Note(s): This table presents the baseline OLS regression results for the association between ESG Pillar Scores (Environmental Pillar Score, Social Pillar Score, and Governance Pillar Score) and Beta. 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 ending in Dec-2023. “Beta+” (“Beta–”) is the conditional beta estimated using only up-market (down-market) observations within the same window. The first column shows the overall 3-year beta as the dependent variable, the second column show the 3-year Beta+ and the third columns the 3-year Beta -, the remaining columns repeat this sequence for the corresponding ESG pillar as the independent variable. Please refer to Table 1 notes for variables descriptions. Standard errors are shown in parentheses. *, **, and *** indicate significance at the 10%, 5%, and 1% levels, respectively