Variables
| Variables | Description | Measure | Source |
|---|---|---|---|
| Dependent Variables | |||
| BETA | 5-year monthly Systematic Risk estimation | Ratio | Thomson Reuters© |
| VOLATILITY | 5-year standard deviation on daily variation rate of stock prices | Standard Deviation | Yahoo Finance |
| Independent Variables | |||
| SER | The 5-year compound average growth rate of ESG rating | Value | Sustainalytics© |
| ENV | The 5-year compound average growth rate of environmental scores | Value | Sustainalytics© |
| SOC | The 5-year compound average growth rate of social scores | Value | Sustainalytics© |
| GOV | The 5-year compound average growth rate of governance scores | Value | Sustainalytics© |
| Control variables | |||
| TA | The total amount of assets owned by the companies | Value | Morningstar© |
| PE | Company’s current share price relative to its per-share earnings | Ratio | Morningstar© |
| EMP | Full-time employees working at companies headquarter or branches within the 2018 fiscal year | Value | Yahoo Finance |
| GICS Industry Sectors | Industry taxonomy ranking all companies into 11 industrial sectors | ||
| CD | Consumer Discretionary Sector | 0.1 | GICS® |
| CS | Consumer Staples Sector | 0.1 | GICS® |
| ES | Energy Sector | 0.1 | GICS® |
| FIN | Financials Sector | 0.1 | GICS® |
| HC | Health Care Sector | 0.1 | GICS® |
| IND | Industrials Sector | 0.1 | GICS® |
| IT | Information Technology Sector | 0.1 | GICS® |
| MAT | Materials Sector | 0.1 | GICS® |
| RE | Real Estate Sector | 0.1 | GICS® |
| TS | Telecommunications Services Sector | 0.1 | GICS® |
| US | Utilities Sector | 0.1 | GICS® |
| Variables | Description | Measure | Source |
|---|---|---|---|
| BETA | 5-year monthly Systematic Risk estimation | Ratio | Thomson Reuters© |
| VOLATILITY | 5-year standard deviation on daily variation rate of stock prices | Standard Deviation | Yahoo Finance |
| SER | The 5-year compound average growth rate of ESG rating | Value | Sustainalytics© |
| ENV | The 5-year compound average growth rate of environmental scores | Value | Sustainalytics© |
| SOC | The 5-year compound average growth rate of social scores | Value | Sustainalytics© |
| GOV | The 5-year compound average growth rate of governance scores | Value | Sustainalytics© |
| TA | The total amount of assets owned by the companies | Value | Morningstar© |
| PE | Company’s current share price relative to its per-share earnings | Ratio | Morningstar© |
| EMP | Full-time employees working at companies headquarter or branches within the 2018 fiscal year | Value | Yahoo Finance |
| Industry taxonomy ranking all companies into 11 industrial sectors | |||
| CD | Consumer Discretionary Sector | 0.1 | GICS® |
| CS | Consumer Staples Sector | 0.1 | GICS® |
| ES | Energy Sector | 0.1 | GICS® |
| FIN | Financials Sector | 0.1 | GICS® |
| HC | Health Care Sector | 0.1 | GICS® |
| IND | Industrials Sector | 0.1 | GICS® |
| IT | Information Technology Sector | 0.1 | GICS® |
| MAT | Materials Sector | 0.1 | GICS® |
| RE | Real Estate Sector | 0.1 | GICS® |
| TS | Telecommunications Services Sector | 0.1 | GICS® |
| US | Utilities Sector | 0.1 | GICS® |
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