Table 8

Model 3.1–3.2

Fixed effects
ESGESGSubcomponents
Model 3.1
EREIT-RF0.531***0.533***0.532***0.532***0.531***
(0.0245)(0.0245)(0.0245)(0.0245)(0.0245)
SIZEREIT0.251***0.252***0.250***0.250***0.250***
(0.0184)(0.0184)(0.0184)(0.0184)(0.0184)
HMLREIT−0.0760***−0.0764***−0.0758***−0.0751***−0.0757***
(0.0753)(0.0751)(0.0749)(0.0754)(0.0175)
ESG score−0.0416***    
(0.0117)    
E_ score −0.0226**  −0.00493
 (0.00929)  (0.0111)
S_ score  −0.0366*** −0.0278**
  (0.0104) (0.0126)
G_ score   −0.0220***−0.0116
   (0.00822)(0.00914)
const2.270***1.309**1.916***1.052**2.350***
(0.674)(0.588)(0.582)(0.441)(0.687)
Year FEYESYESYESYESYES
Company FEYESYESYESYESYES
Obs3,9293,9293,9293,9293,929
R20.2540.2520.2540.2520.254
FE
ESGESG
Model 3.2
EREIT-RF0.235***0.227***0.207***0.259***
(0.0132)(0.0133)(0.0135)(0.0124)
SIZEREIT0.296***0.294***0.293***0.296***
(0.00915)(0.00915)(0.00913)(0.00916)
HMLREIT0.334***0.334***0.334***0.334***
(0.00838)(0.00837)(0.00836)(0.00839)
HESGL0.153***   
(0.0177)   
HEL 0.169***  
 (0.0175)  
HSL  0.241*** 
  (0.0200) 
HGL   0.141***
   (0.0199)
const0.145***0.164***0.210***0.103**
(0.0527)(0.0528)(0.0530)(0.0520)
Year FEYESYESYESYES
Company FEYESYESYESYES
Obs11,77011,77011,77011,770
R20.2390.2270.2480.265

Note(s): The market factor is calculated as the difference between EREIT 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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