Table 2 Model 1.1 Random effects ESG E S...

Table 2

Model 1.1

	Random effects
	ESG	E	S	G	Subcomponents
Mkt-RF	0.533***	0.534***	0.534***	0.533***	0.534***
Mkt-RF	(0.024)	(0.024)	(0.024)	(0.024)	(0.024)
SMB	0.170**	0.173**	0.170**	0.168**	0.171**
SMB	(0.072)	(0.072)	(0.072)	(0.072)	(0.071)
HML	0.478***	0.475***	0.476***	0.482***	0.476***
HML	(0.081)	(0.081)	(0.081)	(0.081)	(0.081)
RMW	0.614***	0.610***	0.611***	0.616***	0.611***
RMW	(0.108)	(0.108)	(0.108)	(0.109)	(0.109)
CMA	−0.404***	−0.403***	−0.403***	−0.409***	−0.402***
CMA	(0.110)	(0.110)	(0.110)	(0.110)	(0.110)
ESG score	−0.009**
ESG score	(0.004)
E_ score		−0.007**			−0.003
E_ score		(0.003)			(0.004)
S_ score			−0.008**		−0.005
S_ score			(0.004)		(0.006)
G_ score				−0.006	−0.000
G_ score				(0.004)	(0.005)
const	0.138	0.008	0.029	−0.068	0.097
const	(0.240)	(0.198)	(0.210)	(0.243)	(0.254)
BIC	25017.85	25018.43	25018.0	25020.55	25034.1
Obs	3,929	3,929	3,929	3,929	3,929
R²	0.230	0.230	0.230	0.230	0.230
F-stat	195.311	195.185	195.279	194.729	146.458
LogLik	−12.475.822	−12.476.113	−12.475.896	−12.477.169	−12.475.670

	Random effects
	ESG	E	S	G	Subcomponents
Mkt-RF	0.533***	0.534***	0.534***	0.533***	0.534***
Mkt-RF	(0.024)	(0.024)	(0.024)	(0.024)	(0.024)
SMB	0.170**	0.173**	0.170**	0.168**	0.171**
SMB	(0.072)	(0.072)	(0.072)	(0.072)	(0.071)
HML	0.478***	0.475***	0.476***	0.482***	0.476***
HML	(0.081)	(0.081)	(0.081)	(0.081)	(0.081)
RMW	0.614***	0.610***	0.611***	0.616***	0.611***
RMW	(0.108)	(0.108)	(0.108)	(0.109)	(0.109)
CMA	−0.404***	−0.403***	−0.403***	−0.409***	−0.402***
CMA	(0.110)	(0.110)	(0.110)	(0.110)	(0.110)
ESG score	−0.009**
ESG score	(0.004)
E_ score		−0.007**			−0.003
E_ score		(0.003)			(0.004)
S_ score			−0.008**		−0.005
S_ score			(0.004)		(0.006)
G_ score				−0.006	−0.000
G_ score				(0.004)	(0.005)
const	0.138	0.008	0.029	−0.068	0.097
const	(0.240)	(0.198)	(0.210)	(0.243)	(0.254)
BIC	25017.85	25018.43	25018.0	25020.55	25034.1
Obs	3,929	3,929	3,929	3,929	3,929
R²	0.230	0.230	0.230	0.230	0.230
F-stat	195.311	195.185	195.279	194.729	146.458
LogLik	−12.475.822	−12.476.113	−12.475.896	−12.477.169	−12.475.670

Note(s): The dependent variable is return of REITs. In this model, ESG rating data are transformed into monthly data, resulting in two different analyses, assuming that the score assigned at year t remains the same each month of the year. The market factor is calculated as the difference between MKT and the risk free rate. Figures in parentheses show standard error. The subcomponents column represents the regression where all the three ESG pillars are analyzed together. Signs ***, **, * represent significant level at 1, 5, 10% respectively

Source(s): Authors’ own work

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