Table 3 Model 1.2 Random effects ESG E S...

Table 3

Model 1.2

	Random effects
	ESG	E	S	G	Subcomponents
Mkt-RF	0.556***	0.556***	0.556***	0.556***	0.556***
Mkt-RF	(0.028)	(0.028)	(0.028)	(0.028)	(0.028)
SMB	0.093	0.095	0.093	0.092	0.092
SMB	(0.081)	(0.081)	(0.081)	(0.081)	(0.081)
HML	0.502***	0.500***	0.499***	0.503***	0.497***
HML	(0.093)	(0.093)	(0.093)	(0.093)	(0.093)
RMW	0.598***	0.596***	0.596***	0.598***	0.591***
RMW	(0.124)	(0.124)	(0.124)	(0.125)	(0.124)
CMA	−0.440***	−0.442***	−0.438***	−0.445***	−0.439***
CMA	(0.124)	(0.124)	(0.124)	(0.124)	(0.124)
ESG_score	−0.007
ESG_score	(0.005)
E_ score		−0.003			0.006
E_ score		(0.004)			(0.006)
S_ score			−0.009**		−0.015**
S_ score			(0.004)		(0.007)
G_ score				−0.005	0.002
G_ score				(0.005)	(0.006)
const	0.019	−0.200	0.098	−0.149	−0.043
const	(0.295)	(0.252)	(0.257)	(0.280)	(0.305)
BIC	20962.63	20963.95	20960.45	20963.82	20975.47
Obs	3,268	3,268	3,268	3,268	3,268
R²	0.229	0.229	0.230	0.229	0.230
F-stat	161.517	161.233	161.989	161.262	121.604
LogLik	−10448.947	−10449.608	−10447.855	−10449.541	−10447.278

	Random effects
	ESG	E	S	G	Subcomponents
Mkt-RF	0.556***	0.556***	0.556***	0.556***	0.556***
Mkt-RF	(0.028)	(0.028)	(0.028)	(0.028)	(0.028)
SMB	0.093	0.095	0.093	0.092	0.092
SMB	(0.081)	(0.081)	(0.081)	(0.081)	(0.081)
HML	0.502***	0.500***	0.499***	0.503***	0.497***
HML	(0.093)	(0.093)	(0.093)	(0.093)	(0.093)
RMW	0.598***	0.596***	0.596***	0.598***	0.591***
RMW	(0.124)	(0.124)	(0.124)	(0.125)	(0.124)
CMA	−0.440***	−0.442***	−0.438***	−0.445***	−0.439***
CMA	(0.124)	(0.124)	(0.124)	(0.124)	(0.124)
ESG_score	−0.007
ESG_score	(0.005)
E_ score		−0.003			0.006
E_ score		(0.004)			(0.006)
S_ score			−0.009**		−0.015**
S_ score			(0.004)		(0.007)
G_ score				−0.005	0.002
G_ score				(0.005)	(0.006)
const	0.019	−0.200	0.098	−0.149	−0.043
const	(0.295)	(0.252)	(0.257)	(0.280)	(0.305)
BIC	20962.63	20963.95	20960.45	20963.82	20975.47
Obs	3,268	3,268	3,268	3,268	3,268
R²	0.229	0.229	0.230	0.229	0.230
F-stat	161.517	161.233	161.989	161.262	121.604
LogLik	−10448.947	−10449.608	−10447.855	−10449.541	−10447.278

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 a constant REIT evolution towards the rating of year t+1, by linearly interpolating the score each month. The market factor is calculated as the difference between MKT and the risk free rate. The subcomponents column represents the regression where all the three ESG pillars are analyzed together. Figures in parentheses show standard error. Signs ***, **, * represent significant level at 1, 5, 10% respectively

Source(s): Authors’ own work

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