Table 8 Alternative ESG score from the...

Table 8

Alternative ESG score from the wind database

	(1)	(2)	(3)	(4)	(5)
	MSVF	MSVF	MSVF	MSVF	MSVF
Intercept	1.781***	1.648***	1.579***	1.587***	1.584***
Intercept	[4.25]	[3.89]	[3.71]	[3.75]	[3.73]
${MSVF}_{- 1}$	−0.335***	−0.338***	−0.334***	−0.334***	−0.334***
${MSVF}_{- 1}$	[−11.65]	[−11.86]	[−11.56]	[−11.51]	[−11.51]
${ESG Score}_{- 1}$	−0.04***
${ESG Score}_{- 1}$	[−3.33]
${E Score}_{- 1}$		−0.01**			0
${E Score}_{- 1}$		[−2.04]			[−0.03]
${S Score}_{- 1}$			−0.009***		−0.001
${S Score}_{- 1}$			[−3.29]		[−0.11]
${G Score}_{- 1}$				−0.007***	−0.006*
${G Score}_{- 1}$				[−3.65]	[−1.66]
Lev	0.49***	0.467***	0.501***	0.514***	0.514***
Lev	[3.57]	[3.42]	[3.63]	[3.74]	[3.73]
Profitability	−2.455***	−2.394***	−2.487***	−2.523***	−2.523***
Profitability	[−5.96]	[−5.82]	[−6.07]	[−6.1]	[−6.08]
CapEx	−0.109***	−0.113***	−0.109***	−0.108***	−0.108***
CapEx	[−4.96]	[−5.16]	[−4.94]	[−4.91]	[−4.89]
Market-to-book	0.006	0.006	0.006	0.007	0.007
Market-to-book	[0.81]	[0.86]	[0.84]	[0.85]	[0.84]
Volatility	2.244*	2.48*	2.042	1.755	1.757
Volatility	[1.75]	[1.95]	[1.58]	[1.34]	[1.34]
Analyst coverage	−0.001	0	−0.002	−0.002	−0.002
Analyst coverage	[−0.09]	[−0.03]	[−0.14]	[−0.15]	[−0.15]
Firm-year obs	3,038	3,038	3,038	3,038	3,038
R-square	87.46%	87.43%	87.46%	87.47%	87.47%

	(1)	(2)	(3)	(4)	(5)
	MSVF	MSVF	MSVF	MSVF	MSVF
Intercept	1.781***	1.648***	1.579***	1.587***	1.584***
Intercept	[4.25]	[3.89]	[3.71]	[3.75]	[3.73]
${MSVF}_{- 1}$	−0.335***	−0.338***	−0.334***	−0.334***	−0.334***
${MSVF}_{- 1}$	[−11.65]	[−11.86]	[−11.56]	[−11.51]	[−11.51]
${ESG Score}_{- 1}$	−0.04***
${ESG Score}_{- 1}$	[−3.33]
${E Score}_{- 1}$		−0.01**			0
${E Score}_{- 1}$		[−2.04]			[−0.03]
${S Score}_{- 1}$			−0.009***		−0.001
${S Score}_{- 1}$			[−3.29]		[−0.11]
${G Score}_{- 1}$				−0.007***	−0.006*
${G Score}_{- 1}$				[−3.65]	[−1.66]
Lev	0.49***	0.467***	0.501***	0.514***	0.514***
Lev	[3.57]	[3.42]	[3.63]	[3.74]	[3.73]
Profitability	−2.455***	−2.394***	−2.487***	−2.523***	−2.523***
Profitability	[−5.96]	[−5.82]	[−6.07]	[−6.1]	[−6.08]
CapEx	−0.109***	−0.113***	−0.109***	−0.108***	−0.108***
CapEx	[−4.96]	[−5.16]	[−4.94]	[−4.91]	[−4.89]
Market-to-book	0.006	0.006	0.006	0.007	0.007
Market-to-book	[0.81]	[0.86]	[0.84]	[0.85]	[0.84]
Volatility	2.244*	2.48*	2.042	1.755	1.757
Volatility	[1.75]	[1.95]	[1.58]	[1.34]	[1.34]
Analyst coverage	−0.001	0	−0.002	−0.002	−0.002
Analyst coverage	[−0.09]	[−0.03]	[−0.14]	[−0.15]	[−0.15]
Firm-year obs	3,038	3,038	3,038	3,038	3,038
R-square	87.46%	87.43%	87.46%	87.47%	87.47%

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, where all ESG scores are from the Wind dataset. 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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