Table 5 Model 2.2 2015–2019 2020–2023...

Table 5

Model 2.2

	2015–2019				2020–2023
	ESG	E	S	G	ESG	E	S	G
Mkt-RF	0.274***	0.267***	0.247***	0.349***	0.306***	0.306***	0.294***	0.297***
Mkt-RF	(0.027)	(0.027)	(0.027)	(0.024)	(0.023)	(0.024)	(0.024)	(0.023)
SMB	0.134**	0.139**	0.176***	0.099*	0.215***	0.216***	0.205***	0.206***
SMB	(0.058)	(0.058)	(0.059)	(0.058)	(0.072)	(0.071)	(0.071)	(0.071)
HML	0.086	0.027	0.068	0.101	0.342***	0.346***	0.287***	0.271***
HML	(0.090)	(0.090)	(0.089)	(0.090)	(0.088)	(0.086)	(0.086)	(0.088)
RMW	0.022	−0.050	0.009	0.124	0.485***	0.487***	0.422***	0.427***
RMW	(0.098)	(0.101)	(0.097)	(0.099)	(0.120)	(0.124)	(0.120)	(0.118)
CMA	−0.329***	−0.297***	−0.296***	−0.233**	−0.148	−0.152	−0.132	−0.104
CMA	(0.114)	(0.113)	(0.112)	(0.112)	(0.106)	(0.101)	(0.103)	(0.108)
HESGL	0.212***				0.008
HESGL	(0.034)				(0.044)
HEL		0.252***				0.004
HEL		(0.039)				(0.043)
HSL			0.288***				0.073
HSL			(0.038)				(0.045)
HGL				0.093**				0.091**
HGL				(0.043)				(0.046)
const	0.301***	0.373***	0.305***	0.176**	−0.675***	−0.683***	−0.567***	−0.549***
const	(0.079)	(0.081)	(0.078)	(0.077)	(0.137)	(0.128)	(0.137)	(0.132)
BIC	40252.94	40245.83	40226.9	40288.18	32192.87	32192.91	32189.55	32187.42
Obs	6,302	6,302	6,302	6,302	5,468	5,468	5,468	5,468
R²	0.059	0.060	0.063	0.054	0.114	0.113	0.113	0.113
F-stat	65.798	67.056	70.414	59.579	100.146	100.139	100.769	101.169
LogLik	−20091.474	−20087.920	−20078.455	−20109.098	−16062.556	−16062.574	−16060.894	−16059.828

	2015–2019				2020–2023
	ESG	E	S	G	ESG	E	S	G
Mkt-RF	0.274***	0.267***	0.247***	0.349***	0.306***	0.306***	0.294***	0.297***
Mkt-RF	(0.027)	(0.027)	(0.027)	(0.024)	(0.023)	(0.024)	(0.024)	(0.023)
SMB	0.134**	0.139**	0.176***	0.099*	0.215***	0.216***	0.205***	0.206***
SMB	(0.058)	(0.058)	(0.059)	(0.058)	(0.072)	(0.071)	(0.071)	(0.071)
HML	0.086	0.027	0.068	0.101	0.342***	0.346***	0.287***	0.271***
HML	(0.090)	(0.090)	(0.089)	(0.090)	(0.088)	(0.086)	(0.086)	(0.088)
RMW	0.022	−0.050	0.009	0.124	0.485***	0.487***	0.422***	0.427***
RMW	(0.098)	(0.101)	(0.097)	(0.099)	(0.120)	(0.124)	(0.120)	(0.118)
CMA	−0.329***	−0.297***	−0.296***	−0.233**	−0.148	−0.152	−0.132	−0.104
CMA	(0.114)	(0.113)	(0.112)	(0.112)	(0.106)	(0.101)	(0.103)	(0.108)
HESGL	0.212***				0.008
HESGL	(0.034)				(0.044)
HEL		0.252***				0.004
HEL		(0.039)				(0.043)
HSL			0.288***				0.073
HSL			(0.038)				(0.045)
HGL				0.093**				0.091**
HGL				(0.043)				(0.046)
const	0.301***	0.373***	0.305***	0.176**	−0.675***	−0.683***	−0.567***	−0.549***
const	(0.079)	(0.081)	(0.078)	(0.077)	(0.137)	(0.128)	(0.137)	(0.132)
BIC	40252.94	40245.83	40226.9	40288.18	32192.87	32192.91	32189.55	32187.42
Obs	6,302	6,302	6,302	6,302	5,468	5,468	5,468	5,468
R²	0.059	0.060	0.063	0.054	0.114	0.113	0.113	0.113
F-stat	65.798	67.056	70.414	59.579	100.146	100.139	100.769	101.169
LogLik	−20091.474	−20087.920	−20078.455	−20109.098	−16062.556	−16062.574	−16060.894	−16059.828

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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