Table 9 Endogeneity (1) (2) (3) (4) (5)...

Table 9

Endogeneity

	(1)	(2)	(3)	(4)	(5)
	MSVF	MSVF	MSVF	MSVF	MSVF
Panel A Two-stage least square regression
Intercept	0.199***	0.136***	0.13***	0.191***	0.2***
Intercept	[4.05]	[3.61]	[3.26]	[4.21]	[4.06]
${MSVF}_{- 1}$	0.7***	0.7***	0.701***	0.7***	0.7***
${MSVF}_{- 1}$	[135.32]	[135.37]	[135.41]	[135.39]	[135.32]
${ESG Score}_{- 1}$	−0.001**
${ESG Score}_{- 1}$	[−2.23]
${E Score}_{- 1}$		0			0
${E Score}_{- 1}$		[−0.99]			[−0.7]
${S Score}_{- 1}$			0		0
${S Score}_{- 1}$			[−0.44]		[−0.07]
${G Score}_{- 1}$				−0.001**	−0.001**
${G Score}_{- 1}$				[−2.38]	[−2.27]
Lev	−0.003	−0.001	−0.001	−0.008	−0.008
Lev	[−0.19]	[−0.08]	[−0.06]	[−0.6]	[−0.56]
Profitability	0.074	0.056	0.06	0.07	0.069
Profitability	[0.84]	[0.64]	[0.68]	[0.79]	[0.79]
CapEx	−0.007***	−0.007***	−0.007***	−0.007***	−0.006***
CapEx	[−3.67]	[−3.57]	[−3.83]	[−3.64]	[−3.46]
Market-to-book	0	0	0	0	0
Market-to-book	[0.36]	[0.48]	[0.48]	[0.47]	[0.44]
Volatility	0.084	0.088	0.088	0.087	0.086
Volatility	[0.88]	[0.92]	[0.92]	[0.91]	[0.9]
Analyst coverage	0.024***	0.023***	0.023***	0.023***	0.023***
Analyst coverage	[9.35]	[9.14]	[9.06]	[9.34]	[9.3]
Firm-year obs	24,652	24,652	24,652	24,652	24,652
Adj. R-square	46.73%	46.73%	46.72%	46.73%	46.75%
Panel B Dynamic GMM regression
Intercept	16.494*	6.594	7.514	21.307**	−121.039
Intercept	[1.78]	[1.09]	[1.57]	[2.24]	[−0.49]
${MSVF}_{- 2}$	0.585**	0.235	0.329*	0.911***	−2.377
${MSVF}_{- 2}$	[2.17]	[1.61]	[1.89]	[2.81]	[−0.44]
${MSVF}_{- 1}$	0.734***	0.598***	0.503***	0.998***	−1.305
${MSVF}_{- 1}$	[4.11]	[5.26]	[3.19]	[4.95]	[−0.35]
${ESG Score}_{- 1}$	−0.123*
${ESG Score}_{- 1}$	[−1.68]
${E Score}_{- 1}$		−0.051			0.75
${E Score}_{- 1}$		[−1.12]			[0.51]
${S Score}_{- 1}$			−0.077**		−0.459
${S Score}_{- 1}$			[−2.17]		[−0.58]
${G Score}_{- 1}$				−0.116**	0.496
${G Score}_{- 1}$				[−1.97]	[0.47]
Lev	−0.529	−0.119	−0.091	−1.372	5.118
Lev	[−0.3]	[−0.11]	[−0.06]	[−1.01]	[0.31]
Profitability	−8.235	−10.648*	−6.922	7.553	18.372
Profitability	[−0.91]	[−1.86]	[−0.8]	[0.83]	[0.21]
CapEx	−0.368	−0.157	−0.099	−0.601**	3.395
CapEx	[−1.38]	[−0.86]	[−0.51]	[−2.24]	[0.5]
Market-to-book	0.036	0.009	0.023	0.045**	−0.141
Market-to-book	[1.27]	[0.6]	[1.16]	[1.96]	[−0.38]
Volatility	−19.085*	−15.377*	−14.502	−16.652**	41.424
Volatility	[−1.73]	[−1.89]	[−1.61]	[−2.21]	[0.34]
Analyst coverage	0.113	0.145	0.068	−0.234	−0.623
Analyst coverage	[0.71]	[1.48]	[0.46]	[−0.97]	[−0.35]
Firm-year obs	10,339	10,339	10,339	10,339	10,339
AR(2)p		0.206			0.601
AR(3)p	0.129		0.508	0.306
Durbin–Watson	2.00	2.00	2.00	2.00	2.00
Adj. R-square	38.79%	25.63%	29.04%	46.16%	58.29%

	(1)	(2)	(3)	(4)	(5)
	MSVF	MSVF	MSVF	MSVF	MSVF
Panel A Two-stage least square regression
Intercept	0.199***	0.136***	0.13***	0.191***	0.2***
Intercept	[4.05]	[3.61]	[3.26]	[4.21]	[4.06]
${MSVF}_{- 1}$	0.7***	0.7***	0.701***	0.7***	0.7***
${MSVF}_{- 1}$	[135.32]	[135.37]	[135.41]	[135.39]	[135.32]
${ESG Score}_{- 1}$	−0.001**
${ESG Score}_{- 1}$	[−2.23]
${E Score}_{- 1}$		0			0
${E Score}_{- 1}$		[−0.99]			[−0.7]
${S Score}_{- 1}$			0		0
${S Score}_{- 1}$			[−0.44]		[−0.07]
${G Score}_{- 1}$				−0.001**	−0.001**
${G Score}_{- 1}$				[−2.38]	[−2.27]
Lev	−0.003	−0.001	−0.001	−0.008	−0.008
Lev	[−0.19]	[−0.08]	[−0.06]	[−0.6]	[−0.56]
Profitability	0.074	0.056	0.06	0.07	0.069
Profitability	[0.84]	[0.64]	[0.68]	[0.79]	[0.79]
CapEx	−0.007***	−0.007***	−0.007***	−0.007***	−0.006***
CapEx	[−3.67]	[−3.57]	[−3.83]	[−3.64]	[−3.46]
Market-to-book	0	0	0	0	0
Market-to-book	[0.36]	[0.48]	[0.48]	[0.47]	[0.44]
Volatility	0.084	0.088	0.088	0.087	0.086
Volatility	[0.88]	[0.92]	[0.92]	[0.91]	[0.9]
Analyst coverage	0.024***	0.023***	0.023***	0.023***	0.023***
Analyst coverage	[9.35]	[9.14]	[9.06]	[9.34]	[9.3]
Firm-year obs	24,652	24,652	24,652	24,652	24,652
Adj. R-square	46.73%	46.73%	46.72%	46.73%	46.75%
Panel B Dynamic GMM regression
Intercept	16.494*	6.594	7.514	21.307**	−121.039
Intercept	[1.78]	[1.09]	[1.57]	[2.24]	[−0.49]
${MSVF}_{- 2}$	0.585**	0.235	0.329*	0.911***	−2.377
${MSVF}_{- 2}$	[2.17]	[1.61]	[1.89]	[2.81]	[−0.44]
${MSVF}_{- 1}$	0.734***	0.598***	0.503***	0.998***	−1.305
${MSVF}_{- 1}$	[4.11]	[5.26]	[3.19]	[4.95]	[−0.35]
${ESG Score}_{- 1}$	−0.123*
${ESG Score}_{- 1}$	[−1.68]
${E Score}_{- 1}$		−0.051			0.75
${E Score}_{- 1}$		[−1.12]			[0.51]
${S Score}_{- 1}$			−0.077**		−0.459
${S Score}_{- 1}$			[−2.17]		[−0.58]
${G Score}_{- 1}$				−0.116**	0.496
${G Score}_{- 1}$				[−1.97]	[0.47]
Lev	−0.529	−0.119	−0.091	−1.372	5.118
Lev	[−0.3]	[−0.11]	[−0.06]	[−1.01]	[0.31]
Profitability	−8.235	−10.648*	−6.922	7.553	18.372
Profitability	[−0.91]	[−1.86]	[−0.8]	[0.83]	[0.21]
CapEx	−0.368	−0.157	−0.099	−0.601**	3.395
CapEx	[−1.38]	[−0.86]	[−0.51]	[−2.24]	[0.5]
Market-to-book	0.036	0.009	0.023	0.045**	−0.141
Market-to-book	[1.27]	[0.6]	[1.16]	[1.96]	[−0.38]
Volatility	−19.085*	−15.377*	−14.502	−16.652**	41.424
Volatility	[−1.73]	[−1.89]	[−1.61]	[−2.21]	[0.34]
Analyst coverage	0.113	0.145	0.068	−0.234	−0.623
Analyst coverage	[0.71]	[1.48]	[0.46]	[−0.97]	[−0.35]
Firm-year obs	10,339	10,339	10,339	10,339	10,339
AR(2)p		0.206			0.601
AR(3)p	0.129		0.508	0.306
Durbin–Watson	2.00	2.00	2.00	2.00	2.00
Adj. R-square	38.79%	25.63%	29.04%	46.16%	58.29%

Note(s): This table shows the two-stage least squares and dynamic panel GMM regressions where stock misvaluation (MSVF) is regressed on the lagged ESG score and E, S, G scores, both separately and jointly. The lagged ESG score is instrumental with the mean value of each industry in Panel A. The dynamic panel GMM of Panel B allows us to instrument all of the independent variables. Standard errors are clustered at the firm level. The t-statistics are reported in the parentheses. ***, **, * denote 1%, 5%, 10% significance levels

[ViewLarge]

Sharing Unavailable