Table 11 Industry adjusted ESG score (1)...

Table 11

Industry adjusted ESG score

	(1)	(2)	(3)	(4)	(5)
	MSVF	MSVF	MSVF	MSVF	MSVF
Intercept	1.177***	1.165***	1.179***	1.195***	1.186***
Intercept	[8.15]	[8.05]	[8.15]	[8.24]	[8.17]
${MSVF}_{- 1}$	0.337***	0.337***	0.337***	0.337***	0.336***
${MSVF}_{- 1}$	[29.01]	[29.05]	[29.07]	[28.99]	[28.97]
${ESG score}_{- 1}^{Ind}$	−0.149*
${ESG score}_{- 1}^{Ind}$	[−1.7]
${E score}_{- 1}^{Ind}$		−0.08			−0.077
${E score}_{- 1}^{Ind}$		[−1.2]			[−1.13]
${S score}_{- 1}^{Ind}$			0.009		0.021
${S score}_{- 1}^{Ind}$			[0.2]		[0.47]
${G score}_{- 1}^{Ind}$				−0.127**	−0.125*
${G score}_{- 1}^{Ind}$				[−1.96]	[−1.91]
Lev	0.256***	0.257***	0.258***	0.254***	0.253***
Lev	[5.68]	[5.7]	[5.72]	[5.65]	[5.62]
Profitability	−1.816***	−1.813***	−1.812***	−1.816***	−1.815***
Profitability	[−9.76]	[−9.74]	[−9.73]	[−9.76]	[−9.75]
CapEx	−0.074***	−0.074***	−0.075***	−0.075***	−0.074***
CapEx	[−9.83]	[−9.84]	[−9.9]	[−9.9]	[−9.88]
Market-to-book	0.003	0.003	0.003	0.003	0.003
Market-to-book	[1.03]	[1.03]	[1.03]	[1.04]	[1.04]
Volatility	0.318	0.323	0.324	0.323	0.325
Volatility	[0.89]	[0.9]	[0.9]	[0.9]	[0.9]
Analyst coverage	0.03***	0.03***	0.03***	0.03***	0.03***
Analyst coverage	[7.18]	[7.07]	[7.09]	[7.2]	[7.18]
Firm-year obs	17,964	17,964	17,964	17,964	17,964
R-square	61.88%	61.88%	61.88%	61.89%	61.89%

	(1)	(2)	(3)	(4)	(5)
	MSVF	MSVF	MSVF	MSVF	MSVF
Intercept	1.177***	1.165***	1.179***	1.195***	1.186***
Intercept	[8.15]	[8.05]	[8.15]	[8.24]	[8.17]
${MSVF}_{- 1}$	0.337***	0.337***	0.337***	0.337***	0.336***
${MSVF}_{- 1}$	[29.01]	[29.05]	[29.07]	[28.99]	[28.97]
${ESG score}_{- 1}^{Ind}$	−0.149*
${ESG score}_{- 1}^{Ind}$	[−1.7]
${E score}_{- 1}^{Ind}$		−0.08			−0.077
${E score}_{- 1}^{Ind}$		[−1.2]			[−1.13]
${S score}_{- 1}^{Ind}$			0.009		0.021
${S score}_{- 1}^{Ind}$			[0.2]		[0.47]
${G score}_{- 1}^{Ind}$				−0.127**	−0.125*
${G score}_{- 1}^{Ind}$				[−1.96]	[−1.91]
Lev	0.256***	0.257***	0.258***	0.254***	0.253***
Lev	[5.68]	[5.7]	[5.72]	[5.65]	[5.62]
Profitability	−1.816***	−1.813***	−1.812***	−1.816***	−1.815***
Profitability	[−9.76]	[−9.74]	[−9.73]	[−9.76]	[−9.75]
CapEx	−0.074***	−0.074***	−0.075***	−0.075***	−0.074***
CapEx	[−9.83]	[−9.84]	[−9.9]	[−9.9]	[−9.88]
Market-to-book	0.003	0.003	0.003	0.003	0.003
Market-to-book	[1.03]	[1.03]	[1.03]	[1.04]	[1.04]
Volatility	0.318	0.323	0.324	0.323	0.325
Volatility	[0.89]	[0.9]	[0.9]	[0.9]	[0.9]
Analyst coverage	0.03***	0.03***	0.03***	0.03***	0.03***
Analyst coverage	[7.18]	[7.07]	[7.09]	[7.2]	[7.18]
Firm-year obs	17,964	17,964	17,964	17,964	17,964
R-square	61.88%	61.88%	61.88%	61.89%	61.89%

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. The ESG (E,S,G) score is adjusted by the industry mean to alleviate the industry bias. We calculate a company's ESG (E,S,G) score each year by reducing the industry mean on that year. 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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