Table 2 Fixed effect regression results...

Table 2

Fixed effect regression results

	(1)	(2)	(3)	(4)	(5)
	MSVF	MSVF	MSVF	MSVF	MSVF
Intercept	1.305***	1.221***	1.183***	1.342***	1.36***
Intercept	[8.19]	[8.35]	[8.09]	[8.3]	[8.31]
${MSVF}_{- 1}$	0.327***	0.327***	0.327***	0.327***	0.326***
${MSVF}_{- 1}$	[28.2]	[28.22]	[28.29]	[28.19]	[28.12]
${ESG Score}_{- 1}$	−0.16*
${ESG Score}_{- 1}$	[−1.88]
${E Score}_{- 1}$		−0.086			−0.089
${E Score}_{- 1}$		[−1.32]			[−1.35]
${S Score}_{- 1}$			0.016		0.027
${S Score}_{- 1}$			[0.37]		[0.61]
${G Score}_{- 1}$				−0.14**	−0.138**
${G Score}_{- 1}$				[−2.25]	[−2.22]
Lev	0.251***	0.252***	0.253***	0.249***	0.247***
Lev	[5.62]	[5.63]	[5.66]	[5.58]	[5.53]
Profitability	−1.869***	−1.864***	−1.86***	−1.869***	−1.869***
Profitability	[−10.09]	[−10.07]	[−10.04]	[−10.1]	[−10.09]
CapEx	−0.075***	−0.075***	−0.076***	−0.076***	−0.076***
CapEx	[−9.94]	[−9.88]	[−10.02]	[−10.1]	[−10.03]
Market-to-Book	0.003	0.003	0.003	0.003	0.003
Market-to-Book	[1.06]	[1.06]	[1.06]	[1.07]	[1.06]
Volatility	0.301	0.307	0.297	0.309	0.324
Volatility	[0.85]	[0.85]	[0.83]	[0.87]	[0.9]
Analyst coverage	0.031***	0.03***	0.03***	0.031***	0.031***
Analyst coverage	[7.32]	[7.19]	[7.23]	[7.42]	[7.38]
Firm-year obs	18,401	18,401	18,401	18,401	18,401
R-square	63.17%	63.17%	63.17%	63.18%	63.18%

	(1)	(2)	(3)	(4)	(5)
	MSVF	MSVF	MSVF	MSVF	MSVF
Intercept	1.305***	1.221***	1.183***	1.342***	1.36***
Intercept	[8.19]	[8.35]	[8.09]	[8.3]	[8.31]
${MSVF}_{- 1}$	0.327***	0.327***	0.327***	0.327***	0.326***
${MSVF}_{- 1}$	[28.2]	[28.22]	[28.29]	[28.19]	[28.12]
${ESG Score}_{- 1}$	−0.16*
${ESG Score}_{- 1}$	[−1.88]
${E Score}_{- 1}$		−0.086			−0.089
${E Score}_{- 1}$		[−1.32]			[−1.35]
${S Score}_{- 1}$			0.016		0.027
${S Score}_{- 1}$			[0.37]		[0.61]
${G Score}_{- 1}$				−0.14**	−0.138**
${G Score}_{- 1}$				[−2.25]	[−2.22]
Lev	0.251***	0.252***	0.253***	0.249***	0.247***
Lev	[5.62]	[5.63]	[5.66]	[5.58]	[5.53]
Profitability	−1.869***	−1.864***	−1.86***	−1.869***	−1.869***
Profitability	[−10.09]	[−10.07]	[−10.04]	[−10.1]	[−10.09]
CapEx	−0.075***	−0.075***	−0.076***	−0.076***	−0.076***
CapEx	[−9.94]	[−9.88]	[−10.02]	[−10.1]	[−10.03]
Market-to-Book	0.003	0.003	0.003	0.003	0.003
Market-to-Book	[1.06]	[1.06]	[1.06]	[1.07]	[1.06]
Volatility	0.301	0.307	0.297	0.309	0.324
Volatility	[0.85]	[0.85]	[0.83]	[0.87]	[0.9]
Analyst coverage	0.031***	0.03***	0.03***	0.031***	0.031***
Analyst coverage	[7.32]	[7.19]	[7.23]	[7.42]	[7.38]
Firm-year obs	18,401	18,401	18,401	18,401	18,401
R-square	63.17%	63.17%	63.17%	63.18%	63.18%

Note(s): This table presents the fixed effects regression results of stock misvaluation (MSVF) on the lagged ESG score, as well as on the individual E, S, and G scores, both separately and jointly. Standard errors are clustered at the firm level. The t-statistics are reported in the parentheses. ***, **, * denote 1%, 5%, 10% significance levels

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