Table 10 Excluding firms in the...

Table 10

Excluding firms in the financial industry

	(1)	(2)	(3)	(4)	(5)
	MSVF	MSVF	MSVF	MSVF	MSVF
Intercept	1.093***	1.026***	0.974***	1.152***	1.174***
Intercept	[6.89]	[7.12]	[6.79]	[7.16]	[7.19]
${MSVF}_{- 1}$	0.316***	0.316***	0.317***	0.316***	0.316***
${MSVF}_{- 1}$	[28.51]	[28.52]	[28.59]	[28.49]	[28.43]
${ESG Score}_{- 1}$	−0.148*
${ESG Score}_{- 1}$	[−1.68]
${E Score}_{- 1}$		−0.119*			−0.128*
${E Score}_{- 1}$		[−1.83]			[−1.94]
${S Score}_{- 1}$			0.03		0.047
${S Score}_{- 1}$			[0.66]		[1.01]
${G Score}_{- 1}$				−0.151**	−0.149**
${G Score}_{- 1}$				[−2.29]	[−2.26]
Lev	0.165***	0.165***	0.167***	0.163***	0.16***
Lev	[4.06]	[4.05]	[4.1]	[4.01]	[3.93]
Profitability	−2.049***	−2.044***	−2.039***	−2.051***	−2.051***
Profitability	[−10.97]	[−10.95]	[−10.92]	[−10.99]	[−10.97]
CapEx	−0.063***	−0.062***	−0.064***	−0.064***	−0.064***
CapEx	[−8.48]	[−8.39]	[−8.59]	[−8.68]	[−8.61]
Market-to-book	0.018***	0.018***	0.018***	0.018***	0.018***
Market-to-book	[8.17]	[8.17]	[8.14]	[8.2]	[8.24]
Volatility	−0.94***	−0.94***	−0.95***	−0.926***	−0.909***
Volatility	[−3.19]	[−3.19]	[−3.22]	[−3.15]	[−3.09]
Analyst coverage	0.026***	0.025***	0.025***	0.026***	0.026***
Analyst coverage	[6.28]	[6.15]	[6.21]	[6.42]	[6.37]
Firm-year obs	17,503	17,503	17,503	17,503	17,503
R-square	62.54%	62.54%	62.53%	62.54%	62.55%

	(1)	(2)	(3)	(4)	(5)
	MSVF	MSVF	MSVF	MSVF	MSVF
Intercept	1.093***	1.026***	0.974***	1.152***	1.174***
Intercept	[6.89]	[7.12]	[6.79]	[7.16]	[7.19]
${MSVF}_{- 1}$	0.316***	0.316***	0.317***	0.316***	0.316***
${MSVF}_{- 1}$	[28.51]	[28.52]	[28.59]	[28.49]	[28.43]
${ESG Score}_{- 1}$	−0.148*
${ESG Score}_{- 1}$	[−1.68]
${E Score}_{- 1}$		−0.119*			−0.128*
${E Score}_{- 1}$		[−1.83]			[−1.94]
${S Score}_{- 1}$			0.03		0.047
${S Score}_{- 1}$			[0.66]		[1.01]
${G Score}_{- 1}$				−0.151**	−0.149**
${G Score}_{- 1}$				[−2.29]	[−2.26]
Lev	0.165***	0.165***	0.167***	0.163***	0.16***
Lev	[4.06]	[4.05]	[4.1]	[4.01]	[3.93]
Profitability	−2.049***	−2.044***	−2.039***	−2.051***	−2.051***
Profitability	[−10.97]	[−10.95]	[−10.92]	[−10.99]	[−10.97]
CapEx	−0.063***	−0.062***	−0.064***	−0.064***	−0.064***
CapEx	[−8.48]	[−8.39]	[−8.59]	[−8.68]	[−8.61]
Market-to-book	0.018***	0.018***	0.018***	0.018***	0.018***
Market-to-book	[8.17]	[8.17]	[8.14]	[8.2]	[8.24]
Volatility	−0.94***	−0.94***	−0.95***	−0.926***	−0.909***
Volatility	[−3.19]	[−3.19]	[−3.22]	[−3.15]	[−3.09]
Analyst coverage	0.026***	0.025***	0.025***	0.026***	0.026***
Analyst coverage	[6.28]	[6.15]	[6.21]	[6.42]	[6.37]
Firm-year obs	17,503	17,503	17,503	17,503	17,503
R-square	62.54%	62.54%	62.53%	62.54%	62.55%

Note(s): This table shows the fixed effect regression results of stock misvaluation (MSVF) on the lagged ESG score and E, S, G scores, both separately and jointly. We exclude financial firms in the regressions. 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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