2SLS: second-stage regression model 1
| Models | 1D | 1E | 1F | 1G |
|---|---|---|---|---|
| ROA | ||||
| 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 | −0.005 | 0.009 | 0.025 | 0.012 |
| (0.007) | (0.011) | (0.033) | (0.028) | |
| Social score | 0.018 | −0.028** | −0.129*** | −0.065* |
| (0.012) | (0.012) | (0.043) | (0.037) | |
| Governance score | −0.005 | 0.013 | 0.085*** | −0.010 |
| (0.009) | (0.013) | (0.031) | (0.028) | |
| Ebitda margin | 0.015*** | 0.018** | 0.100** | 0.102*** |
| (0.004) | (0.008) | (0.039) | (0.031) | |
| Log total assets | −0.143 | 1.823*** | 5.174*** | −2.251 |
| (0.249) | (0.563) | (1.630) | (5.651) | |
| Debt on assets | −0.042*** | −0.083*** | −0.134*** | −0.378*** |
| (0.013) | (0.029) | (0.047) | (0.091) | |
| Beta levered | 1.799*** | −1.625*** | −2.955** | −2.512** |
| (0.544) | (0.565) | (1.169) | (1.045) | |
| Constant | 8.537 | −31.868** | −97.796*** | 22.953*** |
| (5.609) | (12.758) | (33.988) | (4.607) | |
| R-squared | 21.63% | 39.40% | 46.57% | 23.40% |
| Observations | 875 | 364 | 196 | 231 |
| Models | 1D | 1E | 1F | 1G |
|---|---|---|---|---|
| ROA | ||||
| 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 | −0.005 | 0.009 | 0.025 | 0.012 |
| (0.007) | (0.011) | (0.033) | (0.028) | |
| Social score | 0.018 | −0.028** | −0.129*** | −0.065* |
| (0.012) | (0.012) | (0.043) | (0.037) | |
| Governance score | −0.005 | 0.013 | 0.085*** | −0.010 |
| (0.009) | (0.013) | (0.031) | (0.028) | |
| Ebitda margin | 0.015*** | 0.018** | 0.100** | 0.102*** |
| (0.004) | (0.008) | (0.039) | (0.031) | |
| Log total assets | −0.143 | 1.823*** | 5.174*** | −2.251 |
| (0.249) | (0.563) | (1.630) | (5.651) | |
| Debt on assets | −0.042*** | −0.083*** | −0.134*** | −0.378*** |
| (0.013) | (0.029) | (0.047) | (0.091) | |
| Beta levered | 1.799*** | −1.625*** | −2.955** | −2.512** |
| (0.544) | (0.565) | (1.169) | (1.045) | |
| Constant | 8.537 | −31.868** | −97.796*** | 22.953*** |
| (5.609) | (12.758) | (33.988) | (4.607) | |
| 21.63% | 39.40% | 46.57% | 23.40% | |
| Observations | 875 | 364 | 196 | 231 |
| Dependent variable | ||||
|---|---|---|---|---|
| Models | E | S | G | |
| Independent variables | ||||
| Enviromental score | 0.9053121*** | 1.038*** | ||
| (0.053) | (0.079) | |||
| Social score | ||||
| Governance score | 1.025166*** | |||
| (0.057) | ||||
| Control variables | YES | YES | YES | |
| Year FE | YES | YES | YES | |
| Company FE | YES | YES | YES | |
| Underidentification test | 26.954*** | 19.487*** | 19.804*** | |
| Weak identification test | 333.85 | 184.77 | 335.99 | |
| Observations | 1,685 | 1,685 | 1,685 | |
| Models | E | S | G | |
|---|---|---|---|---|
| Enviromental score | 0.9053121*** | 1.038*** | ||
| (0.053) | (0.079) | |||
| Social score | ||||
| Governance score | 1.025166*** | |||
| (0.057) | ||||
| Control variables | YES | YES | YES | |
| Year FE | YES | YES | YES | |
| Company FE | YES | YES | YES | |
| Underidentification test | 26.954*** | 19.487*** | 19.804*** | |
| Weak identification test | 333.85 | 184.77 | 335.99 | |
| Observations | 1,685 | 1,685 | 1,685 | |
| Models | 1 | 1A | 1B | 1C |
|---|---|---|---|---|
| ROA | ||||
| 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 | 0.266*** | 0.120*** | 0.0743*** | 0.264*** |
| (0.0522) | (0.0222) | (0.0273) | (0.0348) | |
| Social score | −0.139* | −0.438*** | −0.276*** | 0.0114 |
| (0.0778) | (0.0729) | (0.0719) | (0.0734) | |
| Governance score | 0.109 | 0.207*** | 0.101* | 0.122 |
| (0.0765) | (0.0350) | (0.0536) | (0.0344) | |
| Control variables | YES | YES | YES | YES |
| Year FE | YES | YES | YES | YES |
| Company FE | YES | YES | YES | YES |
| R-squared | 22.7% | 26.8% | 29.6% | 40.9% |
| Observations | 1,687 | 574 | 630 | 301 |
| Models | 1 | 1A | 1B | 1C |
|---|---|---|---|---|
| ROA | ||||
| Property sector | All real estate companies | Commercial REITs | Real estate rental, development and operations | Specialized REITs |
| Geographic region | World | World | World | World |
| Enviromental score | 0.266*** | 0.120*** | 0.0743*** | 0.264*** |
| (0.0522) | (0.0222) | (0.0273) | (0.0348) | |
| Social score | −0.139* | −0.438*** | −0.276*** | 0.0114 |
| (0.0778) | (0.0729) | (0.0719) | (0.0734) | |
| Governance score | 0.109 | 0.207*** | 0.101* | 0.122 |
| (0.0765) | (0.0350) | (0.0536) | (0.0344) | |
| Control variables | YES | YES | YES | YES |
| Year FE | YES | YES | YES | YES |
| Company FE | YES | YES | YES | YES |
| 22.7% | 26.8% | 29.6% | 40.9% | |
| Observations | 1,687 | 574 | 630 | 301 |
| Models | 1D | 1E | 1F | 1G |
|---|---|---|---|---|
| ROA | ||||
| 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 | 0.0247 | 0.0740 | 0.182** | 0.266*** |
| (0.0495) | (0.0907) | (0.0872) | (0.0522) | |
| Social score | −0.171*** | 0.0320 | −0.505** | −0.139* |
| (0.0491) | (0.195) | (0.204) | (0.0778) | |
| Governance score | 0.132*** | 0.0183 | 0.235*** | 0.109 |
| (0.0510) | (0.0897) | (0.0801) | (0.0765) | |
| Control variables | YES | YES | YES | YES |
| Year FE | YES | YES | YES | YES |
| Company FE | YES | YES | YES | YES |
| R-squared | 21.9% | 22.7% | 20.1% | 22.7% |
| Observations | 875 | 364 | 196 | 231 |
| Models | 1D | 1E | 1F | 1G |
|---|---|---|---|---|
| ROA | ||||
| 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 | 0.0247 | 0.0740 | 0.182** | 0.266*** |
| (0.0495) | (0.0907) | (0.0872) | (0.0522) | |
| Social score | −0.171*** | 0.0320 | −0.505** | −0.139* |
| (0.0491) | (0.195) | (0.204) | (0.0778) | |
| Governance score | 0.132*** | 0.0183 | 0.235*** | 0.109 |
| (0.0510) | (0.0897) | (0.0801) | (0.0765) | |
| Control variables | YES | YES | YES | YES |
| Year FE | YES | YES | YES | YES |
| Company FE | YES | YES | YES | YES |
| 21.9% | 22.7% | 20.1% | 22.7% | |
| Observations | 875 | 364 | 196 | 231 |
Note(s): ***, **, and * indicates statistically significant levels of 1%, 5% and 10%, respectively
Source(s): Authors’ own work
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