Table 4 Model 2.1 RE ESG E S G Mkt-RF...

Table 4

Model 2.1

	RE
	ESG	E	S	G
Mkt-RF	0.282***	0.274***	0.254***	0.303***
Mkt-RF	(0.017)	(0.017)	(0.017)	(0.016)
SMB	0.223***	0.214***	0.238***	0.214***
SMB	(0.044)	(0.044)	(0.044)	(0.044)
HML	0.259***	0.225***	0.198***	0.256***
HML	(0.051)	(0.052)	(0.051)	(0.051)
RMW	0.237***	0.185***	0.153**	0.232***
RMW	(0.069)	(0.071)	(0.069)	(0.069)
CMA	−0.222***	−0.231***	−0.222***	−0.202***
CMA	(0.071)	(0.071)	(0.072)	(0.071)
HESGL	0.125***
HESGL	(0.025)
HEL		0.139***
HEL		(0.026)
HSL			0.213***
HSL			(0.028)
HGL				0.106***
HGL				(0.029)
const	−0.126	−0.122	−0.046	−0.165**
const	(0.078)	(0.078)	(0.077)	(0.076)
BIC	77107.86	77102.05	77064.91	77122.98
Obs	11,770	11,770	11,770	11,770
R²	0.085	0.085	0.088	0.083
F-stat	181.242	182.324	189.373	178.583
LogLik	−38516.439	−38513.533	−38494.963	−38523.997

	RE
	ESG	E	S	G
Mkt-RF	0.282***	0.274***	0.254***	0.303***
Mkt-RF	(0.017)	(0.017)	(0.017)	(0.016)
SMB	0.223***	0.214***	0.238***	0.214***
SMB	(0.044)	(0.044)	(0.044)	(0.044)
HML	0.259***	0.225***	0.198***	0.256***
HML	(0.051)	(0.052)	(0.051)	(0.051)
RMW	0.237***	0.185***	0.153**	0.232***
RMW	(0.069)	(0.071)	(0.069)	(0.069)
CMA	−0.222***	−0.231***	−0.222***	−0.202***
CMA	(0.071)	(0.071)	(0.072)	(0.071)
HESGL	0.125***
HESGL	(0.025)
HEL		0.139***
HEL		(0.026)
HSL			0.213***
HSL			(0.028)
HGL				0.106***
HGL				(0.029)
const	−0.126	−0.122	−0.046	−0.165**
const	(0.078)	(0.078)	(0.077)	(0.076)
BIC	77107.86	77102.05	77064.91	77122.98
Obs	11,770	11,770	11,770	11,770
R²	0.085	0.085	0.088	0.083
F-stat	181.242	182.324	189.373	178.583
LogLik	−38516.439	−38513.533	−38494.963	−38523.997

Note(s): The dependent variable is return of REITs. The market factor is calculated as the difference between MKT and the risk free rate. The HESGL is the difference in excess return between top 25% ESG rated portfolio and bottom 25% ESG rated portfolio (top minus bottom). Figures in parentheses show standard error. Signs ***, **, * represent significant level at 1, 5, 10% respectively

Source(s): Authors’ own work

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