ESG Scores, controversies and moderating effect on value and risk
| Variables | Tobin’s Q | IR | TR | ||||||
|---|---|---|---|---|---|---|---|---|---|
| (1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) | (9) | |
| ESG score | 0.1014*** (5.90) | 0.0996*** (5.72) | −0.0196*** (−3.73) | −0.0164*** (−3.06) | −0.0348*** (−4.76) | −0.0308*** (−4.17) | |||
| Controversy | −0.0178*** (−5.40) | −0.0321*** (−3.09) | 0.0079*** (5.92) | 0.0206*** (5.54) | 0.0096*** (5.67) | 0.0265*** (5.44) | |||
| ESG score × controversy | 0.0260 (1.42) | −0.0245*** (−4.04) | −0.0323*** (−3.94) | ||||||
| ROA | 0.8843*** (24.02) | 0.8858*** (23.98) | 0.8840*** (23.96) | −0.1488*** (−15.74) | −0.1480*** (−15.65) | −0.1477*** (−15.61) | −0.2411*** (−19.51) | −0.2406*** (−19.45) | −0.2400*** (−19.41) |
| Age | −0.0454*** (−3.74) | −0.0423*** (−3.48) | −0.0447*** (−3.68) | −0.0047 (−1.51) | −0.0055* (−1.75) | −0.0051 (−1.63) | −0.0014 (−0.31) | −0.0027 (−0.61) | −0.0019 (−0.45) |
| Size | −0.1477*** (−20.73) | −0.1427*** (−20.01) | −0.1469*** (−20.63) | −0.0153*** (−9.09) | −0.0164*** (−9.74) | −0.0157*** (−9.33) | −0.0167*** (−6.91) | −0.0185*** (−7.64) | −0.0171*** (−7.12) |
| Leverage | 0.1104*** (4.45) | 0.1105*** (4.44) | 0.1109*** (4.47) | 0.0737*** (10.36) | 0.0742*** (10.44) | 0.0743*** (10.45) | 0.1094*** (11.53) | 0.1098*** (11.58) | 0.1098*** (11.58) |
| Capex | 1.1634*** (18.10) | 1.1658*** (18.09) | 1.1607*** (18.05) | −0.1496*** (−7.51) | −0.1491*** (−7.47) | −0.1476*** (−7.41) | −0.3003*** (−11.73) | −0.3001*** (−11.71) | −0.2978*** (−11.63) |
| Asset growth | 0.0684*** (11.07) | 0.0666*** (10.77) | 0.0682*** (11.03) | 0.0038* (1.96) | 0.0042** (2.15) | 0.0040** (2.02) | 0.0002 (0.07) | 0.0009 (0.39) | 0.0004 (0.19) |
| GDP growth | 1.2883*** (16.94) | 1.2721*** (16.72) | 1.2868*** (16.91) | −0.2292*** (−7.11) | −0.2260*** (−7.01) | −0.2276*** (−7.06) | −0.4332*** (−9.64) | −0.4276*** (−9.52) | −0.4310*** (−9.59) |
| Constant | 2.6242*** (23.84) | 2.5849*** (23.39) | 2.6129*** (23.76) | 0.4438*** (17.09) | 0.4529*** (17.45) | 0.4473*** (17.29) | 0.6413*** (17.82) | 0.6565*** (18.21) | 0.6466*** (18.02) |
| Firm-fixed effect | YES | YES | YES | YES | YES | YES | YES | YES | YES |
| Year-fixed effect | YES | YES | YES | YES | YES | YES | YES | YES | YES |
| Country-fixed effect | YES | YES | YES | YES | YES | YES | YES | YES | YES |
| Observations | 79,268 | 79,226 | 79,226 | 77,941 | 77,899 | 77,899 | 78,738 | 78,695 | 78,695 |
| N. Firms | 10,139 | 10,139 | 10,129 | 10,094 | 10,084 | 10,084 | 10,212 | 10,202 | 10,202 |
| R2 | 0.840 | 0.840 | 0.840 | 0.576 | 0.576 | 0.576 | 0.735 | 0.735 | 0.735 |
| Adjusted-R2 | 0.730 | 0.816 | 0.816 | 0.513 | 0.513 | 0.513 | 0.695 | 0.695 | 0.695 |
| Variables | Tobin’s Q | ||||||||
|---|---|---|---|---|---|---|---|---|---|
| (1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) | (9) | |
| 0.1014 | 0.0996 | −0.0196 | −0.0164 | −0.0348 | −0.0308 | ||||
| Controversy | −0.0178 | −0.0321 | 0.0079 | 0.0206 | 0.0096 | 0.0265 | |||
| 0.0260 (1.42) | −0.0245 | −0.0323 | |||||||
| 0.8843 | 0.8858 | 0.8840 | −0.1488 | −0.1480 | −0.1477 | −0.2411 | −0.2406 | −0.2400 | |
| Age | −0.0454 | −0.0423 | −0.0447 | −0.0047 (−1.51) | −0.0055 | −0.0051 (−1.63) | −0.0014 (−0.31) | −0.0027 (−0.61) | −0.0019 (−0.45) |
| Size | −0.1477 | −0.1427 | −0.1469 | −0.0153 | −0.0164 | −0.0157 | −0.0167 | −0.0185 | −0.0171 |
| Leverage | 0.1104 | 0.1105 | 0.1109 | 0.0737 | 0.0742 | 0.0743 | 0.1094 | 0.1098 | 0.1098 |
| Capex | 1.1634 | 1.1658 | 1.1607 | −0.1496 | −0.1491 | −0.1476 | −0.3003 | −0.3001 | −0.2978 |
| Asset growth | 0.0684 | 0.0666 | 0.0682 | 0.0038 | 0.0042 | 0.0040 | 0.0002 (0.07) | 0.0009 (0.39) | 0.0004 (0.19) |
| 1.2883 | 1.2721 | 1.2868 | −0.2292 | −0.2260 | −0.2276 | −0.4332 | −0.4276 | −0.4310 | |
| Constant | 2.6242 | 2.5849 | 2.6129 | 0.4438 | 0.4529 | 0.4473 | 0.6413 | 0.6565 | 0.6466 |
| Firm-fixed effect | |||||||||
| Year-fixed effect | |||||||||
| Country-fixed effect | |||||||||
| Observations | 79,268 | 79,226 | 79,226 | 77,941 | 77,899 | 77,899 | 78,738 | 78,695 | 78,695 |
| N. Firms | 10,139 | 10,139 | 10,129 | 10,094 | 10,084 | 10,084 | 10,212 | 10,202 | 10,202 |
| R2 | 0.840 | 0.840 | 0.840 | 0.576 | 0.576 | 0.576 | 0.735 | 0.735 | 0.735 |
| Adjusted-R2 | 0.730 | 0.816 | 0.816 | 0.513 | 0.513 | 0.513 | 0.695 | 0.695 | 0.695 |
The results refer to regressions for the sample of 10,212 firms. The observation period is 2002–2021. Dependent variables: in columns 1–3 Tobin’s Q, in columns 4–6 Idiosyncratic Risk (IR), in columns 7–9 Total Risk (TR). Models incorporate firm, year, and country fixed effects. Robust t-statistics are in parentheses. Standard errors are clustered by firm. For the definitions of the variables, see Table 1. ***, **, and *indicate statistical significance at the 1, 5, and 10% levels, respectively
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