Overall ESG, its indices, and firm value
| Indices included | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Separate | Together | Separate | Together | Separate | Together | ||||
| OLS | RE | FE | OLS | RE | FE | ||||
| (1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) | (9) | |
| ESG | 0.246*** (7.02) | 0.107*** (4.07) | 0.064** (2.15) | ||||||
| Social index | 0.188*** (6.68) | 0.160*** (4.17) | 0.130*** (5.89) | 0.098*** (3.55) | 0.100*** (3.80) | 0.075** (2.40) | |||
| Environmental index | 0.145*** (4.82) | −0.017 (−0.44) | 0.113*** (4.85) | 0.051* (1.74) | 0.093*** (3.44) | 0.057* (3.44) | |||
| Corporate governance index | 0.141*** (5.77) | 0.077*** (2.99) | 0.045** (2.49) | 0.002 (0.11) | 0.015 (0.73) | −0.019 (−0.87) | |||
| Firm size | −0.172*** (−22.56) | −0.180*** (−21.62) | −0.193*** (−10.23) | −0.170*** (−22.48) | −0.169*** (−21.63) | −0.182*** (−21.84) | −0.184*** (−21.71) | −0.193*** (−10.23) | −0.193*** (−10.25) |
| Leverage | 0.333*** (6.11) | 0.282*** (6.56) | 0.272*** (5.50) | 0.327*** (6.00) | 0.325*** (5.96) | 0.278*** (6.49) | 0.279*** (6.52) | 0.268*** (5.45) | 0.267*** (5.43) |
| Sales growth | 0.323*** (17.10) | 0.204*** (17.16) | 0.200*** (16.21) | 0.326*** (17.23) | 0.326*** (17.22) | 0.204*** (17.19) | 0.205*** (17.20) | 0.199*** (16.15) | 0.200*** (16.19) |
| EBIT/Sale | 0.001 (0.56) | −0.000 (−0.23) | −0.000 (−0.17) | 0.000 (0.50) | 0.000 (0.49) | −0.000 (−0.31) | −0.000 (−0.31) | −0.000 (−0.21) | −0.000 (−0.19) |
| Capex/PPE | 0.953*** (14.22) | 0.516*** (11.66) | 0.426*** (9.02) | 0.957*** (14.20) | 0.949*** (14.15) | 0.513*** (11.60) | 0.512*** (11.56) | 0.422*** (8.94) | 0.419*** (8.88) |
| Turnover | 0.029*** (5.26) | 0.004 (1.22) | −0.001 (−0.31) | 0.029*** (5.28) | 0.028*** (5.18) | 0.004 (1.25) | 0.004 (1.24) | −0.001 (−0.30) | −0.001 (−0.27) |
| PPE/Sale | −0.010*** (−11.90) | −0.002*** (−3.04) | −0.001 (−0.78) | −0.010*** (−11.76) | −0.010*** (−11.80) | −0.002*** (−3.11) | −0.002*** (−2.96) | −0.001 (−0.97) | −0.000 (−0.44) |
| Volatility | −0.811*** (−17.42) | −0.274*** (−10.61) | −0.232*** (−8.53) | −0.806*** (−17.35) | −0.802*** (−17.24) | −0.272*** (−10.52) | −0.272*** (−10.52) | −0.230*** (−8.48) | −0.231*** (−8.49) |
| Free float | −0.230*** (−6.78) | −0.023 (−0.86) | 0.024 (0.76) | −0.213*** (−6.33) | −0.223*** (−6.58) | −0.021 (−0.79) | −0.022 (−0.85) | 0.025 (0.77) | 0.025 (0.77) |
| Cross-listing | 0.115*** (6.60) | 0.023* (1.77) | −0.001 (−0.04) | 0.115*** (6.57) | 0.112*** (6.40) | 0.022* (1.68) | 0.021* (1.67) | −0.001 (−0.05) | −0.001 (−0.08) |
| Pos. R&D | 0.060*** (3.13) | 0.051*** (3.19) | 0.020 (1.10) | 0.062*** (3.21) | 0.067*** (3.47) | 0.051*** (3.18) | 0.050*** (3.12) | 0.020 (1.11) | 0.019 (1.06) |
| Neg. equity | −0.281*** (−12.00) | −0.240*** (−14.49) | −0.240*** (−13.77) | −0.279*** (−11.98) | −0.282*** (−12.04) | −0.238*** (−14.39) | −0.238*** (−14.39) | −0.239*** (−13.67) | −0.238*** (−13.64) |
| Time dummies | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Industry dummies | Yes | Yes | – | Yes | Yes | Yes | Yes | – | – |
| Country dummies | Yes | Yes | – | Yes | Yes | Yes | Yes | – | – |
| Observations | 23,352 | 23,352 | 23,352 | 23,352 | 23,352 | 23,352 | 23,352 | 23,352 | 23,352 |
| Firms | 3,844 | 3,844 | 3,844 | 3,844 | 3,844 | 3,844 | 3,844 | 3,844 | 3,844 |
| R2 (range) | 0.456 | 0.404 | 0.200 | (0.454-0.456) | 0.456 | (0.402-0.406) | 0.406 | (0.199-0.201) | 0.201 |
| Indices included | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Separate | Together | Separate | Together | Separate | Together | ||||
| OLS | RE | FE | OLS | RE | FE | ||||
| (1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) | (9) | |
| Social index | |||||||||
| Environmental index | −0.017 (−0.44) | 0.051* (1.74) | 0.057* (3.44) | ||||||
| Corporate governance index | 0.002 (0.11) | 0.015 (0.73) | −0.019 (−0.87) | ||||||
| Firm size | − | − | − | − | − | − | − | − | |
| Leverage | |||||||||
| Sales growth | |||||||||
| EBIT/Sale | 0.001 (0.56) | −0.000 (−0.23) | −0.000 (−0.17) | 0.000 (0.50) | 0.000 (0.49) | −0.000 (−0.31) | −0.000 (−0.31) | −0.000 (−0.21) | −0.000 (−0.19) |
| Capex/PPE | |||||||||
| Turnover | 0.004 (1.22) | −0.001 (−0.31) | 0.004 (1.25) | 0.004 (1.24) | −0.001 (−0.30) | −0.001 (−0.27) | |||
| PPE/Sale | − | − | −0.001 (−0.78) | − | − | − | − | −0.001 (−0.97) | −0.000 (−0.44) |
| Volatility | − | − | − | − | − | − | − | − | − |
| Free float | − | 0.024 (0.76) | − | − | −0.021 (−0.79) | −0.022 (−0.85) | 0.025 (0.77) | 0.025 (0.77) | |
| Cross-listing | 0.023* (1.77) | −0.001 (−0.04) | 0.022* (1.68) | 0.021* (1.67) | −0.001 (−0.05) | −0.001 (−0.08) | |||
| Pos. R&D | 0.020 (1.10) | 0.020 (1.11) | 0.019 (1.06) | ||||||
| Neg. equity | − | − | − | − | − | − | − | − | − |
| Time dummies | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Industry dummies | Yes | Yes | – | Yes | Yes | Yes | Yes | – | – |
| Country dummies | Yes | Yes | – | Yes | Yes | Yes | Yes | – | – |
| Observations | 23,352 | 23,352 | 23,352 | 23,352 | 23,352 | 23,352 | 23,352 | 23,352 | 23,352 |
| Firms | 3,844 | 3,844 | 3,844 | 3,844 | 3,844 | 3,844 | 3,844 | 3,844 | 3,844 |
| 0.456 | 0.404 | 0.200 | (0.454-0.456) | 0.456 | (0.402-0.406) | 0.406 | (0.199-0.201) | 0.201 | |
Notes: OLS, firm random effects (RE), and firm fixed effects (FE) regressions of ln (Tobin’s q) on ESG (its subindices) and control variables for 2003-2016. All variables are winsorized at 1 percent and 99 percent. t-values (in parentheses) use firm clusters. Significant results (at 5 percent level or better) are in italic. *,**,***Significant at 10, 5 and 1 percent level, respectively (suppressed for constant term)
Sharing content requires targeting cookies to be enabled. Please update your cookie preferences to use this feature.