Table 5 The relationship between ESG...

Table 5

The relationship between ESG disclosure and information asymmetry

	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)	(10)	(11)	(12)
Variables	Illiquidity	Illiquidity	Illiquidity	Illiquidity	Illiquidity	Illiquidity	Bid-ask	Bid-ask	Bid-ask	Bid-ask	Bid-ask	Bid-ask
Constant	0.033***	0.034***	0.033***	0.035***	0.032***	0.033***	0.02***	0.025***	0.023***	0.022***	0.021***	0.022***
Constant	[5.61]	[6.18]	[5.48]	[6.04]	[5.49]	[5.61]	[7.66]	[8.79]	[8.49]	[8.45]	[8.09]	[8.11]
ESG_disclosure	−0.006***						−0.01***
ESG_disclosure	[−5.3]						[−10.49]
E_disclosure		−0.004***			−0.002	−0.006		−0.002***			0.001	0.007*
E_disclosure		[−4.98]			[−1.64]	[−1.32]		[−2.83]			[1.23]	[1.74]
S_disclosure			−0.008***		−0.006***	−0.012**			−0.008***		−0.004**	−0.007
S_disclosure			[−4.64]		[−2.79]	[−1.99]			[−6.23]		[−2.57]	[−1.31]
G_disclosure				−0.002***	−0.001*	−0.002*				−0.005***	−0.005***	−0.005***
G_disclosure				[−3.48]	[−1.81]	[−1.66]				[−11.53]	[−9.67]	[−5.73]
ES inter						0.015***						−0.009
ES inter						[2.61]						[−0.98]
EG inter						0.001						−0.006
EG inter						[0.19]						[−1.04]
SG inter						0.008						0.006
SG inter						[0.99]						[0.74]
Lev	−0.001	−0.001	−0.001	−0.001	−0.001	−0.001	0.004***	0.004***	0.004***	0.003***	0.003***	0.003***
Lev	[−0.48]	[−0.35]	[−0.42]	[−0.39]	[−0.48]	[−0.48]	[4.85]	[5.61]	[5.43]	[4.79]	[4.73]	[4.73]
Profitability	−0.019***	−0.019***	−0.019***	−0.019***	−0.019***	−0.019***	0.001	0.001	0.001	0.001	0.001	0.001
Profitability	[−3.11]	[−3.1]	[−3.19]	[−3.11]	[−3.19]	[−3.19]	[0.4]	[0.42]	[0.3]	[0.4]	[0.33]	[0.33]
CapEx	−0.001***	−0.001***	−0.001***	−0.001***	−0.001***	−0.001***	0	−0.001***	0***	0	0	0
CapEx	[−4.86]	[−6.02]	[−4.94]	[−5.33]	[−4.67]	[−4.61]	[−1.18]	[−3.95]	[−2.99]	[−1.34]	[−1.01]	[−1.05]
Market-to-book	5.43E−06	1.40E−05	1.20E−05	7.14E−06	8.57E−06	5.70E−06	0***	0***	0***	0***	0***	0***
Market-to-book	[0.12]	[0.31]	[0.25]	[0.15]	[0.19]	[0.12]	[5.12]	[5.32]	[5.35]	[5.21]	[5.24]	[5.25]
Volatility	−0.067***	−0.067***	−0.067***	−0.066***	−0.068***	−0.068***	0.896***	0.897***	0.896***	0.898***	0.898***	0.898***
Volatility	[−14.16]	[−14.17]	[−14.21]	[−13.81]	[−14.16]	[−14.12]	[89.21]	[89.36]	[89.59]	[89.68]	[90.04]	[90.03]
Analyst coverage	−0.0003***	−0.0003***	−0.0003***	−0.0003***	−0.0003***	−0.0003***	0***	0.001***	0***	0***	0***	0***
Analyst coverage	[−3.33]	[−2.98]	[−3.16]	[−3.29]	[−3.29]	[−3.36]	[5.67]	[6.27]	[6.1]	[5.4]	[5.38]	[5.39]
Obs	7,463	7,463	7,463	7,463	7,461	7,458	6,958	6,958	6,958	6,958	6,956	6,953
R-square	29.64%	29.56%	29.64%	29.52%	29.69%	29.74%	0.844	0.8421	0.8427	0.8444	0.8446	0.8446

	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)	(10)	(11)	(12)
Variables	Illiquidity	Illiquidity	Illiquidity	Illiquidity	Illiquidity	Illiquidity	Bid-ask	Bid-ask	Bid-ask	Bid-ask	Bid-ask	Bid-ask
Constant	0.033***	0.034***	0.033***	0.035***	0.032***	0.033***	0.02***	0.025***	0.023***	0.022***	0.021***	0.022***
Constant	[5.61]	[6.18]	[5.48]	[6.04]	[5.49]	[5.61]	[7.66]	[8.79]	[8.49]	[8.45]	[8.09]	[8.11]
ESG_disclosure	−0.006***						−0.01***
ESG_disclosure	[−5.3]						[−10.49]
E_disclosure		−0.004***			−0.002	−0.006		−0.002***			0.001	0.007*
E_disclosure		[−4.98]			[−1.64]	[−1.32]		[−2.83]			[1.23]	[1.74]
S_disclosure			−0.008***		−0.006***	−0.012**			−0.008***		−0.004**	−0.007
S_disclosure			[−4.64]		[−2.79]	[−1.99]			[−6.23]		[−2.57]	[−1.31]
G_disclosure				−0.002***	−0.001*	−0.002*				−0.005***	−0.005***	−0.005***
G_disclosure				[−3.48]	[−1.81]	[−1.66]				[−11.53]	[−9.67]	[−5.73]
ES inter						0.015***						−0.009
ES inter						[2.61]						[−0.98]
EG inter						0.001						−0.006
EG inter						[0.19]						[−1.04]
SG inter						0.008						0.006
SG inter						[0.99]						[0.74]
Lev	−0.001	−0.001	−0.001	−0.001	−0.001	−0.001	0.004***	0.004***	0.004***	0.003***	0.003***	0.003***
Lev	[−0.48]	[−0.35]	[−0.42]	[−0.39]	[−0.48]	[−0.48]	[4.85]	[5.61]	[5.43]	[4.79]	[4.73]	[4.73]
Profitability	−0.019***	−0.019***	−0.019***	−0.019***	−0.019***	−0.019***	0.001	0.001	0.001	0.001	0.001	0.001
Profitability	[−3.11]	[−3.1]	[−3.19]	[−3.11]	[−3.19]	[−3.19]	[0.4]	[0.42]	[0.3]	[0.4]	[0.33]	[0.33]
CapEx	−0.001***	−0.001***	−0.001***	−0.001***	−0.001***	−0.001***	0	−0.001***	0***	0	0	0
CapEx	[−4.86]	[−6.02]	[−4.94]	[−5.33]	[−4.67]	[−4.61]	[−1.18]	[−3.95]	[−2.99]	[−1.34]	[−1.01]	[−1.05]
Market-to-book	5.43E−06	1.40E−05	1.20E−05	7.14E−06	8.57E−06	5.70E−06	0***	0***	0***	0***	0***	0***
Market-to-book	[0.12]	[0.31]	[0.25]	[0.15]	[0.19]	[0.12]	[5.12]	[5.32]	[5.35]	[5.21]	[5.24]	[5.25]
Volatility	−0.067***	−0.067***	−0.067***	−0.066***	−0.068***	−0.068***	0.896***	0.897***	0.896***	0.898***	0.898***	0.898***
Volatility	[−14.16]	[−14.17]	[−14.21]	[−13.81]	[−14.16]	[−14.12]	[89.21]	[89.36]	[89.59]	[89.68]	[90.04]	[90.03]
Analyst coverage	−0.0003***	−0.0003***	−0.0003***	−0.0003***	−0.0003***	−0.0003***	0***	0.001***	0***	0***	0***	0***
Analyst coverage	[−3.33]	[−2.98]	[−3.16]	[−3.29]	[−3.29]	[−3.36]	[5.67]	[6.27]	[6.1]	[5.4]	[5.38]	[5.39]
Obs	7,463	7,463	7,463	7,463	7,461	7,458	6,958	6,958	6,958	6,958	6,956	6,953
R-square	29.64%	29.56%	29.64%	29.52%	29.69%	29.74%	0.844	0.8421	0.8427	0.8444	0.8446	0.8446

Note(s): This table shows the fixed effect regression results of information asymmetry proxies, illiquidity ratio and bid-ask spread, on ESG disclosure scores, both at the overall score and the individual E, S, and G disclosure scores. ES inter, EG inter, and SG inter refer to the interaction term of the paired individual pillar disclosure scores. These measures are defined and described in detail in Section 3 of the paper. 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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