Regression estimates for the period June 2006 to December 2009
| Institutional equity holdings | (1) | (2) | (3) | (4) |
|---|---|---|---|---|
| ESG score | 0.077* (0.021) | – | – | – |
| E score | – | 0.188 (0.056) | – | – |
| S score | – | – | 0.041* (0.009) | – |
| G score | – | – | – | 0.101** (0.063) |
| Lagged one-month returns | 0.021 (0.020) | 0.021 (0.019) | 0.018 (0,14) | 0.030 (0.023) |
| Lagged 11-month returns | 0.053** (0.031) | 0.046*** (0.051) | 0.049** (0.029) | 0.050*** (0.047) |
| Market cap (log) | 0.004 (0.007) | 0.012 (0.006) | 0.008 (0.007) | 0.011 (0.008) |
| Book-to market ratio | −0.138 (0.022) | −0.122 (0.018) | 0.209 (0.028) | 0.093 (0.019) |
| Long-term debt | −0.295** (0.067) | −0.303** (0.064) | −0.299** (0.059) | −0.284** (0.077) |
| Short-term debt | −0.436 (0.088) | −0.408 (0.099) | −0.399 (0.076) | −0.444 (0.090) |
| Cash Holdings | 0.202*** (0.331) | 0.189** (0.411) | 0.228*** (0.316) | 0.301*** (0.379) |
| Profitability | 0.700* (0.189) | 0.583* (0.124) | 0.687* (0.099) | 0.703* (0.122) |
| Momentum | −0.109** (0.069) | −0.137* (0.082) | −0.175* (0.084) | −0.166* (0.065) |
| Idiosyncratic risk | −0.999*** (0.655) | −0.881*** (0.654) | −0.878*** (0.661) | −0.770*** (0.653) |
| Industry controls | Yes | Yes | Yes | Yes |
| Country controls | Yes | Yes | Yes | Yes |
| Factor loadings | Yes | Yes | Yes | Yes |
| N | 1.994 | 1.994 | 1.994 | 1.994 |
| Adj.R2 | 0.400 | 0.350 | 0.393 | 0.399 |
| Institutional equity holdings | (1) | (2) | (3) | (4) |
|---|---|---|---|---|
| ESG score | 0.077* (0.021) | – | – | – |
| E score | – | 0.188 (0.056) | – | – |
| S score | – | – | 0.041* (0.009) | – |
| G score | – | – | – | 0.101** (0.063) |
| Lagged one-month returns | 0.021 (0.020) | 0.021 (0.019) | 0.018 (0,14) | 0.030 (0.023) |
| Lagged 11-month returns | 0.053** (0.031) | 0.046*** (0.051) | 0.049** (0.029) | 0.050*** (0.047) |
| Market cap (log) | 0.004 (0.007) | 0.012 (0.006) | 0.008 (0.007) | 0.011 (0.008) |
| Book-to market ratio | −0.138 (0.022) | −0.122 (0.018) | 0.209 (0.028) | 0.093 (0.019) |
| Long-term debt | −0.295** (0.067) | −0.303** (0.064) | −0.299** (0.059) | −0.284** (0.077) |
| Short-term debt | −0.436 (0.088) | −0.408 (0.099) | −0.399 (0.076) | −0.444 (0.090) |
| Cash Holdings | 0.202*** (0.331) | 0.189** (0.411) | 0.228*** (0.316) | 0.301*** (0.379) |
| Profitability | 0.700* (0.189) | 0.583* (0.124) | 0.687* (0.099) | 0.703* (0.122) |
| Momentum | −0.109** (0.069) | −0.137* (0.082) | −0.175* (0.084) | −0.166* (0.065) |
| Idiosyncratic risk | −0.999*** (0.655) | −0.881*** (0.654) | −0.878*** (0.661) | −0.770*** (0.653) |
| Industry controls | Yes | Yes | Yes | Yes |
| Country controls | Yes | Yes | Yes | Yes |
| Factor loadings | Yes | Yes | Yes | Yes |
| 1.994 | 1.994 | 1.994 | 1.994 | |
| Adj. | 0.400 | 0.350 | 0.393 | 0.399 |
Note(s): The control variables and returns are winsorized at the 1st and 99th percentiles. Heteroskedasticity-consistent standard errors are presented in parentheses. ***, ** and * indicate that the parameter estimate is significantly different from zero at the 1, 5 and 10% level, respectively
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