Fixed effect model with annual data
| Fixed effects | |||||
|---|---|---|---|---|---|
| ESG | E | S | G | Subcomponents | |
| Mkt-RF | 0.933*** | 0.922*** | 0.926*** | 0.937*** | 0.138*** |
| (0.0959) | (0.0966) | (0.0959) | (0.0962) | (0.0252) | |
| SMB | −0.763*** | −0.676*** | −0.704*** | −0.769*** | 0.353*** |
| (0.250) | (0.249) | (0.247) | (0.252) | (0.0659) | |
| HML | −0.304 | −0.455* | −0.421* | −0.281 | 0.129* |
| (0.255) | (0.247) | (0.243) | (0.260) | (0.0667) | |
| RMW | 2.556*** | 2.636*** | 2.605*** | 2.528*** | 0.102 |
| (0.401) | (0.403) | (0.400) | (0.403) | (0.108) | |
| CMA | 1.381*** | 1.631*** | 1.568*** | 1.368*** | 0.114 |
| (0.380) | (0.365) | (0.358) | (0.386) | (0.101) | |
| ESG score | −0.321** | ||||
| (0.134) | |||||
| E_ score | −0.118 | 0.0365 | |||
| (0.102) | (0.0308) | ||||
| S_ score | −0.245** | −0.0123 | |||
| (0.111) | (0.0349) | ||||
| G_ score | −0.223** | 0.0447 | |||
| (0.0977) | (0.0280) | ||||
| const | 11.52 | 0.679 | 6.786 | 4.943 | 3.301 |
| (7.771) | (6.544) | (6.281) | (5.330) | (2.053) | |
| Year FE | YES | YES | YES | YES | YES |
| Company FE | YES | YES | YES | YES | YES |
| Obs | 322 | 322 | 322 | 322 | 322 |
| R2 | 0.535 | 0.527 | 0.534 | 0.534 | 0.534 |
| Fixed effects | |||||
|---|---|---|---|---|---|
| ESG | E | S | G | Subcomponents | |
| Mkt-RF | 0.933*** | 0.922*** | 0.926*** | 0.937*** | 0.138*** |
| (0.0959) | (0.0966) | (0.0959) | (0.0962) | (0.0252) | |
| SMB | −0.763*** | −0.676*** | −0.704*** | −0.769*** | 0.353*** |
| (0.250) | (0.249) | (0.247) | (0.252) | (0.0659) | |
| HML | −0.304 | −0.455* | −0.421* | −0.281 | 0.129* |
| (0.255) | (0.247) | (0.243) | (0.260) | (0.0667) | |
| RMW | 2.556*** | 2.636*** | 2.605*** | 2.528*** | 0.102 |
| (0.401) | (0.403) | (0.400) | (0.403) | (0.108) | |
| CMA | 1.381*** | 1.631*** | 1.568*** | 1.368*** | 0.114 |
| (0.380) | (0.365) | (0.358) | (0.386) | (0.101) | |
| ESG score | −0.321** | ||||
| (0.134) | |||||
| E_ score | −0.118 | 0.0365 | |||
| (0.102) | (0.0308) | ||||
| S_ score | −0.245** | −0.0123 | |||
| (0.111) | (0.0349) | ||||
| G_ score | −0.223** | 0.0447 | |||
| (0.0977) | (0.0280) | ||||
| const | 11.52 | 0.679 | 6.786 | 4.943 | 3.301 |
| (7.771) | (6.544) | (6.281) | (5.330) | (2.053) | |
| Year FE | YES | YES | YES | YES | YES |
| Company FE | YES | YES | YES | YES | YES |
| Obs | 322 | 322 | 322 | 322 | 322 |
| 0.535 | 0.527 | 0.534 | 0.534 | 0.534 | |
| FE | ||||
|---|---|---|---|---|
| ESG | E | S | G | |
| Mkt-RF | 0.273*** | 0.450*** | 0.156*** | 0.335*** |
| (0.0522) | (0.0634) | (0.0597) | (0.0411) | |
| SMB | 0.279** | 0.0873 | 0.403*** | 0.360*** |
| (0.109) | (0.120) | (0.113) | (0.106) | |
| HML | 0.114 | −0.169 | 0.235* | 0.285** |
| (0.121) | (0.107) | (0.123) | (0.116) | |
| RMW | 1.996*** | 2.185*** | 1.710*** | 1.564*** |
| (0.180) | (0.191) | (0.190) | (0.188) | |
| CMA | 0.419** | 1.143*** | 0.00976 | −0.104 |
| (0.213) | (0.188) | (0.236) | (0.210) | |
| HESGL | 0.440*** | |||
| (0.0965) | ||||
| HEL | −0.0597 | |||
| (0.110) | ||||
| HSL | 0.585*** | |||
| (0.0968) | ||||
| HGL | 0.676*** | |||
| (0.0818) | ||||
| const | −2.116** | −5.246*** | −0.807 | −2.036*** |
| (0.870) | (0.990) | (0.917) | (0.709) | |
| Year FE | YES | YES | YES | YES |
| Company FE | YES | YES | YES | YES |
| Obs | 1,501 | 1,501 | 1,501 | 1,501 |
| R2 | 0.239 | 0.227 | 0.248 | 0.265 |
| FE | ||||
|---|---|---|---|---|
| ESG | E | S | G | |
| Mkt-RF | 0.273*** | 0.450*** | 0.156*** | 0.335*** |
| (0.0522) | (0.0634) | (0.0597) | (0.0411) | |
| SMB | 0.279** | 0.0873 | 0.403*** | 0.360*** |
| (0.109) | (0.120) | (0.113) | (0.106) | |
| HML | 0.114 | −0.169 | 0.235* | 0.285** |
| (0.121) | (0.107) | (0.123) | (0.116) | |
| RMW | 1.996*** | 2.185*** | 1.710*** | 1.564*** |
| (0.180) | (0.191) | (0.190) | (0.188) | |
| CMA | 0.419** | 1.143*** | 0.00976 | −0.104 |
| (0.213) | (0.188) | (0.236) | (0.210) | |
| HESGL | 0.440*** | |||
| (0.0965) | ||||
| HEL | −0.0597 | |||
| (0.110) | ||||
| HSL | 0.585*** | |||
| (0.0968) | ||||
| HGL | 0.676*** | |||
| (0.0818) | ||||
| const | −2.116** | −5.246*** | −0.807 | −2.036*** |
| (0.870) | (0.990) | (0.917) | (0.709) | |
| Year FE | YES | YES | YES | YES |
| Company FE | YES | YES | YES | YES |
| Obs | 1,501 | 1,501 | 1,501 | 1,501 |
| 0.239 | 0.227 | 0.248 | 0.265 | |
Note(s): In the following tables equation (2) and (3) are run through a fixed effect model and by using annual variables. 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. 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