Table 6 The role of ESG disclosure in...

Table 6

The role of ESG disclosure in the ESG-misvaluation relationship

	(1)	(2)	(3)	(4)	(5)
	MSVF	MSVF	MSVF	MSVF	MSVF
Intercept	3.331***	2.896***	2.722***	3.218***	3.41***
Intercept	[9.66]	[11.76]	[10.66]	[9.45]	[9.58]
${Dep}_{- 1}$	0.351***	0.348***	0.351***	0.352***	0.349***
${Dep}_{- 1}$	[19.9]	[19.85]	[19.95]	[19.96]	[19.83]
${ESG score}_{- 1}$	−0.752**
${ESG score}_{- 1}$	[−2.28]
${ESG disclosure score}_{- 1}$	−1.709*
${ESG disclosure score}_{- 1}$	[−1.88]
${ESG {score}_{- 1} \times ESG disclosure score}_{- 1}$	2.561**
${ESG {score}_{- 1} \times ESG disclosure score}_{- 1}$	[2.13]
${E score}_{- 1}$		−0.298***			−0.3***
${E score}_{- 1}$		[−2.87]			[−2.82]
${E disclosure score}_{- 1}$		−0.541			−0.471
${E disclosure score}_{- 1}$		[−1.05]			[−0.92]
${{E score}_{- 1} \times E disclosure score}_{- 1}$		1.229			1.154
${{E score}_{- 1} \times E disclosure score}_{- 1}$		[1.53]			[1.44]
${S score}_{- 1}$			−0.059		−0.009
${S score}_{- 1}$			[−0.55]		[−0.09]
${S disclosure score}_{- 1}$			−0.371		−0.414
${S disclosure score}_{- 1}$			[−0.65]		[−0.74]
${{S score}_{- 1} \times S disclosure score}_{- 1}$			0.571		0.334
${{S score}_{- 1} \times S disclosure score}_{- 1}$			[0.78]		[0.46]
${G score}_{- 1}$				−0.63**	−0.617**
${G score}_{- 1}$				[−2.12]	[−2.07]
${G disclosure score}_{- 1}$				−0.735*	−0.758**
${G disclosure score}_{- 1}$				[−1.95]	[−2.02]
${{G score}_{- 1} \times G disclosure score}_{- 1}$				0.994**	1.007**
${{G score}_{- 1} \times G disclosure score}_{- 1}$				[2.19]	[2.23]
Lev	0.295***	0.29***	0.284***	0.29***	0.29***
Lev	[4.46]	[4.41]	[4.32]	[4.41]	[4.39]
Profitability	−1.807***	−1.821***	−1.801***	−1.806***	−1.823***
Profitability	[−6.57]	[−6.64]	[−6.54]	[−6.54]	[−6.63]
CapEx	−0.088***	−0.083***	−0.08***	−0.085***	−0.085***
CapEx	[−6.99]	[−7.02]	[−6.63]	[−6.88]	[−6.69]
Market-to-book	0.017***	0.017***	0.017***	0.017***	0.017***
Market-to-book	[3.95]	[4.07]	[3.95]	[3.95]	[4.03]
Volatility	−1.326***	−1.262***	−1.372***	−1.398***	−1.295***
Volatility	[−2.98]	[−2.83]	[−3.08]	[−3.13]	[−2.89]
Analyst coverage	0.031***	0.029***	0.03***	0.031***	0.03***
Analyst coverage	[5.33]	[5.07]	[5.16]	[5.31]	[5.15]
Firm-year obs	7,460	7,460	7,460	7,460	7,460
R-square	72.42%	72.44%	72.37%	72.40%	72.48%

	(1)	(2)	(3)	(4)	(5)
	MSVF	MSVF	MSVF	MSVF	MSVF
Intercept	3.331***	2.896***	2.722***	3.218***	3.41***
Intercept	[9.66]	[11.76]	[10.66]	[9.45]	[9.58]
${Dep}_{- 1}$	0.351***	0.348***	0.351***	0.352***	0.349***
${Dep}_{- 1}$	[19.9]	[19.85]	[19.95]	[19.96]	[19.83]
${ESG score}_{- 1}$	−0.752**
${ESG score}_{- 1}$	[−2.28]
${ESG disclosure score}_{- 1}$	−1.709*
${ESG disclosure score}_{- 1}$	[−1.88]
${ESG {score}_{- 1} \times ESG disclosure score}_{- 1}$	2.561**
${ESG {score}_{- 1} \times ESG disclosure score}_{- 1}$	[2.13]
${E score}_{- 1}$		−0.298***			−0.3***
${E score}_{- 1}$		[−2.87]			[−2.82]
${E disclosure score}_{- 1}$		−0.541			−0.471
${E disclosure score}_{- 1}$		[−1.05]			[−0.92]
${{E score}_{- 1} \times E disclosure score}_{- 1}$		1.229			1.154
${{E score}_{- 1} \times E disclosure score}_{- 1}$		[1.53]			[1.44]
${S score}_{- 1}$			−0.059		−0.009
${S score}_{- 1}$			[−0.55]		[−0.09]
${S disclosure score}_{- 1}$			−0.371		−0.414
${S disclosure score}_{- 1}$			[−0.65]		[−0.74]
${{S score}_{- 1} \times S disclosure score}_{- 1}$			0.571		0.334
${{S score}_{- 1} \times S disclosure score}_{- 1}$			[0.78]		[0.46]
${G score}_{- 1}$				−0.63**	−0.617**
${G score}_{- 1}$				[−2.12]	[−2.07]
${G disclosure score}_{- 1}$				−0.735*	−0.758**
${G disclosure score}_{- 1}$				[−1.95]	[−2.02]
${{G score}_{- 1} \times G disclosure score}_{- 1}$				0.994**	1.007**
${{G score}_{- 1} \times G disclosure score}_{- 1}$				[2.19]	[2.23]
Lev	0.295***	0.29***	0.284***	0.29***	0.29***
Lev	[4.46]	[4.41]	[4.32]	[4.41]	[4.39]
Profitability	−1.807***	−1.821***	−1.801***	−1.806***	−1.823***
Profitability	[−6.57]	[−6.64]	[−6.54]	[−6.54]	[−6.63]
CapEx	−0.088***	−0.083***	−0.08***	−0.085***	−0.085***
CapEx	[−6.99]	[−7.02]	[−6.63]	[−6.88]	[−6.69]
Market-to-book	0.017***	0.017***	0.017***	0.017***	0.017***
Market-to-book	[3.95]	[4.07]	[3.95]	[3.95]	[4.03]
Volatility	−1.326***	−1.262***	−1.372***	−1.398***	−1.295***
Volatility	[−2.98]	[−2.83]	[−3.08]	[−3.13]	[−2.89]
Analyst coverage	0.031***	0.029***	0.03***	0.031***	0.03***
Analyst coverage	[5.33]	[5.07]	[5.16]	[5.31]	[5.15]
Firm-year obs	7,460	7,460	7,460	7,460	7,460
R-square	72.42%	72.44%	72.37%	72.40%	72.48%

Note(s): This table presents the fixed effects regression results of stock misvaluation (MSVF) on the lagged ESG disclosure score, as well as on the individual E, S, and G disclosure scores, both separately and jointly. The ESG disclosure score measures the extent of a company publicly disclosing its ESG information, rather than its ESG performance. To better report the effect of the ESG disclosure score, we transfer the ESG disclosure score from a scale of 100 to a percentile. We also include an interactive variable in each regression. 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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