Hello everyone.
I am asking for your help in interpreting my results. I am currently using a panel dataset wherein I am testing the effect on our DEPENDENT variable StockReturn from the INDEPENDENT variable ESG (rating) and we've also included CONTROL variables such as EPS, ROE, ROA FirmSize, and Profitability. Our dataset involves 5 countries from the ASEAN region, and we have a total of 765 observations spread across a 5 year period (2016-2020). Our preferred method was to use a Fixed Effects model given that we have a panel dataset and from performing a Hausman Test. I am unsure about our initial results as my independent variable (ESG) came out insignificant and 2 control variables (EPS, ROE) also came out insignificant. All the other variables that were included however did come out significant. Another problem that arose was when I tested for Random Effects, the coefficients remained the same for some variables if compared to the Fixed Effects model.
I will be attaching my dataset here for your reference in seeing the format of my data. I will also include my DO file to show the commands I tried executing.
I thank you in advance.
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