Table 6 First-Difference regression of...

Table 6

First-Difference regression of ESG Pillars on Beta

Variables	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)
Variables	3-year Beta minus 5-year Beta	3-year Beta + minus 5-year Beta+	3-year Beta- minus 5-year Beta-	3-year Beta minus 5-year Beta	3-year Beta + minus 5-year Beta+	3-year Beta- minus 5-year Beta-	3-year Beta minus 5-year Beta	3-year Beta + minus 5-year Beta+	3-year Beta- minus 5-year Beta-
Environmental_t – Environmental_t-5	0.0001	−0.0000	0.0002**
Environmental_t – Environmental_t-5	(0.0001)	(0.0001)	(0.0001)
Social_t – Social_t-5				0.0003***	0.0002*	0.0004***
Social_t – Social_t-5				(0.0001)	(0.0001)	(0.0001)
Governance_t – Governance_t-5							0.0002***	0.0001	0.0001*
Governance_t – Governance_t-5							(0.0001)	(0.0001)	(0.0001)
ROA	−0.0053***	−0.0003	−0.0030**	−0.0053***	−0.0003	−0.0030**	−0.0054***	−0.0003	−0.0030**
ROA	(0.0013)	(0.0016)	(0.0015)	(0.0013)	(0.0016)	(0.0015)	(0.0013)	(0.0016)	(0.0015)
Employees	0.0000	−0.0000**	−0.0000	0.0000	−0.0000**	−0.0000	0.0000	−0.0000**	−0.0000
Employees	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)
Quick ratio	0.0063	−0.0004	−0.0017	0.0065	−0.0001	−0.0015	0.0062	−0.0004	−0.0020
Quick ratio	(0.0064)	(0.0081)	(0.0074)	(0.0064)	(0.0081)	(0.0074)	(0.0064)	(0.0081)	(0.0074)
Debt to equity ratio	−0.0002***	−0.0006***	−0.0005***	−0.0002***	−0.0006***	−0.0005***	−0.0003***	−0.0006***	−0.0005***
Debt to equity ratio	(0.0001)	(0.0001)	(0.0001)	(0.0001)	(0.0001)	(0.0001)	(0.0001)	(0.0001)	(0.0001)
Price-to-book	0.0093**	0.0248***	0.0286***	0.0091**	0.0247***	0.0286***	0.0095**	0.0248***	0.0287***
Price-to-book	(0.0039)	(0.0050)	(0.0046)	(0.0039)	(0.0050)	(0.0046)	(0.0039)	(0.0050)	(0.0046)
Company age (log)	−0.0011	−0.0240*	−0.0030	−0.0003	−0.0235*	−0.0018	−0.0005	−0.0237*	−0.0021
Company age (log)	(0.0108)	(0.0140)	(0.0128)	(0.0108)	(0.0140)	(0.0128)	(0.0108)	(0.0140)	(0.0128)
Free Float	−0.0010***	−0.0007**	−0.0004	−0.0010***	−0.0007**	−0.0004	−0.0010***	−0.0007***	−0.0004
Free Float	(0.0003)	(0.0003)	(0.0002)	(0.0003)	(0.0003)	(0.0002)	(0.0003)	(0.0003)	(0.0002)
Cash (% Assets)	0.0697	−0.0655	0.1342	0.0645	−0.0686	0.1275	0.0716	−0.0639	0.1347
Cash (% Assets)	(0.0726)	(0.0952)	(0.0872)	(0.0725)	(0.0951)	(0.0871)	(0.0725)	(0.0951)	(0.0872)
Market Cap (log)	0.1041***	0.0740***	0.0826***	0.1040***	0.0741***	0.0826***	0.1037***	0.0737***	0.0821***
Market Cap (log)	(0.0057)	(0.0071)	(0.0065)	(0.0057)	(0.0071)	(0.0065)	(0.0057)	(0.0071)	(0.0065)
R&D (% Assets)	0.1109***	0.1861***	−0.0063	0.1121***	0.1868***	−0.0049	0.1092***	0.1847***	−0.0078
R&D (% Assets)	(0.0232)	(0.0334)	(0.0306)	(0.0232)	(0.0334)	(0.0306)	(0.0232)	(0.0334)	(0.0306)
Constant	−2.1033***	−1.8514**	−1.6639**	−2.1010***	−1.8525**	−1.6621**	−2.1535***	−1.8862**	−1.7038**
Constant	(0.5264)	(0.7746)	(0.7095)	(0.5260)	(0.7744)	(0.7093)	(0.5265)	(0.7749)	(0.7099)
Sector Fixed Effects	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Country fixed effects	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Observations	5,533	7,211	7,210	5,533	7,211	7,210	5,533	7,211	7,210
Adj R-squared	0.182	0.115	0.194	0.183	0.115	0.194	0.183	0.115	0.194
F-stat	8.684	6.798	11.77	8.746	6.821	11.81	8.727	6.813	11.76
p-value	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000

Variables	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)
Variables	3-year Beta minus 5-year Beta	3-year Beta + minus 5-year Beta+	3-year Beta- minus 5-year Beta-	3-year Beta minus 5-year Beta	3-year Beta + minus 5-year Beta+	3-year Beta- minus 5-year Beta-	3-year Beta minus 5-year Beta	3-year Beta + minus 5-year Beta+	3-year Beta- minus 5-year Beta-
Environmental_t – Environmental_t-5	0.0001	−0.0000	0.0002**
Environmental_t – Environmental_t-5	(0.0001)	(0.0001)	(0.0001)
Social_t – Social_t-5				0.0003***	0.0002*	0.0004***
Social_t – Social_t-5				(0.0001)	(0.0001)	(0.0001)
Governance_t – Governance_t-5							0.0002***	0.0001	0.0001*
Governance_t – Governance_t-5							(0.0001)	(0.0001)	(0.0001)
ROA	−0.0053***	−0.0003	−0.0030**	−0.0053***	−0.0003	−0.0030**	−0.0054***	−0.0003	−0.0030**
ROA	(0.0013)	(0.0016)	(0.0015)	(0.0013)	(0.0016)	(0.0015)	(0.0013)	(0.0016)	(0.0015)
Employees	0.0000	−0.0000**	−0.0000	0.0000	−0.0000**	−0.0000	0.0000	−0.0000**	−0.0000
Employees	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)
Quick ratio	0.0063	−0.0004	−0.0017	0.0065	−0.0001	−0.0015	0.0062	−0.0004	−0.0020
Quick ratio	(0.0064)	(0.0081)	(0.0074)	(0.0064)	(0.0081)	(0.0074)	(0.0064)	(0.0081)	(0.0074)
Debt to equity ratio	−0.0002***	−0.0006***	−0.0005***	−0.0002***	−0.0006***	−0.0005***	−0.0003***	−0.0006***	−0.0005***
Debt to equity ratio	(0.0001)	(0.0001)	(0.0001)	(0.0001)	(0.0001)	(0.0001)	(0.0001)	(0.0001)	(0.0001)
Price-to-book	0.0093**	0.0248***	0.0286***	0.0091**	0.0247***	0.0286***	0.0095**	0.0248***	0.0287***
Price-to-book	(0.0039)	(0.0050)	(0.0046)	(0.0039)	(0.0050)	(0.0046)	(0.0039)	(0.0050)	(0.0046)
Company age (log)	−0.0011	−0.0240*	−0.0030	−0.0003	−0.0235*	−0.0018	−0.0005	−0.0237*	−0.0021
Company age (log)	(0.0108)	(0.0140)	(0.0128)	(0.0108)	(0.0140)	(0.0128)	(0.0108)	(0.0140)	(0.0128)
Free Float	−0.0010***	−0.0007**	−0.0004	−0.0010***	−0.0007**	−0.0004	−0.0010***	−0.0007***	−0.0004
Free Float	(0.0003)	(0.0003)	(0.0002)	(0.0003)	(0.0003)	(0.0002)	(0.0003)	(0.0003)	(0.0002)
Cash (% Assets)	0.0697	−0.0655	0.1342	0.0645	−0.0686	0.1275	0.0716	−0.0639	0.1347
Cash (% Assets)	(0.0726)	(0.0952)	(0.0872)	(0.0725)	(0.0951)	(0.0871)	(0.0725)	(0.0951)	(0.0872)
Market Cap (log)	0.1041***	0.0740***	0.0826***	0.1040***	0.0741***	0.0826***	0.1037***	0.0737***	0.0821***
Market Cap (log)	(0.0057)	(0.0071)	(0.0065)	(0.0057)	(0.0071)	(0.0065)	(0.0057)	(0.0071)	(0.0065)
R&D (% Assets)	0.1109***	0.1861***	−0.0063	0.1121***	0.1868***	−0.0049	0.1092***	0.1847***	−0.0078
R&D (% Assets)	(0.0232)	(0.0334)	(0.0306)	(0.0232)	(0.0334)	(0.0306)	(0.0232)	(0.0334)	(0.0306)
Constant	−2.1033***	−1.8514**	−1.6639**	−2.1010***	−1.8525**	−1.6621**	−2.1535***	−1.8862**	−1.7038**
Constant	(0.5264)	(0.7746)	(0.7095)	(0.5260)	(0.7744)	(0.7093)	(0.5265)	(0.7749)	(0.7099)
Sector Fixed Effects	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Country fixed effects	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Observations	5,533	7,211	7,210	5,533	7,211	7,210	5,533	7,211	7,210
Adj R-squared	0.182	0.115	0.194	0.183	0.115	0.194	0.183	0.115	0.194
F-stat	8.684	6.798	11.77	8.746	6.821	11.81	8.727	6.813	11.76
p-value	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000

Note(s): This table presents first-difference regression results assessing the impact of changes in the three ESG pillars—Environmental, Social, and Governance—on firms' systematic risk. The dependent variables are the differences between 3-year and 5-year beta estimates: overall beta (columns 1, 4, 7), upside beta (β⁺; columns 2, 5, 8), and downside beta (β⁻; columns 3, 6, 9). The independent variables are changes in pillar-specific ESG scores over a 5-year window (Pillar_t – Pillar_t-5). Coefficients indicate how improvements in each ESG dimension relate to changes in market sensitivity. See Table 1 notes for variable definitions. Standard errors are reported in parentheses. *, **, and *** denote significance at the 10%, 5%, and 1% levels, respectively

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