Linear mixed-effects multilevel analysis and two-step GMM for sustainability and financial performance
| Linear mixed-effects multilevel regression | Two-step system GMM | |||||||
|---|---|---|---|---|---|---|---|---|
| Model 1 | Model 2 | Model 3 | Model 4 | |||||
| EVA | Tobin’s Q | EVA | Tobin’s Q | |||||
| Variables | Coeff | SE | Coeff | SE | Coeff | SE | Coeff | SE |
| ESG | 0.552*** | (0.090) | 0.013*** | (0.002) | 0.499* | (0.302) | 0.008* | (0.005) |
| Beta | −29.01*** | (2.857) | −0.227*** | (0.073) | −73.425** | (33.291) | −2.230** | (1.048) |
| Leverage | −0.192 | (0.127) | −0.004 | (0.003) | −5.866 | (10.421) | 0.054 | (0.266) |
| Firm size | −20.90*** | (0.918) | −0.454*** | (0.023) | −17.456*** | (3.828) | −0.306*** | (0.096) |
| Eco growth | −0.431 | (0.367) | 0.015 | (0.010) | 1.484 | (4.024) | −0.128 | (0.097) |
| GDP per capita | 0.000 | (0.000) | 0.000 | (0.000) | −0.001 | (0.002) | 0.000 | (0.000) |
| Inflation | 0.580 | (1.050) | −0.0299 | (0.029) | −22.648 | (32.064) | 0.682 | (0.825) |
| Variance of random intercept | 1.90*** | 2.28*** | N/A | |||||
| LR test versus linear regression | χ2(1) = 32.95 p-value < 0.01 | χ2(1) = 26.55 p-value < 0.01 | ||||||
| Arellano–Bond: AR2 | N/A | 0.190 | 0.558 | |||||
| Sargan test p value | 0.789 | 0.536 | ||||||
| Linear mixed-effects multilevel regression | Two-step system GMM | |||||||
|---|---|---|---|---|---|---|---|---|
| Model 1 | Model 2 | Model 3 | Model 4 | |||||
| EVA | Tobin’s Q | EVA | Tobin’s Q | |||||
| Variables | Coeff | SE | Coeff | SE | Coeff | SE | Coeff | SE |
| ESG | 0.552 | (0.090) | 0.013 | (0.002) | 0.499 | (0.302) | 0.008 | (0.005) |
| Beta | −29.01 | (2.857) | −0.227 | (0.073) | −73.425 | (33.291) | −2.230 | (1.048) |
| Leverage | −0.192 | (0.127) | −0.004 | (0.003) | −5.866 | (10.421) | 0.054 | (0.266) |
| Firm size | −20.90 | (0.918) | −0.454 | (0.023) | −17.456 | (3.828) | −0.306 | (0.096) |
| Eco growth | −0.431 | (0.367) | 0.015 | (0.010) | 1.484 | (4.024) | −0.128 | (0.097) |
| GDP per capita | 0.000 | (0.000) | 0.000 | (0.000) | −0.001 | (0.002) | 0.000 | (0.000) |
| Inflation | 0.580 | (1.050) | −0.0299 | (0.029) | −22.648 | (32.064) | 0.682 | (0.825) |
| Variance of random intercept | 1.90 | 2.28 | N/A | |||||
| LR test versus linear regression | ||||||||
| Arellano–Bond: AR2 | N/A | 0.190 | 0.558 | |||||
| Sargan test | 0.789 | 0.536 | ||||||
Notes:
Standard errors in parentheses. ***p < 0.01; **p < 0.05; *p < 0.1; N/A= Not applicable for the model; N = 4770; Level 2: Country data; Constant is included (not reported for brevity)
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