Multivariate and univariate tests for country differences in ESG pillars
| Effect | Wilks’ λ | F | df | p | Environmental F(p) | Social F(p) | Governance F(p) |
|---|---|---|---|---|---|---|---|
| Country | 0.982 | 2.66 | (3,426) | 0.048 | 0.27 (0.61) | 2.40 (0.12) | 0.50 (0.48) |
| Country × Sector | 0.845 | 4.11 | (18,1205) | <0.001 | 7.16 (<0.001) | 3.66 (0.001) | 2.52 (0.021) |
| Effect | Wilks’ λ | df | Environmental | Social | Governance | ||
|---|---|---|---|---|---|---|---|
| Country | 0.982 | 2.66 | (3,426) | 0.048 | 0.27 (0.61) | 2.40 (0.12) | 0.50 (0.48) |
| Country × Sector | 0.845 | 4.11 | (18,1205) | <0.001 | 7.16 (<0.001) | 3.66 (0.001) | 2.52 (0.021) |
Note(s): Wilks’ λ from multivariate tests; univariate F-tests control for sector, year and firm covariates (LNAssets, LNEmployees, LNAge)
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