Regression estimates for the period June 2018 to April 2021
| Institutional equity holdings | (1) | (2) | (3) | (4) |
|---|---|---|---|---|
| ESG score | 0.101** (0.033) | – | – | – |
| E score | – | 0.765** (0.129) | – | – |
| S score | – | – | 0.207** (0.011) | – |
| G score | – | – | – | 0.088 (0.041) |
| Lagged one-month returns | 0.014* (0.039) | 0.058** (0.034) | 0.042** (0.029) | 0.047* (0.033) |
| Lagged 11-month returns | 0.028** (0.128) | 0.108*** (0.080) | 0.105** (0.065) | 0.022** (0.075) |
| Market cap (log) | 0.121 (0.012) | 0.044 (0.016) | 0.033 (0.014) | 0.056 (0.033) |
| Book-to market ratio | 0.234 (0.140) | −0.992 (0.105) | 0.113 (0.044) | 0.464 (0.066) |
| Long-term debt | −0.501* (0.229) | −0.127* (0.110) | −0.315** (0.322) | −0.155** (0.161) |
| Short-term debt | −0.099 (0.022) | −0.077 (0.016) | −0.106 (0.051) | −0.177 (0.053) |
| Cash Holdings | 0.105** (0.188) | 0.099*** (0.368) | 0.173*** (0.199) | 0.241*** (0.131) |
| Profitability | 0.223 (0.067) | 0.355 (0.088) | 0.555 (0.194) | 0.533 (0.200) |
| Momentum | −0.290 (0.019) | −0.195 (0.032) | −0.201 (0.021) | −0.309 (0.123) |
| Idiosyncratic risk | −0.669** (0.090) | −0.786** (0.533) | −0.733*** (0.460) | −0.691*** (0.552) |
| Industry controls | Yes | Yes | Yes | Yes |
| Country controls | Yes | Yes | Yes | Yes |
| Factor loadings | Yes | Yes | Yes | Yes |
| N | 1.628 | 1.628 | 1.628 | 1.628 |
| Adj.R2 | 0.577 | 0.512 | 0.498 | 0.504 |
| Institutional equity holdings | (1) | (2) | (3) | (4) |
|---|---|---|---|---|
| ESG score | 0.101** (0.033) | – | – | – |
| E score | – | 0.765** (0.129) | – | – |
| S score | – | – | 0.207** (0.011) | – |
| G score | – | – | – | 0.088 (0.041) |
| Lagged one-month returns | 0.014* (0.039) | 0.058** (0.034) | 0.042** (0.029) | 0.047* (0.033) |
| Lagged 11-month returns | 0.028** (0.128) | 0.108*** (0.080) | 0.105** (0.065) | 0.022** (0.075) |
| Market cap (log) | 0.121 (0.012) | 0.044 (0.016) | 0.033 (0.014) | 0.056 (0.033) |
| Book-to market ratio | 0.234 (0.140) | −0.992 (0.105) | 0.113 (0.044) | 0.464 (0.066) |
| Long-term debt | −0.501* (0.229) | −0.127* (0.110) | −0.315** (0.322) | −0.155** (0.161) |
| Short-term debt | −0.099 (0.022) | −0.077 (0.016) | −0.106 (0.051) | −0.177 (0.053) |
| Cash Holdings | 0.105** (0.188) | 0.099*** (0.368) | 0.173*** (0.199) | 0.241*** (0.131) |
| Profitability | 0.223 (0.067) | 0.355 (0.088) | 0.555 (0.194) | 0.533 (0.200) |
| Momentum | −0.290 (0.019) | −0.195 (0.032) | −0.201 (0.021) | −0.309 (0.123) |
| Idiosyncratic risk | −0.669** (0.090) | −0.786** (0.533) | −0.733*** (0.460) | −0.691*** (0.552) |
| Industry controls | Yes | Yes | Yes | Yes |
| Country controls | Yes | Yes | Yes | Yes |
| Factor loadings | Yes | Yes | Yes | Yes |
| 1.628 | 1.628 | 1.628 | 1.628 | |
| Adj. | 0.577 | 0.512 | 0.498 | 0.504 |
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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