2SLS: second-stage regression model 2
| 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 | 0.659** | −0.304 | 0.306 | 0.899* |
| (0.325) | (0.775) | −1,098 | (0.533) | |
| Social score | −0.296* | −0.149 | −0.713 | |
| (0.211) | (0.543) | −1,221 | ||
| Governance score | −0.135* | −0.0219 | −0.224 | 0.231 |
| (0.281) | (0.602) | −1,218 | (0.479) | |
| Control variables | YES | YES | YES | YES |
| Year FE | YES | YES | YES | YES |
| Company FE | YES | YES | YES | YES |
| R-squared | 36.5% | 25.5% | 14.4% | 11.2% |
| Observations | 1,407 | 546 | 364 | 308 |
| 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 | 0.659** | −0.304 | 0.306 | 0.899* |
| (0.325) | (0.775) | −1,098 | (0.533) | |
| Social score | −0.296* | −0.149 | −0.713 | |
| (0.211) | (0.543) | −1,221 | ||
| Governance score | −0.135* | −0.0219 | −0.224 | 0.231 |
| (0.281) | (0.602) | −1,218 | (0.479) | |
| Control variables | YES | YES | YES | YES |
| Year FE | YES | YES | YES | YES |
| Company FE | YES | YES | YES | YES |
| 36.5% | 25.5% | 14.4% | 11.2% | |
| Observations | 1,407 | 546 | 364 | 308 |
| 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 | 1.511*** | 1,033 | −0.682 | −1,772 |
| (0.428) | −1,027 | (0.624) | −1,260 | |
| Social score | 1.680*** | −0.297 | −0.0971 | −0.189 |
| (0.517) | (0.782) | (0.324) | (0.675) | |
| Governance score | −0.106* | 0.407 | 1,234 | |
| (0.469) | (0.491) | −1,295 | ||
| Control variables | YES | YES | YES | YES |
| Year FE | YES | YES | YES | YES |
| Company FE | YES | YES | YES | YES |
| R-squared | 24.7% | 25.4% | 37.1% | 44.4% |
| Observations | 847 | 231 | 189 | 119 |
| 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 | 1.511*** | 1,033 | −0.682 | −1,772 |
| (0.428) | −1,027 | (0.624) | −1,260 | |
| Social score | 1.680*** | −0.297 | −0.0971 | −0.189 |
| (0.517) | (0.782) | (0.324) | (0.675) | |
| Governance score | −0.106* | 0.407 | 1,234 | |
| (0.469) | (0.491) | −1,295 | ||
| Control variables | YES | YES | YES | YES |
| Year FE | YES | YES | YES | YES |
| Company FE | YES | YES | YES | YES |
| 24.7% | 25.4% | 37.1% | 44.4% | |
| Observations | 847 | 231 | 189 | 119 |
Note(s): ***, **, and * indicates statistically significant levels of 1%, 5% and 10%, respectively
Source(s): Authors’ own work
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