System GMM
| (1) | (2) | (3) | |
|---|---|---|---|
| Variables | GMM-ESG (Collapsed) | GMM-E-S-G (Robust) | Diff-GMM (Robustness) |
| Full sample | ROA | ROA | |
| ESG | 0.010*** | 0.009*** | |
| (0.021) | (0.019) | ||
| Env | 0.020*** | – | |
| (0.031) | – | ||
| Soc | 0.017*** | – | |
| (0.035) | – | ||
| Gov | 0.013** | – | |
| (0.024) | – | ||
| L.ROA | 0.235*** | 0.248*** | 0.221*** |
| (0.485) | (0.341) | (0.402) | |
| Controls | YES | YES | YES |
| Constant | −0.162* | −0.185* | −0.042 |
| (0.006) | (0.008) | (0.089) | |
| AR (1) (p-value) | 0.077 | 0.082 | 0.085 |
| AR (2) (p-value) | 0.732 | 0.566 | 0.701 |
| Hansen (p-value) | 0.722 | 0.874 | 0.815 |
| Sargan test (Prob > Chi2) | 0.903 | 0.70 | |
| Hansen test | 0.722 | 0.874 |
| (1) | (2) | (3) | |
|---|---|---|---|
| Variables | GMM-ESG (Collapsed) | GMM-E-S-G (Robust) | Diff-GMM (Robustness) |
| Full sample | ROA | ROA | |
| ESG | 0.010*** | 0.009*** | |
| (0.021) | (0.019) | ||
| Env | 0.020*** | – | |
| (0.031) | – | ||
| Soc | 0.017*** | – | |
| (0.035) | – | ||
| Gov | 0.013** | – | |
| (0.024) | – | ||
| L.ROA | 0.235*** | 0.248*** | 0.221*** |
| (0.485) | (0.341) | (0.402) | |
| Controls | YES | YES | YES |
| Constant | −0.162* | −0.185* | −0.042 |
| (0.006) | (0.008) | (0.089) | |
| AR (1) ( | 0.077 | 0.082 | 0.085 |
| AR (2) ( | 0.732 | 0.566 | 0.701 |
| Hansen ( | 0.722 | 0.874 | 0.815 |
| Sargan test (Prob > Chi2) | 0.903 | 0.70 | |
| Hansen test | 0.722 | 0.874 |
Note(s): This table reports dynamic panel estimates using System GMM and Difference GMM to assess the impact of ESG and its components on ROA. Models account for potential endogeneity with lagged dependent variables and include firm-level controls. Standard errors are robust to heteroskedasticity. Diagnostic tests (AR (1), AR (2), Hansen, and Sargan) confirm instrument validity and model specification. ***, **, and * indicate significance at the 1%, 5%, and 10% levels, respectively