Note(s): This table presents the summary statistics of the variables used in this empirical study, including the number of observations, mean, standard deviation, 25th percentile (p25), median (p50), and 75th percentile (p75). 3-year Beta represents the stock's sensitivity to market movements over a rolling three-year period, while 5-year Beta is calculated similarly over a five-year window. Betas are Refinitiv Eikon–reported OLS slopes of firm returns on the firm's country benchmark index; the 3-year measures use weekly returns over the trailing three years, and the 5-year measures use monthly returns over the trailing five years, both ending in December 2023. “Beta+” (“Beta–”) is the conditional beta estimated using only up-market (down-market) observations within the same window. ESG Score is a firm-level measure of environmental, social, and governance (ESG) performance, sourced from Refinitiv Eikon. Environmental, Social, and Governance Pillar Scores (Envir. Pil. Score, Social Pil. Score, and Gover. Pil. Score) provide subcategory-level ESG insights. ROA (Return on Assets) measures a company's profitability relative to total assets. Employees indicate firm size based on the number of employees. Quick Ratio assesses a company's short-term liquidity. Debt-to-Equity Ratio measures leverage. Price-to-Book Ratio captures firm valuation. Company Age (log) is the natural logarithm of the company's age. Free Float represents the percentage of shares available for trading. Cash (% Assets) is the proportion of total assets held as cash. Market Cap (log) is the natural logarithm of market capitalization. R&D (% Assets) reflects research and development expenditures relative to total assets. All financial and firm-level data were extracted from the Refinitiv Eikon database. Betas were obtained in December 2023, while ESG scores and other fundamental variables correspond to the most recent available year for each firm