Table 6.
Relation between the risk measures and social performance
| Panel A | Two-way cluster | Fixed Effects | IV | ||||||
|---|---|---|---|---|---|---|---|---|---|
| voldw | IV4ffdw | betad4ffw | voldw | IV4ffdw | betad4ffw | voldw | IV4ffdw | betad4ffw | |
| SP | −0.004 | −0.018 | −0.097 | −0.020 | −0.004 | 0.021 | 0.037 | 0.082 | −0.037 |
| (−0.15) | (−0.95) | (−1.36) | (−1.03) | (−0.24) | (0.32) | (0.35) | (0.85) | (−0.10) | |
| SP_crisis | −0.138** | −0.029 | −0.082 | −0.201*** | −0.102** | −0.170 | −0.159 | −0.114 | −0.119 |
| (−2.38) | (−0.77) | (−0.45) | (−3.89) | (−2.56) | (−1.48) | (−1.37) | (−1.12) | (−0.34) | |
| SP_postcrisis | −0.010 | 0.032 | 0.164* | 0.016 | 0.036** | 0.087 | −0.052 | −0.069 | 0.106 |
| (−0.31) | (1.12) | (1.72) | (0.73) | (2.01) | (1.26) | (−0.48) | (−0.71) | (0.30) | |
| lnmkteq | −0.034*** | −0.033*** | −0.034*** | −0.046*** | −0.046*** | −0.007 | −0.035*** | −0.033*** | −0.033*** |
| (−8.25) | (−9.72) | (−7.93) | (−14.92) | (−17.20) | (−0.84) | (−26.49) | (−28.81) | (−10.80) | |
| bmw | 0.022** | 0.017** | 0.028** | 0.012** | 0.009* | −0.004 | 0.022*** | 0.016*** | 0.029*** |
| (2.47) | (2.04) | (1.97) | (2.22) | (1.66) | (−0.31) | (4.80) | (3.73) | (2.59) | |
| netlevw | 0.032*** | 0.030*** | 0.024** | 0.033*** | 0.032*** | 0.022*** | 0.032*** | 0.030*** | 0.023*** |
| (8.61) | (8.96) | (2.54) | (12.31) | (12.76) | (3.77) | (14.40) | (14.36) | (4.50) | |
| rmedinfw | 0.119 | 0.130* | 0.304* | 0.103** | 0.136*** | 0.181 | 0.118*** | 0.130*** | 0.347*** |
| (1.37) | (1.78) | (1.94) | (2.48) | (3.68) | (1.52) | (2.94) | (3.57) | (3.22) | |
| avgturdw | 0.026*** | 0.022*** | 0.025*** | 0.031*** | 0.025*** | 0.020*** | 0.025*** | 0.021*** | 0.024*** |
| (10.37) | (9.96) | (5.31) | (28.45) | (27.39) | (7.09) | (29.70) | (28.85) | (11.68) | |
| cvturdw | 1.225*** | 1.715*** | −2.246*** | 0.962*** | 1.375*** | −1.770*** | 1.251*** | 1.746*** | −2.248*** |
| (12.59) | (13.67) | (−9.86) | (15.70) | (23.13) | (−11.16) | (18.00) | (26.22) | (−13.55) | |
| Panel A | Two-way cluster | Fixed Effects | IV | ||||||
|---|---|---|---|---|---|---|---|---|---|
| voldw | IV4ffdw | betad4ffw | voldw | IV4ffdw | betad4ffw | voldw | IV4ffdw | betad4ffw | |
| dispeps1w | 0.009 | 0.010 | 0.071* | 0.080*** | 0.066*** | 0.029 | 0.016 | 0.018* | 0.069** |
| (0.56) | (0.77) | (1.71) | (6.78) | (6.40) | (0.89) | (1.41) | (1.78) | (2.12) | |
| investmentw | 0.157*** | 0.146*** | 0.172*** | 0.045** | 0.027 | 0.128** | 0.154*** | 0.140*** | 0.168*** |
| (4.26) | (5.06) | (2.74) | (2.17) | (1.45) | (2.14) | (9.62) | (10.06) | (3.89) | |
| expgrthw | 0.069*** | 0.046*** | 0.090** | 0.041*** | 0.021** | 0.037 | 0.069*** | 0.046*** | 0.083*** |
| (3.51) | (3.24) | (2.53) | (3.86) | (2.28) | (1.32) | (6.54) | (4.81) | (3.07) | |
| zscorew | 0.000 | 0.000 | −0.001 | 0.003*** | 0.002*** | 0.002** | 0.000 | 0.000 | −0.001** |
| (0.76) | (0.73) | (−1.38) | (7.97) | (6.43) | (2.07) | (1.03) | (0.56) | (−1.96) | |
| sdroa5yw | 0.447*** | 0.423*** | 0.331*** | 0.366*** | 0.281*** | 0.304*** | 0.439*** | 0.416*** | 0.315*** |
| (8.99) | (11.17) | (3.10) | (11.15) | (10.44) | (3.07) | (18.31) | (19.71) | (5.17) | |
| inv_basew | −0.031*** | −0.024*** | −0.049*** | −0.035*** | −0.030*** | −0.037* | −0.031*** | −0.024*** | −0.055*** |
| (−5.09) | (−4.84) | (−3.62) | (−4.98) | (−4.96) | (−1.76) | (−5.97) | (−5.43) | (−4.31) | |
| Constant | 0.405*** | 0.372*** | 1.309*** | 0.548*** | 0.509*** | 1.282*** | 0.410*** | 0.378*** | 1.323*** |
| (10.59) | (12.47) | (16.80) | (24.27) | (25.70) | (19.75) | (14.59) | (15.44) | (16.29) | |
| Industry fixed effects | Yes | Yes | Yes | Yes | Yes | Yes | |||
| Year fixed effects | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Firm fixed effects | Yes | Yes | Yes | ||||||
| Observations | 23,423 | 23,423 | 23,423 | 23,423 | 23,423 | 23,423 | 21,730 | 21,730 | 21,730 |
| R squared | 0.682 | 0.656 | 0.177 | 0.651 | 0.592 | 0.034 | 0.683 | 0.656 | 0.173 |
| Number of firms | 3420 | 3420 | 3420 | 3420 | 3420 | 3420 | 3280 | 3280 | 3280 |
| F statistic p value | 0 | 0 | 0 | ||||||
| J statistic p value | 0.691 | 0.445 | 0.390 | ||||||
| p value (SP + SP_crisis) | 0.011 | 0.170 | 0.251 | 0.000 | 0.008 | 0.173 | 0.021 | 0.440 | 0.157 |
| p value (SP + SP_postcrisis) | 0.665 | 0.539 | 0.201 | 0.708 | 0.001 | 0.002 | 0.205 | 0.210 | 0.049 |
| Panel B | Two-way cluster | Fixed Effects | IV | ||||||
|---|---|---|---|---|---|---|---|---|---|
| voldw | IV4ffdw | betad4ffw | voldw | IV4ffdw | betad4ffw | voldw | IV4ffdw | betad4ffw | |
| Str | 0.193*** | 0.184*** | −0.070 | −0.011 | 0.014 | −0.003 | 0.553* | 0.617** | −2.087** |
| (3.32) | (3.82) | (−0.59) | (−0.33) | (0.50) | (−0.03) | (1.86) | (2.34) | (−2.16) | |
| Con | 0.129*** | 0.146*** | 0.113 | 0.021 | 0.013 | −0.038 | 0.103 | 0.080 | −0.392 |
| (4.43) | (5.19) | (1.16) | (0.92) | (0.68) | (−0.50) | (0.97) | (0.87) | (−1.07) | |
| Str_crisis | −0.402*** | −0.328*** | −0.205 | −0.358*** | −0.285*** | −0.267** | −0.672** | −0.682*** | 1.443* |
| (−7.35) | (−6.70) | (−0.91) | (−6.19) | (−6.48) | (−2.23) | (−2.56) | (−2.94) | (1.72) | |
| Str_postcrisis | −0.179*** | −0.137*** | 0.142 | −0.004 | 0.012 | 0.095 | −0.510* | −0.542** | 1.953** |
| (−4.19) | (−3.89) | (1.08) | (−0.14) | (0.45) | (1.00) | (−1.85) | (−2.21) | (2.17) | |
| Con_crisis | −0.035 | −0.169*** | −0.003 | 0.081 | −0.035 | 0.095 | 0.008 | −0.080 | 0.257 |
| (−0.45) | (−3.82) | (−0.01) | (1.39) | (−0.79) | (0.67) | (0.07) | (−0.82) | (0.75) | |
| Con_postcrisis | −0.071** | −0.093*** | −0.152 | −0.030 | −0.037 | −0.097 | −0.024 | −0.007 | 0.236 |
| (−2.28) | (−3.36) | (−1.47) | (−1.09) | (−1.58) | (−1.06) | (−0.24) | (−0.08) | (0.69) | |
| lnmkteq | −0.038*** | −0.037*** | −0.034*** | −0.046*** | −0.046*** | −0.007 | −0.043*** | −0.042*** | −0.001 |
| (−8.25) | (−10.05) | (−6.50) | (−14.88) | (−17.18) | (−0.80) | (−10.98) | (−12.38) | (−0.09) | |
| bmw | 0.019** | 0.013 | 0.027** | 0.011** | 0.008 | −0.005 | 0.016*** | 0.010* | 0.051*** |
| (2.05) | (1.58) | (2.02) | (2.07) | (1.46) | (−0.33) | (2.97) | (1.94) | (3.63) | |
| netlevw | 0.031*** | 0.029*** | 0.024** | 0.033*** | 0.032*** | 0.022*** | 0.030*** | 0.028*** | 0.029*** |
| (8.32) | (8.53) | (2.55) | (12.31) | (12.78) | (3.77) | (11.98) | (11.80) | (4.81) | |
| rmedinfw | 0.118 | 0.129* | 0.306* | 0.109*** | 0.142*** | 0.186 | 0.113*** | 0.123*** | 0.369*** |
| (1.36) | (1.75) | (1.94) | (2.62) | (3.82) | (1.56) | (2.83) | (3.44) | (3.35) | |
| avgturdw | 0.027*** | 0.022*** | 0.025*** | 0.031*** | 0.026*** | 0.020*** | 0.027*** | 0.022*** | 0.019*** |
| (10.64) | (10.31) | (5.31) | (28.43) | (27.44) | (7.11) | (26.92) | (26.62) | (7.13) | |
| cvturdw | 1.205*** | 1.693*** | −2.249*** | 0.968*** | 1.379*** | −1.765*** | 1.217*** | 1.710*** | −2.107*** |
| (12.33) | (13.41) | (−9.60) | (15.79) | (23.21) | (−11.14) | (17.06) | (25.23) | (−12.04) | |
| Panel B | Two-way cluster | Fixed Effects | IV | ||||||
|---|---|---|---|---|---|---|---|---|---|
| voldw | IV4ffdw | betad4ffw | voldw | IV4ffdw | betad4ffw | voldw | IV4ffdw | betad4ffw | |
| dispeps1w | 0.004 | 0.006 | 0.070* | 0.079*** | 0.065*** | 0.028 | 0.009 | 0.011 | 0.092*** |
| (0.29) | (0.47) | (1.70) | (6.66) | (6.28) | (0.87) | (0.78) | (1.03) | (2.64) | |
| investmentw | 0.152*** | 0.141*** | 0.171*** | 0.044** | 0.026 | 0.127** | 0.140*** | 0.127*** | 0.218*** |
| (4.10) | (4.89) | (2.73) | (2.13) | (1.38) | (2.13) | (8.17) | (8.38) | (4.34) | |
| expgrthw | 0.070*** | 0.047*** | 0.090** | 0.040*** | 0.021** | 0.037 | 0.070*** | 0.047*** | 0.077*** |
| (3.56) | (3.31) | (2.52) | (3.83) | (2.25) | (1.31) | (6.68) | (5.01) | (2.78) | |
| zscorew | 0.000 | 0.000 | −0.001 | 0.003*** | 0.002*** | 0.002** | 0.000 | 0.000 | −0.002*** |
| (0.96) | (0.99) | (−1.36) | (7.98) | (6.48) | (2.08) | (1.55) | (1.28) | (−2.58) | |
| sdroa5yw | 0.435*** | 0.411*** | 0.329*** | 0.367*** | 0.281*** | 0.306*** | 0.418*** | 0.393*** | 0.390*** |
| (8.78) | (10.78) | (3.08) | (11.17) | (10.47) | (3.09) | (16.54) | (17.75) | (5.76) | |
| inv_basew | −0.034*** | −0.027*** | −0.049*** | −0.036*** | −0.031*** | −0.038* | −0.038*** | −0.031*** | −0.030* |
| (−5.42) | (−5.29) | (−3.78) | (−5.06) | (−5.03) | (−1.79) | (−6.25) | (−5.93) | (−1.77) | |
| Constant | 0.426*** | 0.394*** | 1.310*** | 0.545*** | 0.507*** | 1.278*** | 0.452*** | 0.422*** | 1.160*** |
| (10.88) | (13.29) | (16.23) | (24.13) | (25.54) | (19.57) | (15.36) | (17.12) | (9.27) | |
| Industry fixed effects | Yes | Yes | Yes | Yes | Yes | Yes | |||
| Year fixed effects | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Firm fixed effects | Yes | Yes | Yes | ||||||
| Observations | 23,423 | 23,423 | 23,423 | 23,423 | 23,423 | 23,423 | 21,730 | 21,730 | 21,730 |
| R squared | 0.685 | 0.660 | 0.177 | 0.651 | 0.593 | 0.034 | 0.682 | 0.654 | 0.134 |
| Number of firms | 3420 | 3420 | 3420 | 3420 | 3420 | 3420 | 3280 | 3280 | 3280 |
| F statistic p value | 0 | 0 | 0 | ||||||
| J statistic p value | 0.384 | 0.208 | 0.308 | ||||||
| p value (Str + Str_crisis) | 0.011 | 0.037 | 0.161 | 0.000 | 0.000 | 0.036 | 0.103 | 0.290 | 0.001 |
| p value (Str + Str_postcrisis) | 0.678 | 0.105 | 0.243 | 0.268 | 0.027 | 0.027 | 0.107 | 0.001 | 0.114 |
| p value (Con + Con_crisis) | 0.152 | 0.550 | 0.448 | 0.082 | 0.615 | 0.680 | 0.091 | 0.999 | 0.405 |
| p value (Con + Con_postcrisis) | 0.021 | 0.001 | 0.542 | 0.691 | 0.208 | 0.074 | 0.002 | 0.001 | 0.053 |
Columns 2–4 of Table 6 reports results from two-way cluster regressions of the risk measures on the social performance measures and controls over the period 1991–2012. Robust and clustered (by firm and time) t statistics based on the approach of Petersen (2009) are reported in the parentheses. Columns 5–7 of Table 6 reports results from two-way fixed effects (FE) regressions of the risk measures on the social performance measures and controls over the period 1991–2012. Robust and clustered (by firm) t statistics are reported in the parentheses. Columns 8–10 of Table 6 reports results from instrumental variables (IV) regressions of the risk measures on the social performance measures and controls over the period 1991–2012. The IV regressions are estimated using the two-step efficient generalized method of moments (GMM). We use two instruments: the average SP of neighboring firms (geographically proximate firms) and the average industry SP. J statistic p value is the p value of the Hansen J statistic (overidentification test of all instruments). Robust and clustered (by firm) t statistics are reported in parentheses
The p value (SP + SP_crisis) is the p value of the test statistic that the sum of the coefficients associated with SP and SP_crisis is not statistically different from zero. The p value (SP + SP_postcrisis) is the p value of the test statistic that the sum of the coefficients associated with SP and SP_postcrisis is not statistically different from zero. The p value (Str + Str_crisis) is the p value of the test statistic that the sum of the coefficients associated with Str and Str_crisis is not statistically different from zero. The p value (Str + Str_postcrisis) is the p value of the test statistic that the sum of the coefficients associated with Str and Str_postcrisis is not statistically different from zero. The p value (Con + Con_crisis) is the p value of the test statistic that the sum of the coefficients associated with Con and Con_crisis is not statistically different from zero. The p value (Con + Con_postcrisis) is the p value of the test statistic that the sum of the coefficients associated with Con and Con_postcrisis is not statistically different from zero
All variables are defined in Table 1. Unreported industry controls are based on the Fama and French (1997) industry classification
*** Significant at the 1 % level (p < 0.01); ** Significant at the 5 % level (p < 0.05); * Significant at the 10 % level (p < 0.1)