| Developed countries | Developing countries | |||||||
|---|---|---|---|---|---|---|---|---|
| ROAt | ESG | E | S | G | ESG | E | S | G |
| ROAt−1 | 0.383*** (0.142) | 0.438*** (0.138) | 0.485*** (0.157) | 0.464*** (0.155) | 0.258*** (0.071) | 0.244*** (0.067) | 0.411*** (0.105) | 0.333*** (0.114) |
| ESG | −0.007 (0.012) | 0.007 (0.012) | 0.011 (0.026) | 0.005 (0.03) | −0.057** (0.024) | −0.001 (0.005) | 0.016 (0.012) | −0.78*** (0.024) |
| SQESG | 0.0001 (0.0001) | −0.0001 (0.0001) | −0.0002 (0.0003) | −0.00004 (0.0003) | 0.0005** (0.0002) | 0.00002 (0.00005) | −0.0002 (0.0001) | 0.0008*** (0.000) |
| COV | −0.36*** (0.122) | −0.187*** (0.064) | −0.463*** (0.158) | −0.698** (0.311) | −0.917*** (0.242) | −0.717*** (0.075) | −1.376*** (0.466) | −0.116 (0.304) |
| ESG*COV | 0.006** (0.003) | 0.003* (0.001) | 0.009** (0.004) | 0.011* (0.006) | 0.009** (0.004) | 0.008*** (0.001) | 0.018** (0.007) | −0.004 (0.006) |
| CONST | −2.85* (1.504) | −1.055 (2.139) | −3.401* (2.03) | −0.342 (3.502) | 0.154 (1.92) | 0.204 (1.166) | −0.456 (4.705) | −1.69 (2.748) |
| Control variables | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Observations | 2,768 | 2,768 | 2,768 | 2,768 | 608 | 608 | 608 | 608 |
| AR1 (p-value) | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
| AR2 (p-value) | 0.133 | 0.200 | 0.136 | 0.195 | 0.060 | 0.061 | 0.065 | 0.124 |
| Hansen test (p-value) | 0.237 | 0.327 | 0.417 | 0.080 | 0.484 | 0.166 | 0.152 | 0.288 |
| Developed countries | Developing countries | |||||||
|---|---|---|---|---|---|---|---|---|
| ROA | ESG | E | S | G | ESG | E | S | G |
| 0.383*** (0.142) | 0.438*** (0.138) | 0.485*** (0.157) | 0.464*** (0.155) | 0.258*** (0.071) | 0.244*** (0.067) | 0.411*** (0.105) | 0.333*** (0.114) | |
| −0.007 (0.012) | 0.007 (0.012) | 0.011 (0.026) | 0.005 (0.03) | −0.057** (0.024) | −0.001 (0.005) | 0.016 (0.012) | −0.78*** (0.024) | |
| 0.0001 (0.0001) | −0.0001 (0.0001) | −0.0002 (0.0003) | −0.00004 (0.0003) | 0.0005** (0.0002) | 0.00002 (0.00005) | −0.0002 (0.0001) | 0.0008*** (0.000) | |
| COV | −0.36*** (0.122) | −0.187*** (0.064) | −0.463*** (0.158) | −0.698** (0.311) | −0.917*** (0.242) | −0.717*** (0.075) | −1.376*** (0.466) | −0.116 (0.304) |
| ESG*COV | 0.006** (0.003) | 0.003* (0.001) | 0.009** (0.004) | 0.011* (0.006) | 0.009** (0.004) | 0.008*** (0.001) | 0.018** (0.007) | −0.004 (0.006) |
| CONST | −2.85* (1.504) | −1.055 (2.139) | −3.401* (2.03) | −0.342 (3.502) | 0.154 (1.92) | 0.204 (1.166) | −0.456 (4.705) | −1.69 (2.748) |
| Control variables | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Observations | 2,768 | 2,768 | 2,768 | 2,768 | 608 | 608 | 608 | 608 |
| AR1 ( | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
| AR2 ( | 0.133 | 0.200 | 0.136 | 0.195 | 0.060 | 0.061 | 0.065 | 0.124 |
| Hansen test ( | 0.237 | 0.327 | 0.417 | 0.080 | 0.484 | 0.166 | 0.152 | 0.288 |
Note(s): ROA, pre-tax return on assets; ESG, the ESG variable being examined; SQESG, the squared value of ESG variables E, the environmental pillar score; S, the social pillar score; G, the governance pillar score; 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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