Table 3 Absolute value of misvaluation...

Table 3

Absolute value of misvaluation and ESG

	(1)	(2)	(3)	(4)	(5)
	\|MSVF\|	\|MSVF\|	\|MSVF\|	\|MSVF\|	\|MSVF\|
Intercept	0.474***	0.397***	0.359***	0.645***	0.591***
Intercept	[3.79]	[3.53]	[3.21]	[5.14]	[4.62]
$\| {MSVF}_{- 1} \|$	0.215***	0.215***	0.215***	0.213***	0.213***
$\| {MSVF}_{- 1} \|$	[17.55]	[17.56]	[17.56]	[17.51]	[17.51]
${ESG Score}_{- 1}$	−0.089
${ESG Score}_{- 1}$	[−1.25]
${E Score}_{- 1}$		0.037			0.013
${E Score}_{- 1}$		[0.68]			[0.25]
${S Score}_{- 1}$			0.114***		0.113***
${S Score}_{- 1}$			[3.21]		[3.17]
${G Score}_{- 1}$				−0.217***	−0.218***
${G Score}_{- 1}$				[−4.28]	[−4.31]
Lev	0.088**	0.089***	0.087**	0.082**	0.081**
Lev	[2.54]	[2.59]	[2.53]	[2.39]	[2.35]
Profitability	−0.138	−0.131	−0.123	−0.146	−0.137
Profitability	[−0.89]	[−0.85]	[−0.79]	[−0.95]	[−0.88]
CapEx	−0.009	−0.009	−0.011*	−0.01*	−0.012**
CapEx	[−1.51]	[−1.62]	[−1.91]	[−1.8]	[−2.16]
Market-to-Book	0.002	0.002	0.002	0.002	0.002
Market-to-Book	[1.46]	[1.46]	[1.45]	[1.49]	[1.48]
Volatility	−0.322	−0.329	−0.309	−0.305	−0.292
Volatility	[−0.74]	[−0.75]	[−0.7]	[−0.7]	[−0.67]
Analyst coverage	−0.006*	−0.006*	−0.006*	−0.005	−0.005
Analyst coverage	[−1.72]	[−1.75]	[−1.71]	[−1.38]	[−1.31]
Firm-year obs	18,401	18,401	18,401	18,401	18,401
R-square	46.52%	46.52%	46.55%	46.59%	46.63%

	(1)	(2)	(3)	(4)	(5)
	\|MSVF\|	\|MSVF\|	\|MSVF\|	\|MSVF\|	\|MSVF\|
Intercept	0.474***	0.397***	0.359***	0.645***	0.591***
Intercept	[3.79]	[3.53]	[3.21]	[5.14]	[4.62]
$\| {MSVF}_{- 1} \|$	0.215***	0.215***	0.215***	0.213***	0.213***
$\| {MSVF}_{- 1} \|$	[17.55]	[17.56]	[17.56]	[17.51]	[17.51]
${ESG Score}_{- 1}$	−0.089
${ESG Score}_{- 1}$	[−1.25]
${E Score}_{- 1}$		0.037			0.013
${E Score}_{- 1}$		[0.68]			[0.25]
${S Score}_{- 1}$			0.114***		0.113***
${S Score}_{- 1}$			[3.21]		[3.17]
${G Score}_{- 1}$				−0.217***	−0.218***
${G Score}_{- 1}$				[−4.28]	[−4.31]
Lev	0.088**	0.089***	0.087**	0.082**	0.081**
Lev	[2.54]	[2.59]	[2.53]	[2.39]	[2.35]
Profitability	−0.138	−0.131	−0.123	−0.146	−0.137
Profitability	[−0.89]	[−0.85]	[−0.79]	[−0.95]	[−0.88]
CapEx	−0.009	−0.009	−0.011*	−0.01*	−0.012**
CapEx	[−1.51]	[−1.62]	[−1.91]	[−1.8]	[−2.16]
Market-to-Book	0.002	0.002	0.002	0.002	0.002
Market-to-Book	[1.46]	[1.46]	[1.45]	[1.49]	[1.48]
Volatility	−0.322	−0.329	−0.309	−0.305	−0.292
Volatility	[−0.74]	[−0.75]	[−0.7]	[−0.7]	[−0.67]
Analyst coverage	−0.006*	−0.006*	−0.006*	−0.005	−0.005
Analyst coverage	[−1.72]	[−1.75]	[−1.71]	[−1.38]	[−1.31]
Firm-year obs	18,401	18,401	18,401	18,401	18,401
R-square	46.52%	46.52%	46.55%	46.59%	46.63%

Note(s): This table presents the fixed effects regression results of the absolute value of stock misvaluation 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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