Table 2 Correlation coefficients of the...

Table 2

Correlation coefficients of the variables used in the study

	Variable	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)	(10)
(1)	3-year Beta	1
(2)	3-year Beta+	0.6761*	1
(3)	3-year Beta-	0.5911*	0.3487*	1
(4)	5-year Beta	0.4739*	0.3359*	0.3689*	1
(5)	5-year Beta+	0.3965*	0.3456*	0.2907*	0.5994*	1
(6)	5-year Beta-	0.2798*	0.1829*	0.3120*	0.5138*	0.3599*	1
(7)	ESG Score	0.0967*	0.0841*	0.016	−0.0665*	−0.0077	−0.0559*	1
(8)	Envir. Pil. Score	0.0601*	0.0497*	0.0005	−0.0786*	−0.0282*	−0.0641*	0.8623*	1
(9)	Social Pil. Score	0.0954*	0.0873*	0.0224*	−0.0604*	−0.0015	−0.0581*	0.9019*	0.7451*	1
(10)	Gover. Pil. Score	0.0954*	0.0873*	0.0224*	−0.0604*	−0.0015	−0.0581*	0.9019*	0.7451*	1.0000*	1
(11)	ROA	−0.0877*	−0.0852*	−0.0571*	−0.0705*	−0.0980*	−0.0315*	0.1799*	0.2143*	0.1392*	0.1392*
(12)	Employees	0.0569*	0.0603*	0.0232*	−0.1063*	−0.0093	−0.0536*	0.4351*	0.4521*	0.3846*	0.3846*
(13)	Quick ratio	0.0315*	0.0250*	0.0255*	−0.0558*	0.008	0.0057	−0.1212*	−0.2037*	−0.0877*	−0.0877*
(14)	Debt to equity ratio	0.0180*	0.0503*	0.0381*	0.0179*	0.0785*	0.0816*	0.1297*	0.1484*	0.1089*	0.1089*
(15)	Price-to-book	0.0882*	0.1124*	0.0097	−0.0297*	−0.0142	−0.1015*	0.0194*	−0.0091	0.0246*	0.0246*
(16)	Company age (log)	−0.1128*	−0.1231*	−0.0769*	−0.1009*	−0.0806*	−0.0332*	0.1840*	0.2114*	0.1526*	0.1526*
(17)	Free Float	0.1729*	0.1874*	0.0730*	0.0418*	0.0967*	0.0453*	0.1792*	0.0878*	0.1701*	0.1701*
(18)	Cash (% Assets)	0.1157*	0.1265*	0.0594*	0.0457*	0.0672*	−0.0307*	−0.1393*	−0.1816*	−0.0906*	−0.0906*
(19)	Market Cap (log)	0.1330*	0.1500*	0.0077	−0.1729*	−0.0492*	−0.1507*	0.5752*	0.5843*	0.5011*	0.5011*
(20)	R&D (% Assets)	−0.0023	−0.0235*	−0.0003	−0.0214*	−0.0348*	0.0075	−0.1007*	−0.1227*	−0.0837*	−0.0837*

	Variable	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)	(10)
(1)	3-year Beta	1
(2)	3-year Beta+	0.6761*	1
(3)	3-year Beta-	0.5911*	0.3487*	1
(4)	5-year Beta	0.4739*	0.3359*	0.3689*	1
(5)	5-year Beta+	0.3965*	0.3456*	0.2907*	0.5994*	1
(6)	5-year Beta-	0.2798*	0.1829*	0.3120*	0.5138*	0.3599*	1
(7)	ESG Score	0.0967*	0.0841*	0.016	−0.0665*	−0.0077	−0.0559*	1
(8)	Envir. Pil. Score	0.0601*	0.0497*	0.0005	−0.0786*	−0.0282*	−0.0641*	0.8623*	1
(9)	Social Pil. Score	0.0954*	0.0873*	0.0224*	−0.0604*	−0.0015	−0.0581*	0.9019*	0.7451*	1
(10)	Gover. Pil. Score	0.0954*	0.0873*	0.0224*	−0.0604*	−0.0015	−0.0581*	0.9019*	0.7451*	1.0000*	1
(11)	ROA	−0.0877*	−0.0852*	−0.0571*	−0.0705*	−0.0980*	−0.0315*	0.1799*	0.2143*	0.1392*	0.1392*
(12)	Employees	0.0569*	0.0603*	0.0232*	−0.1063*	−0.0093	−0.0536*	0.4351*	0.4521*	0.3846*	0.3846*
(13)	Quick ratio	0.0315*	0.0250*	0.0255*	−0.0558*	0.008	0.0057	−0.1212*	−0.2037*	−0.0877*	−0.0877*
(14)	Debt to equity ratio	0.0180*	0.0503*	0.0381*	0.0179*	0.0785*	0.0816*	0.1297*	0.1484*	0.1089*	0.1089*
(15)	Price-to-book	0.0882*	0.1124*	0.0097	−0.0297*	−0.0142	−0.1015*	0.0194*	−0.0091	0.0246*	0.0246*
(16)	Company age (log)	−0.1128*	−0.1231*	−0.0769*	−0.1009*	−0.0806*	−0.0332*	0.1840*	0.2114*	0.1526*	0.1526*
(17)	Free Float	0.1729*	0.1874*	0.0730*	0.0418*	0.0967*	0.0453*	0.1792*	0.0878*	0.1701*	0.1701*
(18)	Cash (% Assets)	0.1157*	0.1265*	0.0594*	0.0457*	0.0672*	−0.0307*	−0.1393*	−0.1816*	−0.0906*	−0.0906*
(19)	Market Cap (log)	0.1330*	0.1500*	0.0077	−0.1729*	−0.0492*	−0.1507*	0.5752*	0.5843*	0.5011*	0.5011*
(20)	R&D (% Assets)	−0.0023	−0.0235*	−0.0003	−0.0214*	−0.0348*	0.0075	−0.1007*	−0.1227*	−0.0837*	−0.0837*

	Variable	(11)	(12)	(13)	(14)	(15)	(16)	(17)	(18)	(19)	(20)
(11)	ROA	1
(12)	Employees	0.0606*	1
(13)	Quick ratio	−0.1740*	−0.0822*	1
(14)	Debt to equity ratio	−0.1618*	0.1462*	0.011	1
(15)	Price-to-book	0.2503*	−0.0051	−0.0994*	0.0550*	1
(16)	Company age (log)	0.1554*	0.1482*	−0.0704*	−0.0108	−0.0417*	1
(17)	Free Float	−0.0903*	0.1361*	0.1059*	0.0317*	0.0058	−0.0455*	1
(18)	Cash (% Assets)	−0.1720*	−0.1063*	0.1450*	−0.1420*	0.1266*	−0.1056*	0.1287*	1
(19)	Market Cap (log)	0.2931*	0.5524*	−0.0268*	0.1217*	0.2332*	0.1413*	0.1946*	−0.1621*	1
(20)	R&D (% Assets)	−0.0827*	−0.0571*	0.1564*	−0.0332*	−0.0147	−0.0432*	0.0051	0.0794*	−0.1353*	1

	Variable	(11)	(12)	(13)	(14)	(15)	(16)	(17)	(18)	(19)	(20)
(11)	ROA	1
(12)	Employees	0.0606*	1
(13)	Quick ratio	−0.1740*	−0.0822*	1
(14)	Debt to equity ratio	−0.1618*	0.1462*	0.011	1
(15)	Price-to-book	0.2503*	−0.0051	−0.0994*	0.0550*	1
(16)	Company age (log)	0.1554*	0.1482*	−0.0704*	−0.0108	−0.0417*	1
(17)	Free Float	−0.0903*	0.1361*	0.1059*	0.0317*	0.0058	−0.0455*	1
(18)	Cash (% Assets)	−0.1720*	−0.1063*	0.1450*	−0.1420*	0.1266*	−0.1056*	0.1287*	1
(19)	Market Cap (log)	0.2931*	0.5524*	−0.0268*	0.1217*	0.2332*	0.1413*	0.1946*	−0.1621*	1
(20)	R&D (% Assets)	−0.0827*	−0.0571*	0.1564*	−0.0332*	−0.0147	−0.0432*	0.0051	0.0794*	−0.1353*	1

Note(s): Refer to Table 1 notes for variables definitions. * Indicate significance at the 10%

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