0.0011	0.38	−0.0063	−0.28	−0.0006	−0.66
adjusted R2	0.30%		14.78%		0.17%		1.73%		0.29%		14.52%		0.15%		1.67%
Panel C. Italy
Regressors	DA		DCFO		DEXP		TEM		DA		DCFO		DEXP		TEM
	parameter	t-value	parameter	t-value	parameter	t-value	parameter	t-value	parameter	t-value	parameter	t-value	parameter	t-value	parameter	t-value
ROA	0.0117	1.4200	0.1672	8.61 (***)	0.0971	1.66 (*)	−0.2348	−3.57 (***)	0.0138	1.35	0.1445	8.11 (***)	0.1039	1.66 (*)	−0.2664	−3.49 (***)
BtM	0.0009	2.07 (**)	0.0035	2.77 (***)	0.0069	1.50	−0.0089	−2.13 (**)	0.0010	2.01 (**)	0.0032	2.52 (***)	0.0084	1.40	−0.0096	−2.06 (**)
DEBT	−0.0003	−1.1600	0.0020	2.66 (**)	−0.0014	−0.58	−0.0006	−0.2700	−0.0003	−1.02	0.0025	2.44 (**)	−0.0014	−0.51	−0.0007	−0.21
LN	0.0000	−0.21	−0.0010	−4.68 (***)	−0.0006	−1.01	0.0014	2.28 (**)	0.0000	−0.15	−0.0010	−4.35 (***)	−0.0008	−0.96	0.0017	2.23 (**)
SEO	−0.0023	−0.63	0.0051	1.97 (**)	−0.0024	−0.31	−0.0046	−0.51	−0.0020	−0.55	0.0060	1.95 (**)	−0.0022	−0.26	−0.0052	−0.44
DJSI	−0.0001	−0.78	0.0008	0.39	0.0062	1.0400	−0.0071	−1.21	−0.0001	−0.71	0.0008	0.31	0.0077	1.02	−0.0079	−1.16
FRQ-DJSI	−0.0009	−0.24	−0.0007	−0.24	−0.0118	−1.4700	0.0117	1.2600	−0.0008	−0.14	−0.0008	−0.18	−0.0097	−1.41	0.0152	1.21
adjusted R2	0.84%		10.79%		0.48%		1.98%		0.77%		10.49%		0.44%		1.89
Panel D. Spain
Regressors	DA		DCFO		DEXP		TEM		DA		DCFO		DEXP		TEM
	parameter	t-value	parameter	t-value	parameter	t-value	parameter	t-value	parameter	t-value	parameter	t-value	parameter	t-value	parameter	t-value
ROA	0.0008	0.17	0.1727	4.49 (***)	0.0085	0.12	−0.1740	−2.27 (**)	0.0008	0.12	0.1788	4.21 (***)	0.0103	0.09	−0.2227	−2.11Ç(**)
BtM	0.0000	0.14	0.0008	0.6920	0.0000	0.21	−0.0008	−0.81	0.0000	0.10	0.0008	0.61	0.0000	0.18	−0.0010	−0.76
DEBT	0.0000	−0.56	−0.0007	−0.7830	−0.0009	−0.61	0.0015	0.97	0.0000	−0.51	−0.0006	−0.70	−0.0008	−0.56	0.0016	0.92
LN	0.0000	−0.5100	−0.0004	−2.03 (**)	0.0000	0.38	0.0004	0.82	0.0000	−0.44	−0.0005	−1.98 (**)	0.0000	0.32	0.0005	0.76
SEO	0.0008	0.67	−0.0046	−1.0200	0.0049	0.44	0.0007	0.64	0.0010	0.58	−0.0044	−0.96	0.0056	0.41	0.0006	0.59
DJSI	−0.0007	−1.41	0.0014	0.6010	0.0010	0.29	−0.0029	−0.79	−0.0007	−1.36	0.0014	0.55	0.0012	0.22	−0.0025	−0.73
FRQ-DJSI	0.0010	0.79	−0.0069	−1.5700	0.0026	0.22	0.0051	0.46	0.0011	0.72	−0.0063	−1.52	0.0026	0.16	0.0063	0.38
adjusted R2	0.14%		7.91%		0.10%		1.91%		0.13%		7.74%		0.09%		1.87%

Note: This table shows the results of the estimation of Eq (8) using the DJSI as explanatory variable disaggregated by country: France (Panel A), Germany (Panel B), Italy (Panel C) and Spain (Panel D). Dependent variable: TEM (total earnings management). Disaggregation of TEM: DA (discretionary accruals), DCFO (discretionary cash flow from operations), DEXP (discretionary operating expenses). Control variables: ROA: Return on Assets; BtM: Book-to-Market ratio; DEBT: Level of indebtedness measured by Debt-to-Book value ratio; LN: Log-asset; Dummy variables: SEO: 1 when the company has increased capital in t, t+1 and t+2; otherwise, 0; DJSI: 1 if the company is part of the index in the year, and −1 if it is not included; FRQ_DJSI: Multiplicative variable that takes the value of 1 if the company has increased the capital and has the highest rating of DJSI; takes a value of −1 if the company has increased the capital but has the lowest rating of DJSI, and otherwise takes 0 value. (*), (**) and (***) indicate that the parameter is statistically significant at a confidence level of 10%, 5% and 1%, respectively. Adjusted R2 indicates that the explanatory power of the model. GLS and OLS estimation results are provided.