Note(s): This table reports the baseline OLS regression results for the relationship between ESG Scores and Beta. The first three columns use the 3-year Betas as dependent variables: column 1 shows the overall Beta, column 2 shows Beta⁺, and column 3 shows Beta⁻. The last three columns present the corresponding 5-year Beta estimates. 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 3 years, while the 5-year measures use monthly returns over the trailing 5 years, both ending in December 2023. Beta⁺ and Beta⁻ are conditional betas estimated using only up-market and down-market observations, respectively, within the same window. Variable descriptions can be found in Table 1 notes. Standard errors are reported in parentheses. *, **, and *** indicate statistical significance at the 10%, 5%, and 1% levels, respectively