Baseline regressions of ESG performance on Tobin's Q
| Variables | (1) FE–DK | (2) FE–DK, ESG (t–1) | (3) FE–Clustered | (4) RE– GLS |
|---|---|---|---|---|
| ESG Score (centred) | 0.0009 (1.56) | 0.0013** (2.89) | 0.0009 (0.63) | 0.0021*** (2.69) |
| Firm size (log assets) | −0.001 (−0.01) | −0.020 (−0.26) | −0.001 (−0.01) | −0.178*** (−11.94) |
| Profitability (ROA) | 0.039*** (9.16) | 0.036*** (8.74) | 0.039*** (7.15) | 0.047*** (28.49) |
| Leverage (DTC) | 0.002 (1.77) | 0.002 (1.55) | 0.002 (1.11) | 0.002*** (3.27) |
| Price volatility | 0.009*** (3.46) | 0.009*** (3.56) | 0.009* (1.81) | 0.005** (2.56) |
| Board gender diversity | −0.001 (−1.41) | −0.001* (−1.88) | −0.001 (−0.55) | −0.001 (−0.75) |
| Board size | 0.013*** (4.52) | 0.011*** (3.82) | 0.013** (2.47) | 0.007* (1.93) |
| Firm fixed effects | Yes | Yes | Yes | No |
| Year fixed effects | Yes | Yes | Yes | Yes |
| Estimator | FE–DK SEs | FE–DK SEs | FE–Clustered SEs | RE–GLS |
| Observations | 5,936 | 5,505 | 5,936 | 5,936 |
| Number of firms | 430 | 430 | 430 | 430 |
| R2 (within) | 0.164 | 0.155 | 0.164 | 0.154 |
| R2 (between) | – | – | – | 0.537 |
| R2 (overall) | – | – | – | 0.45 |
| F/χ2 statistic | F = 13.32*** | F = …*** | F = 13.32*** | χ2 = 1492.62*** |
| Variables | (1) FE–DK | (2) FE–DK, ESG (t–1) | (3) FE–Clustered | (4) RE– GLS |
|---|---|---|---|---|
| ESG Score (centred) | 0.0009 (1.56) | 0.0013** (2.89) | 0.0009 (0.63) | 0.0021*** (2.69) |
| Firm size (log assets) | −0.001 (−0.01) | −0.020 (−0.26) | −0.001 (−0.01) | −0.178*** (−11.94) |
| Profitability (ROA) | 0.039*** (9.16) | 0.036*** (8.74) | 0.039*** (7.15) | 0.047*** (28.49) |
| Leverage (DTC) | 0.002 (1.77) | 0.002 (1.55) | 0.002 (1.11) | 0.002*** (3.27) |
| Price volatility | 0.009*** (3.46) | 0.009*** (3.56) | 0.009* (1.81) | 0.005** (2.56) |
| Board gender diversity | −0.001 (−1.41) | −0.001* (−1.88) | −0.001 (−0.55) | −0.001 (−0.75) |
| Board size | 0.013*** (4.52) | 0.011*** (3.82) | 0.013** (2.47) | 0.007* (1.93) |
| Firm fixed effects | Yes | Yes | Yes | No |
| Year fixed effects | Yes | Yes | Yes | Yes |
| Estimator | FE–DK SEs | FE–DK SEs | FE–Clustered SEs | RE–GLS |
| Observations | 5,936 | 5,505 | 5,936 | 5,936 |
| Number of firms | 430 | 430 | 430 | 430 |
| 0.164 | 0.155 | 0.164 | 0.154 | |
| – | – | – | 0.537 | |
| – | – | – | 0.45 | |
| F/ | F = …*** |
Note(s): Coefficients with t-statistics (FE) and z-statistics (RE) in parentheses. *p < 0.10, **p < 0.05, ***p < 0.01. Year dummies are included but not reported
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