Panel A: IVA

Panel B: PMI

(1)

(2)

(3)

(4)

(5)

(6)

SRI (−1)

−7.8152***

(1.0013)

−9.8114***

(1.9484)

−0.8012

(0.5576)

2.4203**

(1.0533)

CoVaR (−1)

−1.2469***

(0.2178)

0.4759

(0.3987)

−0.3431***

(0.1119)

−0.7681***

(0.2155)

Ret (−1)

−3.2733

(2.5187)

−2.6379

(2.6747)

−3.3997

(2.5181)

1.1209

(1.4027)

1.137

(1.3746)

1.3249

(1.3613)

Vol (−1)

−0.9543

(3.1048)

4.2737

(3.4246)

−2.9512

(3.5236)

−4.0496**

(1.7291)

−2.6093

(1.76)

−0.827

(1.9049)

M2 (−1)

0.56***

(0.0654)

0.7469***

(0.0662)

0.5086***

(0.0782)

0.2186***

(0.0364)

0.2428***

(0.034)

0.3016***

(0.0423)

Term (−1)

−1.1181*

(0.5894)

−1.1088*

(0.6275)

−1.1612*

(0.5898)

0.0779

(0.3282)

0.1346

(0.3225)

0.1475

(0.3189)

Credit (−1)

−1.6075***

(0.2696)

−1.9947***

(0.2785)

−1.5262***

(0.2778)

−1.236***

(0.1501)

−1.2517***

(0.1431)

−1.3672***

(0.1502)

Cons_

13.9731***

(1.3505)

7.6086***

(0.9739)

15.3878***

(1.7956)

2.2811***

(0.7521)

1.917***

(0.5005)

−0.0019

(0.9707)

Adj−R²

0.6819

0.6406

0.6827

0.556

0.5728

0.5825

F value

68.89

57.45

59.39

40.65

43.46

38.87

Observations

191

191

191

191

191

191