Table 3 Average monthly Long–short (H-L)...

Table 3

Average monthly Long–short (H-L) alphas in good and bad times

			Long–short (HL) portfolio
	${A l p h a}^{H}$	${A l p h a}^{L}$	${A l p h a}^{H - L}$	$β^{M K T R F}$	$β^{S M B}$	$β^{H M L}$
Panel A. Bad times: Shiller's CAPE
CAPM	0.140**	0.976***	−0.836***	0.128***
	(2.30)	(8.56)	(−9.28)	(3.53)
Fama-French	−0.281***	0.024	−0.305***	0.025	−0.528***	0.339***
	(−4.42)	(0.32)	(−5.88)	(0.91)	(−15.55)	(21.48)
Panel B. Good Times: Shiller's CAPE
CAPM	0.477**	0.529***	−0.052	0.118***
	(2.57)	(2.74)	(−0.50)	(3.62)
Fama-French	0.232**	0.300***	−0.068	0.102**	−0.427***	0.379***
	(2.32)	(3.52)	(−0.50)	(2.10)	(−16.53)	(15.22)
Panel C. Bad Times: GDP Forecasting
CAPM	0.177**	0.807***	−0.630***	0.175***
	(2.25)	(7.07)	(−6.96)	(5.21)
Fama-French	−0.269***	0.014	−0.283***	0.042	−0.555***	0.367***
	(−3.98)	(0.19)	(−4.26)	(1.28)	(−17.42)	(21.00)
Panel D. Good Times: GDP Forecasting
CAPM	0.360**	0.872***	−0.512***	0.045
	(2.52)	(4.61)	(−3.59)	(1.08)
Fama-French	0.127	0.270***	−0.143	0.062*	−0.401***	0.327***
	(1.32)	(2.84)	(−1.38)	(1.71)	(−11.31)	(15.94)

			Long–short (HL) portfolio
	${A l p h a}^{H}$	${A l p h a}^{L}$	${A l p h a}^{H - L}$	$β^{M K T R F}$	$β^{S M B}$	$β^{H M L}$
Panel A. Bad times: Shiller's CAPE
CAPM	0.140**	0.976***	−0.836***	0.128***
	(2.30)	(8.56)	(−9.28)	(3.53)
Fama-French	−0.281***	0.024	−0.305***	0.025	−0.528***	0.339***
	(−4.42)	(0.32)	(−5.88)	(0.91)	(−15.55)	(21.48)
Panel B. Good Times: Shiller's CAPE
CAPM	0.477**	0.529***	−0.052	0.118***
	(2.57)	(2.74)	(−0.50)	(3.62)
Fama-French	0.232**	0.300***	−0.068	0.102**	−0.427***	0.379***
	(2.32)	(3.52)	(−0.50)	(2.10)	(−16.53)	(15.22)
Panel C. Bad Times: GDP Forecasting
CAPM	0.177**	0.807***	−0.630***	0.175***
	(2.25)	(7.07)	(−6.96)	(5.21)
Fama-French	−0.269***	0.014	−0.283***	0.042	−0.555***	0.367***
	(−3.98)	(0.19)	(−4.26)	(1.28)	(−17.42)	(21.00)
Panel D. Good Times: GDP Forecasting
CAPM	0.360**	0.872***	−0.512***	0.045
	(2.52)	(4.61)	(−3.59)	(1.08)
Fama-French	0.127	0.270***	−0.143	0.062*	−0.401***	0.327***
	(1.32)	(2.84)	(−1.38)	(1.71)	(−11.31)	(15.94)

Note(s): This table shows the CAPM alphas and three-factor alphas for the high–low quintile portfolio. HL refers to the long position in the firms with the highest ESG score and the short position in the firms with the lowest ESG score. For each month, stocks are sorted into quintile portfolios according to the ESG score. We then construct a long–short portfolio (HL). The sample period is from January 2012 to December 2020. The t-statistics are in parentheses and statistical significance at the 10%, 5% and 1% levels is given by *, ** and ***, respectively

Source(s): Author's work

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