Market Volatility and Investors’ View of Firm-Level Risk: A Case of Green Firms
Bibliographic record
Abstract
Do investors believe that firm-level (i.e., idiosyncratic) risk of green (i.e., environmentally responsible) firms is relatively lower? How does high market volatility affect the investors’ view on the firm-level risk of green firms? This paper addresses these questions by investigating the relationship between firm-level (idiosyncratic) risk and firms’ environmental performance. Further, we examine the effect market volatility has on the relationship. We estimate fixed-effect panel models using 8036 firm-year observations across 793 firms. We test robustness of the results with difference-in-difference (DiD), propensity score matching (PSM) and dynamic panel with the generalized method of moments (GMM) estimations. We find that investors generally associate firms that perform well on the environmental front to be of lower risk. However, during periods of high market volatility, just performing better than the industry does not make the investors see the firms’ risk as being significantly lower. How well the firms perform in relation to the industry performance is associated with the investors believing that the firm’s risk is significantly lower.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.003 | 0.012 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.001 |
| Bibliometrics | 0.001 | 0.001 |
| Science and technology studies | 0.001 | 0.001 |
| Scholarly communication | 0.002 | 0.002 |
| Open science | 0.000 | 0.001 |
| Research integrity | 0.002 | 0.002 |
| Insufficient payload (model declined to judge) | 0.001 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".