Names

Panel A

Panel B

${\widehat{\alpha }}_i$

${\widehat{\mu }}_i$

${\beta }_i$

${\widehat{\gamma }}_i$

$Adj.R^2$

${\widehat{\alpha }}_i$

${\widehat{\mu }}_i$

${\beta }_i$

${\widehat{\gamma }}_i$

$Adj.R^2$

CSI China Mainland Low Carbon Economy Index

5E−05

(0.0002)

0.0022**

(0.0011)

1.0651***

(0.023)

0.3695***

(0.127)

0.632

0.00013

(0.00018)

0.00216**

(0.00093)

0.94167***

(0.01842)

0.37463***

(0.09721)

0.720

CSI New Energy Index

1E−05

(0.0003)

0.0026**

(0.0012)

1.2197***

(0.0275)

0.3913***

(0.1423)

0.615

0.00021

(0.00021)

0.0025**

(0.00107)

1.0467***

(0.02035)

0.48165***

(0.11256)

0.725

CNI ESG 300 Index

0.0002**

(0.0001)

−0.0003

(0.0004)

1.0676***

(0.0114)

0.1345***

(0.0395)

0.914

−0.00001

(0.0001)

−0.00016

(0.00027)

1.02657***

(0.01063)

0.03886

(0.03077)

0.935

CSI Atmospheric

Protection Index

−0.0006*

(0.0004)

0.0006

(0.001)

1.1474***

(0.0319)

−0.2282*

(0.1256)

0.532

−0.00066**

(0.00028)

0.00077

(0.00075)

0.95998***

(0.02308)

0.20461**

(0.09024)

0.707

CSI Environmental Protection Industry Index

−0.0003

(0.0002)

0.0023**

(0.001)

1.1594***

(0.0218)

0.2288**

(0.1138)

0.673

−0.00013

(0.00014)

0.00218**

(0.0009)

0.98526***

(0.01667)

0.38***

(0.09431)

0.787