Table 3.
Regression results for stock market return.
| VARIABLES | (1) |
(2) |
(3) |
(4) |
(5) |
(6) |
(7) |
(8) |
|
|---|---|---|---|---|---|---|---|---|---|
| Return | Return | ||||||||
| L12. FTSEE | −0.0006 | ||||||||
| (0.00126) | |||||||||
| L12. FTSES | −0.0024⁎ | ||||||||
| (0.00125) | |||||||||
| L12. FTSEG | −0.0026⁎⁎ | ||||||||
| (0.00117) | |||||||||
| L12. FTSEESG | −0.00258⁎ | ||||||||
| (0.0012) | |||||||||
| L12. FTSEE*Covid | 0.00023⁎⁎⁎ | ||||||||
| (1.82e−05) | |||||||||
| L12. FTSES*Covid | 0.00026⁎⁎⁎ | ||||||||
| (2.09e−05) | |||||||||
| L12. FTSEG*Covid | 0.00026⁎⁎⁎ | ||||||||
| (1.86e−05) | |||||||||
| L12. FTSEESG*Covid | 0.00027⁎⁎⁎ | ||||||||
| (2.00e−05) | |||||||||
| L12.SPE | −2.06e−05 | ||||||||
| (6.47e−05) | |||||||||
| L12.SPS | −0.0003⁎⁎⁎ | ||||||||
| (6.81e−05) | |||||||||
| L12.SPG | −0.00028⁎⁎⁎ | ||||||||
| (6.75e−05) | |||||||||
| L12. SPESG | −0.00023⁎⁎⁎ | ||||||||
| (7.56e−05) | |||||||||
| L12.SPE*Covid | 0.00023⁎⁎⁎ | ||||||||
| (1.86e−05) | |||||||||
| L12.SPS*Covid | 0.00026⁎⁎⁎ | ||||||||
| (2.13e−05) | |||||||||
| L12.SPG*Covid | 0.00025⁎⁎⁎ | ||||||||
| (1.90e−05) | |||||||||
| L12. SPESG*Covid | 0.00027⁎⁎⁎ | ||||||||
| (2.03e−05) | |||||||||
| L.ROA | 0.145⁎⁎⁎ | 0.145⁎⁎⁎ | 0.146⁎⁎⁎ | 0.144⁎⁎⁎ | 0.148⁎⁎⁎ | 0.151⁎⁎⁎ | 0.153⁎⁎⁎ | 0.148⁎⁎⁎ | |
| (0.0235) | (0.0235) | (0.0235) | (0.0235) | (0.0249) | (0.0249) | (0.0249) | (0.0249) | ||
| L. Asset | −0.0402⁎⁎⁎ | −0.0405⁎⁎⁎ | −0.0382⁎⁎⁎ | −0.0395⁎⁎⁎ | −0.0365⁎⁎⁎ | −0.0384⁎⁎⁎ | −0.0393⁎⁎⁎ | −0.0376⁎⁎⁎ | |
| (0.00620) | (0.00622) | (0.00624) | (0.00625) | (0.00694) | (0.00690) | (0.00693) | (0.00689) | ||
| L.Debt | 0.0810⁎⁎⁎ | 0.0789⁎⁎⁎ | 0.0815⁎⁎⁎ | 0.0819⁎⁎⁎ | 0.0803⁎⁎⁎ | 0.0815⁎⁎⁎ | 0.0849⁎⁎⁎ | 0.0841⁎⁎⁎ | |
| (0.0118) | (0.0118) | (0.0118) | (0.0118) | (0.0126) | (0.0126) | (0.0126) | (0.0126) | ||
| L.BM | 0.00710⁎⁎⁎ | 0.00690⁎⁎⁎ | 0.00650⁎⁎⁎ | 0.00664⁎⁎⁎ | 0.00671⁎⁎⁎ | 0.00636⁎⁎⁎ | 0.00580⁎⁎⁎ | 0.00607⁎⁎⁎ | |
| (0.000835) | (0.000841) | (0.000842) | (0.000841) | (0.000881) | (0.000888) | (0.000892) | (0.000889) | ||
| L. Growth | 0.00564⁎⁎ | 0.00549⁎⁎ | 0.00485⁎⁎ | 0.00494⁎⁎ | 0.00510⁎⁎ | 0.00545⁎⁎ | 0.00533⁎⁎ | 0.00490⁎⁎ | |
| (0.00223) | (0.00223) | (0.00223) | (0.00223) | (0.00227) | (0.00227) | (0.00228) | (0.00227) | ||
| L. Lquidity | −0.656⁎⁎⁎ | −0.646⁎⁎⁎ | −0.628⁎⁎⁎ | −0.647⁎⁎⁎ | −0.569⁎⁎⁎ | −0.556⁎⁎⁎ | −0.542⁎⁎⁎ | −0.559⁎⁎⁎ | |
| (0.0999) | (0.0999) | (0.0998) | (0.0998) | (0.103) | (0.103) | (0.103) | (0.103) | ||
| Covid | 0.00013⁎⁎⁎ | 0.00016⁎⁎⁎ | 8.80e−05⁎⁎ | 0.000107⁎⁎ | 0.00014⁎⁎⁎ | 0.0001⁎⁎⁎ | 5.50e−05 | 8.82e−05⁎⁎ | |
| (4.06e−05) | (4.08e−05) | (4.21e−05) | (4.21e−05) | (4.32e−05) | (4.31e−05) | (4.46e−05) | (4.39e−05) | ||
| Constant | 0.338⁎⁎⁎ | 0.344⁎⁎⁎ | 0.324⁎⁎⁎ | 0.335⁎⁎⁎ | 0.305⁎⁎⁎ | 0.330⁎⁎⁎ | 0.339⁎⁎⁎ | 0.322⁎⁎⁎ | |
| (0.0562) | (0.0563) | (0.0564) | (0.0564) | (0.0636) | (0.0634) | (0.0640) | (0.0635) | ||
| Industry effect | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |
| Observations | 20,662 | 20,662 | 20,662 | 20,662 | 18,521 | 18,521 | 18,521 | 18,521 | |
| R-squared | 0.037 | 0.037 | 0.039 | 0.038 | 0.038 | 0.038 | 0.040 | 0.039 | |
| Number of firms | 376 | 376 | 376 | 376 | 362 | 362 | 362 | 362 | |
Note: Standard errors in parentheses.
*
Indicate significance at the 10% levels.
**
Indicate significance at the 5% levels.
***
Indicate significance at the 1% levels.
Authors based on estimation of Eqs. (3).