Table 6 Fixed effect model Fixed effects...

Table 6

Fixed effect model

	Fixed effects
	ESG	E	S	G	Subcomponents
Mkt-RF	0.570***	0.571***	0.571***	0.570***	0.570***
Mkt-RF	(0.0249)	(0.0249)	(0.0249)	(0.0249)	(0.0249)
SMB	−0.00738	0.00140	−0.00176	−0.00433	−0.00720
SMB	(0.0674)	(0.0674)	(0.0673)	(0.0674)	(0.0674)
HML	0.387***	0.368***	0.372***	0.381***	0.385***
HML	(0.0772)	(0.0770)	(0.0768)	(0.0773)	(0.0774)
RMW	0.566***	0.551***	0.553***	0.565***	0.564***
RMW	(0.105)	(0.105)	(0.105)	(0.105)	(0.105)
CMA	−0.324***	−0.306***	−0.311***	−0.307***	−0.321***
CMA	(0.118)	(0.118)	(0.117)	(0.117)	(0.118)
ESG score	−0.0415***
ESG score	(0.0120)
E_ score		−0.0202**			−0.000649
E_ score		(0.00953)			(0.0114)
S_ score			−0.0377***		−0.0304**
S_ score			(0.0107)		(0.0130)
G_ score				−0.0233***	−0.0136
G_ score				(0.00843)	(0.00938)
const	2.255***	1.155*	1.966***	1.113**	2.316***
const	(0.692)	(0.603)	(0.598)	(0.453)	(0.705)
Year FE	YES	YES	YES	YES	YES
Company FE	YES	YES	YES	YES	YES
Obs	3,929	3,929	3,929	3,929	3,929
R²	0.213	0.212	0.213	0.212	0.214

	Fixed effects
	ESG	E	S	G	Subcomponents
Mkt-RF	0.570***	0.571***	0.571***	0.570***	0.570***
Mkt-RF	(0.0249)	(0.0249)	(0.0249)	(0.0249)	(0.0249)
SMB	−0.00738	0.00140	−0.00176	−0.00433	−0.00720
SMB	(0.0674)	(0.0674)	(0.0673)	(0.0674)	(0.0674)
HML	0.387***	0.368***	0.372***	0.381***	0.385***
HML	(0.0772)	(0.0770)	(0.0768)	(0.0773)	(0.0774)
RMW	0.566***	0.551***	0.553***	0.565***	0.564***
RMW	(0.105)	(0.105)	(0.105)	(0.105)	(0.105)
CMA	−0.324***	−0.306***	−0.311***	−0.307***	−0.321***
CMA	(0.118)	(0.118)	(0.117)	(0.117)	(0.118)
ESG score	−0.0415***
ESG score	(0.0120)
E_ score		−0.0202**			−0.000649
E_ score		(0.00953)			(0.0114)
S_ score			−0.0377***		−0.0304**
S_ score			(0.0107)		(0.0130)
G_ score				−0.0233***	−0.0136
G_ score				(0.00843)	(0.00938)
const	2.255***	1.155*	1.966***	1.113**	2.316***
const	(0.692)	(0.603)	(0.598)	(0.453)	(0.705)
Year FE	YES	YES	YES	YES	YES
Company FE	YES	YES	YES	YES	YES
Obs	3,929	3,929	3,929	3,929	3,929
R²	0.213	0.212	0.213	0.212	0.214

	FE
	ESG	E	S	G
Mkt-RF	0.281***	0.269***	0.249***	0.308***
Mkt-RF	(0.0145)	(0.0146)	(0.0148)	(0.0137)
SMB	0.159***	0.163***	0.180***	0.124***
SMB	(0.0365)	(0.0364)	(0.0364)	(0.0363)
HML	0.177***	0.112***	0.117***	0.165***
HML	(0.0418)	(0.0430)	(0.0422)	(0.0426)
RMW	0.169***	0.0666	0.0757	0.142**
RMW	(0.0582)	(0.0603)	(0.0590)	(0.0598)
CMA	−0.166***	−0.158**	−0.171***	−0.159**
CMA	(0.0632)	(0.0631)	(0.0630)	(0.0632)
HESGL	0.165***
HESGL	(0.0195)
HEL		0.193***
HEL		(0.0192)
HSL			0.267***
HSL			(0.0220)
HGL				0.151***
HGL				(0.0219)
const	0.124**	0.154***	0.200***	0.0784
const	(0.0579)	(0.0580)	(0.0583)	(0.0572)
Year FE	YES	YES	YES	YES
Company FE	YES	YES	YES	YES
Obs	11,770	11,770	11,770	11,770
R²	0.076	0.078	0.081	0.074

	FE
	ESG	E	S	G
Mkt-RF	0.281***	0.269***	0.249***	0.308***
Mkt-RF	(0.0145)	(0.0146)	(0.0148)	(0.0137)
SMB	0.159***	0.163***	0.180***	0.124***
SMB	(0.0365)	(0.0364)	(0.0364)	(0.0363)
HML	0.177***	0.112***	0.117***	0.165***
HML	(0.0418)	(0.0430)	(0.0422)	(0.0426)
RMW	0.169***	0.0666	0.0757	0.142**
RMW	(0.0582)	(0.0603)	(0.0590)	(0.0598)
CMA	−0.166***	−0.158**	−0.171***	−0.159**
CMA	(0.0632)	(0.0631)	(0.0630)	(0.0632)
HESGL	0.165***
HESGL	(0.0195)
HEL		0.193***
HEL		(0.0192)
HSL			0.267***
HSL			(0.0220)
HGL				0.151***
HGL				(0.0219)
const	0.124**	0.154***	0.200***	0.0784
const	(0.0579)	(0.0580)	(0.0583)	(0.0572)
Year FE	YES	YES	YES	YES
Company FE	YES	YES	YES	YES
Obs	11,770	11,770	11,770	11,770
R²	0.076	0.078	0.081	0.074

Note(s): In the following tables equation (2) and (3) are run through a fixed effect model. The dependent variable is return of REITs. The market factor is calculated as the difference between MKT and the risk free rate. Figures in parentheses show standard error. The HESGL is the difference in excess return between top 25% ESG rated portfolio and bottom 25% ESG rated portfolio (top minus bottom). 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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