Page 49 - CITN 2017 Journal

The fourth model which estimates the unobserved industry characteristics with the
inclusion of dummy variable I is expressed below;

SMP = β + β BVS + β EPS + β ENVS + β I + β5(I ENVS )
i,t 0 1 i, t 2 i, t 3 i,t 4 i,t i,t * i,t
+ε ...............(4)
i,t
Table 5: Panel data regression results 1
Model 3 Model 4
Variable B Std. Error B t Sig B Std. Error B t Sig
Constant ß0 3.819 1.383 2.761 .006 2.039 1.679 1.215 .225
BVS 1.265 .079 .540 15.922 .000 1.208 .077 .515 15.618 .000
EPS 3.471 .317 .363 10.948 .000 3.295 .311 .344 10.595 .000
ENVS -.019 .018 -.034 -1.059 .290 -.014 .021 -.025 -.638 .524
Iit 5.483 2.800 .288 1.958 .051
IitENVSit -.025 .035 -.110 -.728 .467

R .744 a .765 a
R2 .553 .585
Adjusted R2 .550 .581
Standard error estimate 6.393 6.170
P >0.05, *P>0.10 the t-statistic is one-tailed

The result of the regression for model 3 provides the explanatory equation expressed
below;
SMP = 3.819 + 1.265BVS + 3.471EPS - 0.019ENVS i,t
i,t
i, t
i, t
It can be seen that from the p value on 95% confidence interval that all the variables in the
regression contribute to the model except the ENVS. Therefore, the Null Hypothesis has to
be accepted. This means that the ENVS is not relevant to the explanatory model for the
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dependent variable market price. According to the Adjusted R value, 55% of the variations
in SMP can be explained by the model which includes BVS, EPS and ENVS. Therefore,
the finding indicates that the environmental performance measure does not contain
information that is value-relevant to investors as expected in the study. The deduction from
the statistical analysis is that the market and investors does not value environmental
performance information in estimating share price of companies.

For the fourth model the explanatory equation is;
SMP = 2.039 + 1.208BVS + 3.295EPS - 0.14ENVS + 5.483I +0.025(I ENVS )
i,t i, t i, t i,t i,t i,t i,t
+ε (4)
i,t……………………………………………..
The relevance of environmental performance information is company specific thus the
inclusion of industry dummy variable I The coefficient for variable I , is not significant at
i,t,.
i,t
P > 0.05 but its significant at P>0.10. Based on the former the results show that there are no
unexplained systematic variation between the two industry classifications; However, the
latter (P> 0.10) would show that there are unobserved differences in the two industry
classifications. At P > 0.10 the coefficient of I is significantly positive. The coefficient for
i,t
interaction, I EP , is negative but insignificant at 5% and 10% level of significance. The
i,t
i,t
2
2
increases in R and adjusted R to0.585 and 0.581 respectively, shows that the Industry
variables I and I EP are relevant to our model.
i,t i,t i,t
The results disputes the claims of Barth and McNichols (1994), Hughes (2000) and
Clarkson et al. (2004) that non-financial indicators of environmental performance have an
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