Hi,

I have made a diff-in-diff model for the returns of high rated ESG firms vs. low. This model include multiple periods (one treatment group).
ESG firms (Top S = high ESG = 1)
Periods: Before, Crash and Recovery (all dummy variables)
Control variables: different financial performance measures (the same for each firm during the whole period)
I have adjusted for sectors.

I have run the following regressions (the Not20_S!=1 is for taking it relative to the bottom ESG)
xtreg RawReturn Top20_S Crash Recovery 1.Top20_S#1.Crash 1.Top20_S#1.Recovery i.GICSectors LN_assets Leverage Liquidity MBV ROA if Not20_S != 1, vce(cluster CompanyNo)

xtreg RawReturn Top20_S Crash Recovery 1.Top20_S#1.Crash 1.Top20_S#1.Recovery i.GICSectors LN_assets Leverage Liquidity MBV ROA if Not20_S!= 1, fe vce(cluster CompanyNo)

I have the following output but am not sure how to interpret it. I have tried below, and in the table. Please let me know if it is correct.

Array
Array

Constant is the average return in the period before the Crash (and recovery) and for the bottom ESG

Top20_S is the average return for the top ESG before the crash (and recovery) relative to the bottom ESG (extra return), i.e., the extra effect of being high ESG before

Crash is the average return of the bottom ESG during the crash relative to before

Recovery is the average return for the bottom ESG during the recovery relative to the period before the crash (not relative to the crash)

Top20_S#Crash is the average return of top ESG during the crash (i.e., relative to before the crash) relative to the bottom ESG

Top20_S#Recovery is the average return of top ESG during the recovery (i.e., relative to before the crash not to the crash) relative to the bottom ESG

Are the interpretations of the five coefficients above correct? And is the following table correctly set up?

Array

Furthermore, as I understand it you do not normally show (or comment) on your control variables or industries, is that correct?


Thank you very much in advance!

Best,
Freja