Table 3.
Environmental performance, financial stress and financial constraints.
| Ratings | Size | Dividends | Kaplan–Zingales score | Size–Age score | Ratings | ||
|---|---|---|---|---|---|---|---|
| (1) | (2) | (3) | (4) | (5) | (6) | (7) | |
| VIX | −0.291*** | −0.243*** | −0.987*** | −0.288*** | −0.226*** | −0.305*** | −0.240*** |
| (0.017) | (0.024) | (0.146) | (0.018) | (0.025) | (0.787) | (0.022) | |
| VIX x Financial constraint measure | −0.098*** | −0.045*** | −0.066 | −0.048 | 0.047 | −0.046** | |
| (0.034) | (0.177) | (0.044) | (0.037) | (0.037) | (0.022) | ||
| Control variables | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Country and Sector Fixed Effects | Yes | Yes | Yes | Yes | Yes | Yes | No |
| Firm Fixed Effects | No | No | No | No | No | No | Yes |
| R2 | 0.443 | 0.453 | 0.451 | 0.454 | 0.445 | 0.453 | 0.247 |
| Observations | 53,118 | 53,489 | 53,489 | 52,294 | 45,073 | 53,489 | 53,844 |
| # of firms | 6838 | 6908 | 6908 | 6667 | 5906 | 6908 | 6971 |
This table reports regression estimates of environmental scores on the VIX and control variables. The data are from Refinitiv Datastream and Standard and Poor’s. The estimation frequency is annual, and the estimation sample extends from 2002 to 2019. Control variables are the domestic output gap, the log of the price of oil (WTI), as well as firm size (log of total assets), firm profitability (earnings before interest expense and income taxes) and a dummy for firms that do not pay dividends. “Size” is the log of total assets, and the sign of this variable is reversed so that higher values indicate smaller firms). Standard errors are clustered at the firm level. ***, **, or * indicates that the coefficient estimate is significant at the 1%, 5%, or 10% level, respectively.