I hope you are well and that you are keeping safe.
I was hoping you would be able to help me with an interpretation of a coefficient in my dissertation. I'm looking into the effects of air pollution on stock market returns, as it can have adverse health effects which reduce investor sentiment. I have estimated the following equation:
where $R_t$: daily percentage returns (in %)
If the coefficient of PM2.5 is -0.00113, which of my following interpretations is correct:
one unit increase in PM2.5 leads to a -0.00113-percentage point reduction in daily returns
one unit increase in PM2.5 leads to a -0.113% reduction in daily percentage returns
if Pm2.5 were logged a 1% increase would lead to a -0.113-percentage point reduction in returns
**using original pm2.5 values
My apologies if this sounds a bit silly, a lot of different papers have been giving me conflicting answers.