| ROAt | E | S | G | |||
|---|---|---|---|---|---|---|
| ROAt−1 | 0.586*** (0.202) | 0.455*** (0.096) | 0.378*** (0.103) | 0.608*** (0.106) | 0.372*** (0.125) | 0.43*** (0.141) |
| ESG | −0.063** (0.031) | 0.0004 (0.009) | −0.058*** (0.021) | −0.031 (0.025) | −0.484** (0.021) | −0.0004 (0.029) |
| SQSESG | 0.0006* (0.0003) | −0.0001 (0.0001) | 0.0005*** (0.0002) | 0.0002 (0.0002) | 0.0004** (0.0002) | −0.00005 (0.0003) |
| OPEN | 0.013 (0.011) | 0.006 (0.004) | 0.008 (0.005) | 0.013* (0.007) | 0.014** (0.007) | 0.007 (0.006) |
| COV | −0.337*** (0.086) | −0.263*** (0.058) | −0.133** (0.064) | −0.426** (0.193) | −0.251*** (0.062) | −0.933*** (0.347) |
| ESG*COV | 0.005*** (0.001) | 0.006* (0.004) | 0.016** (0.007) | |||
| CONST | −3.631 (4.239) | −0.456 (1.668) | −3.18 (2.361) | −2.307 (2.849) | −2.091 (3.323) | 0.173 (4.67) |
| Control variables | Yes | Yes | Yes | Yes | Yes | Yes |
| Observations | 3,376 | 3,376 | 3,376 | 3,376 | 3,376 | 3,376 |
| AR1 (p-value) | 0.001 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
| AR2 (p-value) | 0.078 | 0.098 | 0.089 | 0.114 | 0.053 | 0.090 |
| Hansen test (p-value) | 0.567 | 0.394 | 0.198 | 0.294 | 0.130 | 0.422 |
| ROA | E | S | G | |||
|---|---|---|---|---|---|---|
| 0.586*** (0.202) | 0.455*** (0.096) | 0.378*** (0.103) | 0.608*** (0.106) | 0.372*** (0.125) | 0.43*** (0.141) | |
| −0.063** (0.031) | 0.0004 (0.009) | −0.058*** (0.021) | −0.031 (0.025) | −0.484** (0.021) | −0.0004 (0.029) | |
| 0.0006* (0.0003) | −0.0001 (0.0001) | 0.0005*** (0.0002) | 0.0002 (0.0002) | 0.0004** (0.0002) | −0.00005 (0.0003) | |
| OPEN | 0.013 (0.011) | 0.006 (0.004) | 0.008 (0.005) | 0.013* (0.007) | 0.014** (0.007) | 0.007 (0.006) |
| COV | −0.337*** (0.086) | −0.263*** (0.058) | −0.133** (0.064) | −0.426** (0.193) | −0.251*** (0.062) | −0.933*** (0.347) |
| ESG*COV | 0.005*** (0.001) | 0.006* (0.004) | 0.016** (0.007) | |||
| CONST | −3.631 (4.239) | −0.456 (1.668) | −3.18 (2.361) | −2.307 (2.849) | −2.091 (3.323) | 0.173 (4.67) |
| Control variables | Yes | Yes | Yes | Yes | Yes | Yes |
| Observations | 3,376 | 3,376 | 3,376 | 3,376 | 3,376 | 3,376 |
| AR1 ( | 0.001 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
| AR2 ( | 0.078 | 0.098 | 0.089 | 0.114 | 0.053 | 0.090 |
| Hansen test ( | 0.567 | 0.394 | 0.198 | 0.294 | 0.130 | 0.422 |
Note(s): ROA, pre-tax return on assets; ESG, the ESG pillar being examined; SQESG, the squared value of the ESG pillar; E, the environmental pillar score; S, the social pillar score; G, the governance pillar score; OPEN, the banking freedom index; COV, dummy variable for the COVID-19 period of 2020–2021. Variables in italics and control variables are instrumented through the GMM procedure following Arellano and Bover (1995). Robust standard errors are in parentheses. *, **, and *** denote significance at the 10%, 5%, and 1% levels, respectively
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