Appendix. Table A.1 (Part A) The Author(s) 2015 G. Chakrabarti and C. Sen, Green Investing, SpringerBriefs in Finance, DOI /

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1 Appendix Table A.1 (Part A) Dependent variable: probability of crisis (own) Method: ML binary probit (quadratic hill climbing) Included observations: 47 after adjustments Convergence achieved after 6 iterations Covariance matrix computed using second derivatives Variable Coefficient Std. error z-statistic Prob. C Asset turnover Financial charge cover ratio Conditional correlation with market Current ratio Debt-equity ratio DPS EPS growth Green NPM (%) RAR Retention ratio McFadden R-squared Mean dependent var S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan Quinn criterion Deviance Restr. deviance Restr. log likelihood LR statistic Avg. log likelihood Prob (LR statistic) Obs with Dep = 0 22 Total obs 47 Obs with Dep = 1 25 The Author(s) 2015 G. Chakrabarti and C. Sen, Green Investing, SpringerBriefs in Finance, DOI /

2 90 Appendix Table A.1 (Part B) Expectation-prediction evaluation for binary specification Success cutoff: C = 0.5 Estimated equation Constant probability Dep = 0 Dep = 1 Total Dep = 0 Dep = 1 Total P(Dep = 1) <= C P(Dep = 1) > C Total Correct % correct % incorrect Total gain a Percent gain b NA Estimated equation Constant probability Dep = 0 Dep = 1 Total Dep = 0 Dep = 1 Total E(# of Dep = 0) E(# of Dep = 1) Total Correct % correct % incorrect Total gain a Percent gain b a Change in % Correct from default (constant probability) specification b Percent of incorrect (default) prediction corrected by equation

3 Appendix 91 Table A.2 (Part A) Dependent variable: MKT_STRESS Method: ML binary probit (quadratic hill climbing) Sample (adjusted): 1 48 Included observations: 47 after adjustments Convergence achieved after 8 iterations Covariance matrix computed using second derivatives Variable Coefficient Std. error z-statistic Prob. C Asset turnover Financial charge cover ratio 3.71E Conditional correlation with market Current ratio Debt-equity ratio DPS EPS Green NPM (%) RAR Retention ratio McFadden R-squared Mean dependent var S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Hannan Quinn criterion Deviance Restr. deviance Restr. log likelihood LR statistic Avg. log likelihood Prob (LR statistic) Obs with Dep = 0 30 Total obs 47 Obs with Dep = 1 17

4 92 Appendix Table A.2 (Part B) Expectation-prediction evaluation for binary specification Success cutoff: C = 0.5 Estimated equation Constant probability Dep = 0 Dep = 1 Total Dep = 0 Dep = 1 Total P(Dep = 1) <= C P(Dep = 1) > C Total Correct % correct % incorrect Total gain a Estimated equation Constant probability Dep = 0 Dep = 1 Total Dep = 0 Dep = 1 Total E(# of Dep = 0) E(# of Dep = 1) Total Correct % correct % incorrect Total gain a Percent gain b a Change in % Correct from default (constant probability) specification b Percent of incorrect (default) prediction corrected by equation

5 Appendix 93 Table A.3 (Part A) General buy and sell strategy for 100 % green portfolio C R-squared 0 Mean dependent var Adjusted R-squared 0 S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood 2, Hannan Quinn criterion Durbin Watson statistic Table A.3 (Part B) Trading strategy for 100 % green portfolio C BUY3060( 1) R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood 1, Hannan Quinn criterion F-statistic Durbin Watson statistic Prob (F-statistic)

6 94 Appendix Table A.4 (Part A) General buy and sell strategy for 25 % green portfolio C R-squared 0 Mean dependent var Adjusted R-squared 0 S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood 2, Hannan Quinn criterion Table A.4 (Part B) Trading rule for 25 % green portfolio C BUY150200( 1) R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood 1, Hannan Quinn criterion F-statistic Durbin Watson statistic Prob (F-statistic)

7 Appendix 95 Table A.5 (Part A) General buy and sell strategy for 50 % green portfolio C R-squared 0 Mean dependent var Adjusted R-squared 0 S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood 2, Hannan Quinn criterion Durbin Watson statistic Table A.5 (Part B) Trading rule for 50 % green portfolio C BUY150270( 1) R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood 1, Hannan Quinn criterion F-statistic Durbin Watson statistic Prob (F-statistic)

8 96 Appendix Table A.6 (Part A) General buy and sell strategy for 75 % green portfolio C 5.00E R-squared 0 Mean dependent var 5.00E-05 Adjusted R-squared 0 S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood 2, Hannan Quinn criterion Durbin Watson statistic Table A.6 (Part B) Trading rule for 75 % green portfolio C BUY150270( 1) R-squared Mean dependent var 9.68E-05 Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood 1, Hannan Quinn criterion F-statistic Durbin Watson statistic Prob (F-statistic)

9 Appendix 97 Table A.7 (Part A) General buy and sell strategy for 100 % gray portfolio C R-squared 0 Mean dependent var Adjusted R-squared 0 S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood 2, Hannan Quinn criterion Durbin Watson statistic Table A.7 (Part B) Trading rule for 100 % gray portfolio C BUY21270( 1) R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood 1, Hannan Quinn criterion F-statistic Durbin Watson statistic Prob (F-statistic)

10 98 Appendix Table A.8 Coefficients of all possible trading rules: 100 % green

11 Appendix 99 Table A.9 Coefficients of all possible trading rules: 75 % green

12 100 Appendix Table A.10 Coefficients of all possible trading rules: 50 % green

13 Appendix 101 Table A.11 Coefficients of all possible trading rules: 25 % green

14 102 Appendix Table A.12 Coefficients of all possible trading rules: 100 % gray