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Corporate social responsibility fulfilment, product-market competition and debt risk: Evidence from China

Chen Hong
Chen Hong
, 
Peng Xuefei
Peng Xuefei
 oraz 
Chen Caiyun
Chen Caiyun
   | 31 mar 2022
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Data publikacji: 31 mar 2022
Zakres stron: 757 - 772
Otrzymano: 13 lip 2021
Przyjęty: 06 gru 2021
DOI: https://doi.org/10.2478/amns.2021.2.00163
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© 2021 Chen Hong et al., published by Sciendo
This work is licensed under the Creative Commons Attribution 4.0 International License.

Dynamic test (Z.score is negative)

Variables ΔZ_scoret+1 ΔZ_scoret ΔO_scoret+1 ΔO_scoret
(1) (2) (3) (4)
ΔCSRt+1 −0.0131*** (−4.40) 0.0017 (0.59) −0.0208*** (−18.17) −0.0007 (−0.73)
ΔCSRt −0.0163*** (−5.27) −0.0061*** (−5.13)
ΔSize 0.9445*** (5.55) 3.1999*** (18.70) −0.0751 (−1.15) 2.0405*** (33.96)
ΔROA 3.1905*** (3.69) −16.2485*** (−19.27) 5.6848*** (17.16) −15.4860*** (−52.30)
ΔAge 0.3425 (0.43) −1.3515* (−1.69) −0.0981 (−0.32) −0.1314 (−0.47)
ΔVCF 0.6081 (0.45) −2.8218** (−2.09) 0.2477 (0.48) −0.9724** (−2.05)
Δoverhead 12.4276*** (4.08) −7.0720** (−2.31) 4.4970*** (3.85) −10.6482*** (−9.90)
ΔNDTS −10.4221 (−1.44) −13.0303* (−1.79) 3.2840 (1.18) −26.0014*** (−10.15)
ΔMTB 0.0874*** (4.09) −0.4907*** (−22.85) −0.0156* (−1.90) 0.1604*** (21.28)
ΔDiv −0.0005 (−0.01) −0.2662*** (−2.72) 0.1689*** (4.49) −0.3473*** (−10.10)
ΔPPE −0.4916 (−0.75) 5.2796*** (7.98) 0.0463 (0.18) 3.4835*** (14.99)
ΔLncon −3.5143*** (−4.52) −6.5829*** (−8.42) −0.8265*** (−2.77) −3.6601*** (−13.33)
ΔGrowth −0.0156 (−0.23) 0.4864*** (7.23) −0.0286 (−1.12) −0.3487*** (−14.77)
ΔRET −1.1422 (−1.17) −18.2114*** (−18.52) −1.1966*** (−3.19) −2.1178*** (−6.13)
ΔIndratio −0.6330 (−0.57) 0.8220 (0.74) −0.2544 (−0.60) 0.2334 (0.60)
ΔDuality 0.1502 (1.07) −0.1674 (−1.18) −0.0247 (−0.46) −0.0028 (−0.06)
Constant −0.3142 (−0.36) 1.4759* (1.68) 0.2355 (0.71) 0.1100 (0.36)
Year/industry Yes Yes Yes Yes
N 17164 17164 17164 17164
r2 0.0872 0.2325 0.0528 0.2586
Adj-R2 0.0850 0.2306 0.0504 0.2568

PSM (Z.score is negative)

Variables Z_score O_score
(1) (2)
CSR −0.0166*** (−2.99) −0.0093*** (−3.79)
Controls Yes Yes
Constant −46.7106*** (−23.97) −28.4039*** (−33.11)
Year/Industry Yes Yes
N 8599 8599
r2 0.3815 0.3802
Adj-R2 0.3783 0.3771

Variable definitions

Variables classification Variable names Variable definitions
Explained variables FDR Z_score as calculated in model 2.
O_score as calculated in model 3.
Explanatory variables CSR CSR score is obtained from the CSR reports of listed companies published in Hexun.
Control variables Size Natural logarithm of total assets at the end of the year.
ROA ROA is equal to pretax operating income divided by total assets.
Age Age is equal to inspection year minus listing year.
VCF Three year volatility of the ratio of cash flow to total assets at the end of the year.
Overhead Overhead is the management expense that happened during the current year divided by total assets.
NDTS NDTS is the ratio of current year depreciation and amortisation to total assets.
MTB MTB is the growth rate of firms, and it is the ratio of the market value of equity at the end of the year to the book value of equity at the end of the year.
Div Div represents weather the enterprise has had dividend payouts in the current year; if yes it takes the value of 1 and 0 otherwise.
PPE The ratio of total noncurrent assets to total assets.
Lncon Lncon is the combined shareholding of the top five shareholders.
Growth Growth is the growth rate of operating income that equals change in sales revenue of the current year compared to the previous year, and then divided by the previous year’s operating income.
RET RET is the firm’s average monthly stock return during the year.
Indratio The proportion of independent directors to the total number of directors.
Duality Duality is a dummy variable that equals 1 if chairman and the general manager are in one position and 0 otherwise.

CSR fulfilment and debt risk, the moderating effect of product-market competition (Z.score and HHI are negative)

Variables Z_score O_score
(1) (2) (3) (4) (5) (6)
CSR −0.0169*** (−4.66) −0.0099*** (−2.73) −0.0164*** (−3.99) −0.0398*** (−25.38) −0.0073*** (−4.61) −0.0103*** (−5.70)
HHI 14.6110*** (10.46) 4.2472*** (6.93)
CSR*HHI −0.0911*** (−3.02) −0.0435*** (−3.28)
Size 2.0913*** (41.76) 2.0756*** (41.54) 0.8739*** (39.86) 0.8697*** (39.68)
ROA −36.6600*** (−35.63) −36.1459*** (−35.19) −26.9191*** (−59.76) −26.7790*** (−59.45)
Age 0.0488*** (5.77) 0.0522*** (6.19) 0.0215*** (5.82) 0.0225*** (6.08)
VCF 10.7848*** (8.71) 10.7521*** (8.71) −0.5821 (−1.07) −0.5788 (−1.07)
Overhead 4.3665** (2.15) 5.8658*** (2.89) −16.1690*** (−18.21) −15.7934*** (−17.77)
NDTS 15.1886*** (3.21) 14.8717*** (3.15) −20.6733*** (−9.99) −20.8409*** (−10.08)
MTB −0.6836*** (−33.75) −0.6920*** (−34.21) 0.2599*** (29.32) 0.2581*** (29.10)
Div −0.2356* (−1.81) −0.2202* (−1.70) −0.3078*** (−5.41) −0.3027*** (−5.33)
PPE 4.1707*** (8.84) 4.1867*** (8.90) 3.7310*** (18.06) 3.7347*** (18.10)
Lncon −4.8438*** (−14.28) −4.6771*** (−13.81) −2.7487*** (−18.51) −2.7058*** (−18.22)
Growth 1.3257*** (12.81) 1.3227*** (12.82) 0.2641*** (5.83) 0.2626*** (5.80)
RET −12.8841*** (−7.89) −11.9855*** (−7.35) −1.9071*** (−2.67) −1.6842** (−2.35)
Indratio −4.2738*** (−4.95) −4.3505*** (−5.05) −0.7872** (−2.08) −0.8201** (−2.17)
Duality −0.5299*** (−4.84) −0.5266*** (−4.82) 0.0088 (0.18) 0.0095 (0.20)
Constant −7.2702*** (−14.07) −46.4121*** (−39.28) −44.2865*** (−37.10) −10.0410*** (−44.92) −28.1203*** (−54.36) −27.5263*** (−52.57)
Year/Industry Yes Yes Yes Yes Yes Yes
N 23660 23660 23659 23660 23660 23659
Adj-R2 0.0977 0.3779 0.3813 0.1443 0.3960 0.3972
F 86.4271 327.5768 318.0266 133.9788 353.5853 339.8737

Dimensions of CSR and debt risk (Z.score is negative)

Variables Z_score
(1) (2) (3) (4)
ShareholderR −0.0775*** (−4.90) −0.0738*** (−4.58)
EmployeeR −0.0463*** (−2.79) −0.0643** (−2.46)
ExternalR −0.0067 (−1.38) 0.0121 (1.58)
Controls Yes Yes Yes Yes
Constant −46.1237*** (−39.79) −46.5026*** (−39.17) −46.0650*** (−39.11) −46.5855*** (−39.24)
Year/Industry Yes Yes Yes Yes
N 23660 23660 23660 23660
Adj-R2 0.3783 0.3779 0.3777 0.3784
F 328.1829 327.5895 327.3737 314.1067

Regression results of independent variable lag for one period (Z.score is negative)

Variables Z_score O_score
(1) (2)
CSRt−1 −0.0174*** (−4.82) −0.0095*** (−5.67)
Sizet−1 2.1373*** (39.83) 0.7652*** (30.88)
ROAt−1 −28.8522*** (−25.90) −19.5183*** (−37.95)
Aget−1 0.0127 (1.39) 0.0117*** (2.76)
VCFt−1 8.3963*** (6.47) −0.2604 (−0.43)
overheadt−1 0.6466 (0.31) −15.3937*** (−15.87)
NDTSt−1 12.3036** (2.43) −17.8428*** (−7.63)
MTBt−1 −0.4280*** (−20.11) 0.2122*** (21.59)
Divt−1 0.0453 (0.33) −0.1449** (−2.27)
PPEt−1 3.1000*** (6.15) 3.0327*** (13.04)
Lncont−1 −4.6787*** (−13.07) −2.7233*** (−16.48)
Growtht−1 0.9543*** (8.88) 0.2054*** (4.14)
RETt−1 −6.0977*** (−3.59) −3.2185*** (−4.10)
Indratiot−1 −4.6850*** (−5.11) −0.4761 (−1.12)
Dualityt−1 −0.4769*** (−4.09) 0.0440 (0.82)
Constant −46.6619*** (−37.39) −25.7190*** (−44.64)
Year/Industry Yes Yes
N 20363 20363
r2 0.3128 0.3038
Adj-R2 0.3114 0.3023

Grouping by product-market competition intensity (Z.score and HHI are negative)

Variables Z_score O_score
High competition level Low competition level High competition level Low competition level
(1) (2) (3) (4)
CSR −0.0236*** (−4.45) −0.0030 (−0.60) −0.0157*** (−6.55) −0.0001 (−0.02)
Controls Yes Yes Yes Yes
Constant −51.6314*** (−31.24) −43.2057*** (−28.27) −34.0105*** (−45.51) −26.3189*** (−39.05)
Year/Industry Yes Yes Yes Yes
N 11830 11829 11830 11829
r2 0.3654 0.3780 0.3770 0.3403
Adj-R2 0.3641 0.3767 0.3757 0.3390

Dimensions of CSR and debt risk O.score

Variables O_score
(1) (2) (3) (4)
ShareholderR −0.0775*** (−4.90) −0.0738*** (−4.58)
EmployeeR −0.0463*** (−2.79) −0.0643** (−2.46)
ExternalR −0.0067 (−1.38) 0.0121 (1.58)
Controls Yes Yes Yes Yes
Constant −27.8747*** (−54.94) −28.0681*** (−53.99) −27.9260*** (−54.14) −28.1411*** (−54.16)
Year/Industry Yes Yes Yes Yes
N 23,660 23,660 23,660 23,660
Adj-R2 0.3783 0.3779 0.3777 0.3784
F 328.1829 327.5895 327.3737 314.1067

Descriptive statistics

Variables N Minimum Mean p25 Median p75 Std. Dev Maximum
Z_score 23660 0.1785 6.7777 2.0313 3.7837 7.4065 8.8820 55.5422
O_score 23660 −27.3073 −11.5968 −13.3983 −10.7945 −8.8855 3.9466 −5.0486
CSR 23660 −3.1500 24.8365 16.5800 22.1300 27.8000 16.0305 74.5200
Size 23660 19.7510 22.1602 21.2268 21.9870 22.8968 1.2861 25.8845
ROA 23660 −0.2157 0.0394 0.0147 0.0368 0.0657 0.0557 0.1962
Age 23660 0.0000 10.0511 4.0000 9.0000 16.0000 7.0084 25.0000
VCF 23660 0.0022 0.0453 0.0189 0.0339 0.0586 0.0392 0.2164
Overhead 23660 0.0041 0.0447 0.0248 0.0394 0.0581 0.0282 0.1544
NDTS 23660 0.0007 0.0238 0.0119 0.0209 0.0325 0.0157 0.0763
MTB 23660 0.5996 3.5910 1.7365 2.6862 4.3403 3.0321 19.1986
Div 23660 0.0000 0.7555 1.0000 1.0000 1.0000 0.4298 1.0000
PPE 23660 0.0022 0.2186 0.0889 0.1845 0.3128 0.1656 0.7144
Lncon 23660 0.2021 0.5356 0.4230 0.5381 0.6489 0.1523 0.8804
Growth 23660 −0.5395 0.1967 −0.0090 0.1159 0.2795 0.4604 3.1335
RET 23660 −0.0686 0.0102 −0.0188 0.0052 0.0319 0.0421 0.1592
Indratio 23660 0.3333 0.3748 0.3333 0.3333 0.4286 0.0536 0.5714
Duality 23660 0.0000 0.2575 0.0000 0.0000 1.0000 0.4373 1.0000

Replacement of main variables (Z.score is negative)

Variables Adjusted by industry annual mean value
m_Z_score m_O_score
(1) (2)
m_CSR −0.0126*** (−3.49) −0.0090*** (−5.68)
Controls Yes Yes
Constant −40.0503*** (−33.60) −17.4561*** (−33.27)
Year/Industry Yes Yes
N 23660 23660
Adj-R2 0.3019 0.3023
eISSN:
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