Panel A: IVA

Panel B: PMI

(1)

(2)

(3)

(4)

(5)

(6)

SRI (−12)

−6.9165***

(0.9607)

−10.1941***

(1.8398)

−1.4366**

(0.6525)

−3.2582**

(1.2546)

CoVaR (−12)

−0.9625***

(0.2025)

0.753**

(0.3618)

−0.1298

(0.1297)

0.4185*

(0.2467)

Ret (−12)

1.9646

(2.298)

2.7427

(2.4596)

1.6739

(2.2805)

0.3372

(1.5607)

0.5172

(1.5751)

0.1756

(1.5552)

Vol (−12)

1.4367

(2.8386)

5.4058*

(3.1721)

−1.7568

(3.2029)

−0.4859

(1.9278)

0.0286

(2.0314)

−2.2607

(2.1843)

M2 (−12)

0.3274***

(0.0604)

0.4703***

(0.0632)

0.2484***

(0.0708)

0.103**

(0.041)

0.13***

(0.0405)

0.0591

(0.0483)

Term (−12)

1.4453***

(0.5488)

1.5076**

(0.5893)

1.3637**

(0.545)

0.4204

(0.3727)

0.421

(0.3774)

0.375

(0.3717)

Credit (−12)

−1.7841***

(0.2455)

−2.1565***

(0.2541)

−1.6439***

(0.2523)

−1.1313***

(0.1667)

−1.2172***

(0.1627)

−1.0533***

(0.1721)

Cons_

13.6755***

(1.2228)

8.1477***

(0.8971)

15.9663***

(1.6365)

3.4379***

(0.8304)

2.2121***

(0.5745)

4.7111***

(1.116)

Adj-R²

0.7341

0.6944

0.7392

0.4391

0.4267

0.4451

F value

83.38

68.78

73.46

24.36

23.2

21.51

Observations

180

180

180

180

180

180