Model total return
| Models | 2 | 2A | 2B | 2C |
|---|---|---|---|---|
| Total return | ||||
| Dependent variable | ||||
| Property sector | All real estate companies | Commercial REITs | Real estate rental, development, and operations | Specialized REITs |
| Geographic region | World | World | World | World |
| Independent variables | ||||
| Enviromental score | 0.089 | −0.084 | 0.174 | 0.124 |
| (0.059) | (0.056) | (0.179) | (0.093) | |
| Social score | −0.211** | 0.073 | −0.580* | −0.133 |
| (0.089) | (0.095) | (0.317) | (0.136) | |
| Governance score | −0.119* | −0.195*** | 0.017 | 0.054 |
| (0.064) | (0.068) | (0.143) | (0.096) | |
| Ebitda margin | 0.035 | 0.019 | 0.311 | 0.019 |
| (0.031) | (0.089) | (0.209) | (0.025) | |
| Log market cap | 27.12*** | 14.87*** | 42.76*** | 28.87*** |
| (2.077) | (2.340) | (6.484) | (4.241) | |
| Beta levered | 6.233*** | 4.018 | 6.718 | −1.139 |
| (1.929) | (3.608) | (6.450) | (3.930) | |
| Floating shares | −0.177* | −0.026 | −0.229 | −0.149 |
| (0.106) | (0.137) | (0.188) | (0.202) | |
| Constant | −570.4*** | −314.3*** | −914.3*** | −619.1*** |
| (44.50) | (51.21) | (135.09) | (93.47) | |
| Observations | 1,407 | 546 | 364 | 308 |
| R-squared | 35.21% | 57.81% | 37.77% | 51.55% |
| Models | 2 | 2A | 2B | 2C |
|---|---|---|---|---|
| Total return | ||||
| Property sector | All real estate companies | Commercial REITs | Real estate rental, development, and operations | Specialized REITs |
| Geographic region | World | World | World | World |
| Enviromental score | 0.089 | −0.084 | 0.174 | 0.124 |
| (0.059) | (0.056) | (0.179) | (0.093) | |
| Social score | −0.211** | 0.073 | −0.580* | −0.133 |
| (0.089) | (0.095) | (0.317) | (0.136) | |
| Governance score | −0.119* | −0.195*** | 0.017 | 0.054 |
| (0.064) | (0.068) | (0.143) | (0.096) | |
| Ebitda margin | 0.035 | 0.019 | 0.311 | 0.019 |
| (0.031) | (0.089) | (0.209) | (0.025) | |
| Log market cap | 27.12*** | 14.87*** | 42.76*** | 28.87*** |
| (2.077) | (2.340) | (6.484) | (4.241) | |
| Beta levered | 6.233*** | 4.018 | 6.718 | −1.139 |
| (1.929) | (3.608) | (6.450) | (3.930) | |
| Floating shares | −0.177* | −0.026 | −0.229 | −0.149 |
| (0.106) | (0.137) | (0.188) | (0.202) | |
| Constant | −570.4*** | −314.3*** | −914.3*** | −619.1*** |
| (44.50) | (51.21) | (135.09) | (93.47) | |
| Observations | 1,407 | 546 | 364 | 308 |
| 35.21% | 57.81% | 37.77% | 51.55% | |
| Models | 2D | 2E | 2F | 2G |
|---|---|---|---|---|
| Total return | ||||
| Dependent variable | ||||
| Property sector | All real estate companies | All real estate companies | All real estate companies | All real estate companies |
| Geographic region | America | Asia | Oceania | Europe |
| Independent variables | ||||
| Enviromental score | −0.101 | 0.232 | 0.086 | 0.366 |
| (0.066) | (0.185) | (0.144) | (0.230) | |
| Social score | 0.012 | −0.425 | −0.106 | −0.210 |
| (0.099) | (0.349) | (0.163) | (0.343) | |
| Governance score | −0.192*** | −0.257 | 0.260** | −0.039 |
| (0.071) | (0.249) | (0.099) | (0.219) | |
| Ebitda margin | 0.014 | 0.170 | 0.221 | 0.092 |
| (0.028) | (0.235) | (0.246) | (0.278) | |
| Log market cap | 22.10*** | 35.34*** | 13.80*** | 31.47*** |
| (2.272) | (8.357) | (3.996) | (8.473) | |
| Beta levered | 2.298 | 18.378 | 1.960 | −3.938 |
| (2.002) | (13.921) | (3.985) | (7.506) | |
| Floating shares | −0.316** | 0.040 | −0.016 | −0.139 |
| (0.125) | (0.213) | (0.196) | (0.307) | |
| Constant | −451.1*** | −796.3*** | −297.7*** | −681.9*** |
| (48.94) | (183.27) | (93.38) | (184.35) | |
| Observations | 847 | 231 | 189 | 119 |
| R-squared | 48.86% | 44.03% | 33.96% | 18.04% |
| Models | 2D | 2E | 2F | 2G |
|---|---|---|---|---|
| Total return | ||||
| Property sector | All real estate companies | All real estate companies | All real estate companies | All real estate companies |
| Geographic region | America | Asia | Oceania | Europe |
| Enviromental score | −0.101 | 0.232 | 0.086 | 0.366 |
| (0.066) | (0.185) | (0.144) | (0.230) | |
| Social score | 0.012 | −0.425 | −0.106 | −0.210 |
| (0.099) | (0.349) | (0.163) | (0.343) | |
| Governance score | −0.192*** | −0.257 | 0.260** | −0.039 |
| (0.071) | (0.249) | (0.099) | (0.219) | |
| Ebitda margin | 0.014 | 0.170 | 0.221 | 0.092 |
| (0.028) | (0.235) | (0.246) | (0.278) | |
| Log market cap | 22.10*** | 35.34*** | 13.80*** | 31.47*** |
| (2.272) | (8.357) | (3.996) | (8.473) | |
| Beta levered | 2.298 | 18.378 | 1.960 | −3.938 |
| (2.002) | (13.921) | (3.985) | (7.506) | |
| Floating shares | −0.316** | 0.040 | −0.016 | −0.139 |
| (0.125) | (0.213) | (0.196) | (0.307) | |
| Constant | −451.1*** | −796.3*** | −297.7*** | −681.9*** |
| (48.94) | (183.27) | (93.38) | (184.35) | |
| Observations | 847 | 231 | 189 | 119 |
| 48.86% | 44.03% | 33.96% | 18.04% | |
Note(s): ***, **, and * indicates statistically significant levels of 1%, 5% and 10%, respectively
Source(s): Authors’ own work
Sharing content requires targeting cookies to be enabled. Please update your cookie preferences to use this feature.