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 7.507594 2.659024 2.823439 0.0048 Asset turnover 0.266978 0.212592 1.255823 0.2092 Financial charge cover ratio 0.000545 0.000386 1.413019 0.1577 Conditional correlation with market 0.475697 6.741296 0.070565 0.9437 Current ratio 0.736209 0.329633 2.233423 0.0255 Debt-equity ratio 0.003866 0.008454 0.457288 0.6475 DPS 0.043960 0.027033 1.626167 0.1039 EPS growth 0.005130 0.011096 0.462358 0.6438 Green 1.85942 0.845388 2.19948 0.0278 NPM (%) 0.284073 0.091929 3.090133 0.0020 RAR 0.588333 0.606710 0.969711 0.3322 Retention ratio 0.065239 0.026809 2.433488 0.0150 McFadden R-squared 0.503664 Mean dependent var 0.531915 S.D. dependent var 0.504375 S.E. of regression 0.384303 Akaike info criterion 1.196683 Sum squared resid 5.169107 Schwarz criterion 1.669061 Log likelihood 16.12204 Hannan Quinn criterion 1.374442 Deviance 32.24409 Restr. deviance 64.96422 Restr. log likelihood 32.48211 LR statistic 32.72013 Avg. log likelihood 0.343022 Prob (LR statistic) 0.000584 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 10.1007/978-81-322-2026-8 89
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 19 4 23 0 0 0 P(Dep = 1) > C 3 21 24 22 25 47 Total 22 25 47 22 25 47 Correct 19 21 40 0 25 25 % correct 86.36 84.00 85.11 0.00 100.00 53.19 % incorrect 13.64 16.00 14.89 100.00 0.00 46.81 Total gain a 86.36 16.00 31.91 Percent gain b 86.36 NA 68.18 Estimated equation Constant probability Dep = 0 Dep = 1 Total Dep = 0 Dep = 1 Total E(# of Dep = 0) 17.03 5.22 22.25 10.30 11.70 22.00 E(# of Dep = 1) 4.97 19.78 24.75 11.70 13.30 25.00 Total 22.00 25.00 47.00 22.00 25.00 47.00 Correct 17.03 19.78 36.81 10.30 13.30 23.60 % correct 77.42 79.12 78.32 46.81 53.19 50.20 % incorrect 22.58 20.88 21.68 53.19 46.81 49.80 Total gain a 30.61 25.93 28.12 Percent gain b 57.54 55.40 56.47 a Change in % Correct from default (constant probability) specification b Percent of incorrect (default) prediction corrected by equation
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 0.681962 2.006131 0.339939 0.7339 Asset turnover 0.126999 0.171827 0.739108 0.4598 Financial charge cover ratio 3.71E-05 0.000335 0.110754 0.9118 Conditional correlation with market 11.95253 4.405112 2.709751 0.0120 Current ratio 0.460842 0.229540 2.007680 0.0447 Debt-equity ratio 0.045549 0.050002 0.910953 0.3623 DPS 0.017464 0.026240 0.665567 0.5057 EPS 0.003384 0.007230 0.468042 0.6398 Green 1.86978 0.845388 2.19948 0.0278 NPM (%) 0.054029 0.046926 1.151362 0.2496 RAR 1.241923 9.059794 0.137081 0.8910 Retention ratio 0.003531 0.019701 0.179250 0.8577 McFadden R-squared 0.302974 Mean dependent var 0.361702 S.D. dependent var 0.485688 S.E. of regression 0.446710 Akaike info criterion 1.422894 Sum squared resid 6.984250 Schwarz criterion 1.895272 Log likelihood 21.43801 Hannan Quinn criterion 1.600653 Deviance 42.87603 Restr. deviance 61.51278 Restr. log likelihood 30.75639 LR statistic 18.63675 Avg. log likelihood 0.456128 Prob (LR statistic) 0.067934 Obs with Dep = 0 30 Total obs 47 Obs with Dep = 1 17
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 27 8 35 30 17 47 P(Dep = 1) > C 3 9 12 0 0 0 Total 30 17 47 30 17 47 Correct 27 9 36 30 0 30 % correct 90.00 52.94 76.60 100.00 0.00 63.83 % incorrect 10.00 47.06 23.40 0.00 100.00 36.17 Total gain a 10.00 52.94 12.77 Estimated equation Constant probability Dep = 0 Dep = 1 Total Dep = 0 Dep = 1 Total E(# of Dep = 0) 23.09 7.26 30.35 19.15 10.85 30.00 E(# of Dep = 1) 6.91 9.74 16.65 10.85 6.15 17.00 Total 30.00 17.00 47.00 30.00 17.00 47.00 Correct 23.09 9.74 32.83 19.15 6.15 25.30 % correct 76.96 57.27 69.84 63.83 36.17 53.83 % incorrect 23.04 42.73 30.16 36.17 63.83 46.17 Total gain a 13.13 21.10 16.02 Percent gain b 36.31 33.06 34.69 a Change in % Correct from default (constant probability) specification b Percent of incorrect (default) prediction corrected by equation
Appendix 93 Table A.3 (Part A) General buy and sell strategy for 100 % green portfolio C 0.012214 0.000461 26.52174 0 R-squared 0 Mean dependent var 0.012214 Adjusted R-squared 0 S.D. dependent var 0.012201 S.E. of regression 0.012201 Akaike info criterion 5.9731 Sum squared resid 0.104362 Schwarz criterion 5.96661 Log likelihood 2,097.558 Hannan Quinn criterion 5.97059 Durbin Watson statistic 1.737959 Table A.3 (Part B) Trading strategy for 100 % green portfolio C 0.010284 0.000701 14.66988 0 BUY3060( 1) 0.0036 0.000987 3.647869 0.0003 R-squared 0.020369 Mean dependent var 0.012101 Adjusted R-squared 0.018838 S.D. dependent var 0.012621 S.E. of regression 0.012502 Akaike info criterion 5.9228 Sum squared resid 0.100026 Schwarz criterion 5.9089 Log likelihood 1,903.22 Hannan Quinn criterion 5.91741 F-statistic 13.30695 Durbin Watson statistic 1.781974 Prob (F-statistic) 0.000286
94 Appendix Table A.4 (Part A) General buy and sell strategy for 25 % green portfolio C 0.000574 0.000223 2.573593 0.0103 R-squared 0 Mean dependent var 0.000574 Adjusted R-squared 0 S.D. dependent var 0.005906 S.E. of regression 0.005906 Akaike info criterion 7.424322 Sum squared resid 0.02445 Schwarz criterion 7.417835 Log likelihood 2,606.937 Hannan Quinn criterion 7.421815 Table A.4 (Part B) Trading rule for 25 % green portfolio C 0.000155 0.000382 0.406533 0.6845 BUY150200( 1) 0.00085 0.000553 1.536426 0.1251 R-squared 0.004699 Mean dependent var 0.000562 Adjusted R-squared 0.002708 S.D. dependent var 0.0062 S.E. of regression 0.006191 Akaike info criterion 7.327388 Sum squared resid 0.019166 Schwarz criterion 7.310581 Log likelihood 1,841.174 Hannan Quinn criterion 7.320794 F-statistic 2.360605 Durbin Watson statistic 2.097381 Prob (F-statistic) 0.125066
Appendix 95 Table A.5 (Part A) General buy and sell strategy for 50 % green portfolio C 0.000543 0.000239 2.273588 0.0233 R-squared 0 Mean dependent var 0.000543 Adjusted R-squared 0 S.D. dependent var 0.006328 S.E. of regression 0.006328 Akaike info criterion 7.286211 Sum squared resid 0.028071 Schwarz criterion 7.279724 Log likelihood 2,558.46 Hannan Quinn criterion 7.283704 Durbin Watson statistic 2.275404 Table A.5 (Part B) Trading rule for 50 % green portfolio C 0.000293 0.000368 0.79541 0.4268 BUY150270( 1) 0.000918 0.000708 1.297469 0.1952 R-squared 0.0039 Mean dependent var 0.000542 Adjusted R-squared 0.001583 S.D. dependent var 0.00654 S.E. of regression 0.006535 Akaike info criterion 7.21862 Sum squared resid 0.018365 Schwarz criterion 7.199785 Log likelihood 1,561.222 Hannan Quinn criterion 7.211184 F-statistic 1.683426 Durbin Watson statistic 2.272725 Prob (F-statistic) 0.195165
96 Appendix Table A.6 (Part A) General buy and sell strategy for 75 % green portfolio C 5.00E-05 0.000257 0.19456 0.8458 R-squared 0 Mean dependent var 5.00E-05 Adjusted R-squared 0 S.D. dependent var 0.006813 S.E. of regression 0.006813 Akaike info criterion 7.138561 Sum squared resid 0.032538 Schwarz criterion 7.132074 Log likelihood 2,506.635 Hannan Quinn criterion 7.136054 Durbin Watson statistic 2.263722 Table A.6 (Part B) Trading rule for 75 % green portfolio C 0.0002 0.0004 0.4417 0.6589 BUY150270( 1) 0.0010 0.0007 1.3288 0.1846 R-squared 0.00409 Mean dependent var 9.68E-05 Adjusted R-squared 0.001774 S.D. dependent var 0.006884 S.E. of regression 0.006877 Akaike info criterion 7.116521 Sum squared resid 0.020339 Schwarz criterion 7.097686 Log likelihood 1,539.169 Hannan Quinn criterion 7.109085 F-statistic 1.765794 Durbin Watson statistic 2.327136 Prob (F-statistic) 0.184608
Appendix 97 Table A.7 (Part A) General buy and sell strategy for 100 % gray portfolio C 0.00015 0.000295 0.49628 0.6198 R-squared 0 Mean dependent var 0.00015 Adjusted R-squared 0 S.D. dependent var 0.007828 S.E. of regression 0.007828 Akaike info criterion 6.86086 Sum squared resid 0.042953 Schwarz criterion 6.85437 Log likelihood 2,409.161 Hannan Quinn criterion 6.85835 Durbin Watson statistic 1.536893 Table A.7 (Part B) Trading rule for 100 % gray portfolio C 0.00104 0.000465 2.23622 0.0258 BUY21270( 1) 0.00136 0.000825 1.648742 0.0999 R-squared 0.006282 Mean dependent var 0.00061 Adjusted R-squared 0.003971 S.D. dependent var 0.007994 S.E. of regression 0.007978 Akaike info criterion 6.81953 Sum squared resid 0.027372 Schwarz criterion 6.80069 Log likelihood 1,475.017 Hannan Quinn criterion 6.81209 F-statistic 2.71835 Durbin Watson statistic 1.561883 Prob (F-statistic) 0.099931
98 Appendix Table A.8 Coefficients of all possible trading rules: 100 % green 7 14 21 30 60 100 150 200 270 3 0.000791 0.000618 0.001601 0.001762 0.002769 0.003375 0.002659 0.002907 0.002894 7 0.000599 0.001261 0.00184 0.002637 0.003143 0.002333 0.003166 0.003237 14 0.002114 0.002378 0.003518 0.003716 0.003009 0.003013 0.003481 21 0.002861 0.003443 0.003499 0.00239 0.002637 0.003233 30 0.0036 0.002639 0.00256 0.00235 0.00297 60 0.001623 0.002706 0.001739 0.001739 100 0.003443 0.002741 0.002682 150 0.001657 0.001396 200 0.001453
Appendix 99 Table A.9 Coefficients of all possible trading rules: 75 % green 7 14 21 30 60 100 150 200 270 3 0.00016 0.00021 0.00042 0.00035 0.00032 0.00028 0.00029 0.00058 0.00063 7 0.00071 0.00088 0.00091 0.00060 0.00070 0.00066 0.00072 0.00007 14 0.00088 0.00067 0.00094 0.00051 0.00050 0.00065 0.00047 21 0.00017 0.00011 0.00029 0.00040 0.00070 0.00051 30 0.00032 0.00003 0.00048 0.00052 0.00028 60 0.00039 0.00023 0.00069 0.00051 100 0.00013 0.00016 0.00012 150 0.00085 0.00056 200 0.00001
100 Appendix Table A.10 Coefficients of all possible trading rules: 50 % green 7 14 21 30 60 100 150 200 270 3 0.00028 0.00046 0.00075 0.00054 0.00034 0.00035 0.00043 0.00048 0.00092 7 0.00108 0.00106 0.00080 0.00074 0.00065 0.00072 0.00048 0.00020 14 0.00115 0.00056 0.00080 0.00049 0.00058 0.00061 0.00057 21 0.00061 0.00018 0.00026 0.00024 0.00079 0.00025 30 0.00061 0.00018 0.00036 0.00050 0.00015 60 0.00029 0.00020 0.00056 0.00030 100 0.00012 0.00040 0.00025 150 0.00090 0.00092 200 0.00006
Appendix 101 Table A.11 Coefficients of all possible trading rules: 25 % green 7 14 21 30 60 100 150 200 270 3 0.00036 0.00014 0.00058 0.00031 0.00014 0.00011 0.00008 0.00005 0.00001 7 0.00043 0.00020 0.00029 0.00003 0.00016 0.00018 0.00016 0.00083 14 0.00093 0.00011 0.00063 0.00019 0.00043 0.00030 0.00014 21 0.00011 0.00004 0.00016 0.00005 0.00037 0.00007 30 0.00036 0.00001 0.00005 0.00028 0.00016 60 0.00023 0.00032 0.00090 0.00041 100 0.00009 0.00021 0.00020 150 0.00079 0.00099 200 0.00032
102 Appendix Table A.12 Coefficients of all possible trading rules: 100 % gray 7 14 21 30 60 100 150 200 270 3 0.00019 0.00046 0.00022 0.00015 0.00012 0.00011 0.00004 0.00024 0.00035 7 0.00014 0.00004 0.00032 0.00022 0.00036 0.00011 0.00004 0.00029 14 0.00012 0.00036 0.00020 0.00005 0.00024 0.00014 0.00022 21 0.00013 0.00061 0.00067 0.00071 0.00095 0.00136 30 0.00064 0.00032 0.00086 0.00054 0.00088 60 0.00104 0.00037 0.00013 0.00065 100 0.00026 0.00030 0.00036 150 0.00045 0.00112 200 0.00021