Moderating effect for different Sub-samples
| Variables | Tobin’s Q | IR | TR |
|---|---|---|---|
| (1) | (2) | (3) | |
| Part A. Moderating effect: subsample without US firms | |||
| ESG score | 0.0802*** (3.97) | −0.0153** (−2.30) | −0.0248*** (−2.79) |
| Controversy | −0.0342*** (−2.59) | 0.0160*** (2.94) | 0.0236*** (3.38) |
| ESG score × controversy | 0.0360 (1.64) | −0.0169** (−1.98) | −0.0259** (−2.30) |
| (Control variables omitted) | |||
| Year-fixed effect | YES | YES | YES |
| Country-fixed effect | YES | YES | YES |
| Firm × industry-fixed effect | YES | YES | YES |
| Observations | 53,291 | 51,195 | 51,668 |
| N. Firms | 6,629 | 6,515 | 6,577 |
| R2 | 0.838 | 0.532 | 0.707 |
| Adjusted-R2 | 0.815 | 0.463 | 0.664 |
| Part B. Moderating effect: subsample without financial firms | |||
| ESG score | 0.1083*** (5.47) | −0.0154*** (−2.76) | −0.0289*** (−3.88) |
| Controversy | −0.0309*** (−2.67) | 0.0186*** (4.68) | 0.0228*** (4.47) |
| ESG score × controversy | 0.0226 (1.09) | −0.0230*** (−3.53) | −0.0278*** (−3.21) |
| (Control variables omitted) | |||
| Year-fixed effect | YES | YES | YES |
| Industry-fixed effect | YES | YES | YES |
| Firm × country-fixed effect | YES | YES | YES |
| Observations | 68,151 | 67,089 | 67,769 |
| N. Firms | 8,759 | 8,728 | 8,831 |
| R2 | 0.830 | 0.575 | 0.740 |
| Adjusted-R2 | 0.805 | 0.510 | 0.701 |
| Part C. Moderating effect: subsample without COVID-19 years | |||
| ESG score | 0.0875*** (4.78) | −0.0218*** (−3.65) | −0.0372*** (−4.49) |
| Controversy | −0.0312*** (−2.98) | 0.0173*** (4.54) | 0.0212*** (4.26) |
| ESG score × controversy | 0.0335* (1.79) | −0.0195*** (−3.08) | −0.0231*** (−2.72) |
| (Control variables omitted) | |||
| Firm-fixed effect | YES | YES | YES |
| Year-fixed effect | YES | YES | YES |
| Country-fixed effect | YES | YES | YES |
| Observations | 68,151 | 67,089 | 67,769 |
| N. Firms | 8,759 | 8,728 | 8,831 |
| R2 | 0.830 | 0.575 | 0.740 |
| Adjusted-R2 | 0.805 | 0.510 | 0.701 |
| Variables | Tobin’s Q | ||
|---|---|---|---|
| (1) | (2) | (3) | |
| 0.0802 | −0.0153 | −0.0248 | |
| Controversy | −0.0342 | 0.0160 | 0.0236 |
| 0.0360 (1.64) | −0.0169 | −0.0259 | |
| ( | |||
| Year-fixed effect | |||
| Country-fixed effect | |||
| Firm × industry-fixed effect | |||
| Observations | 53,291 | 51,195 | 51,668 |
| 6,629 | 6,515 | 6,577 | |
| 0.838 | 0.532 | 0.707 | |
| Adjusted- | 0.815 | 0.463 | 0.664 |
| 0.1083 | −0.0154 | −0.0289 | |
| Controversy | −0.0309 | 0.0186 | 0.0228 |
| 0.0226 (1.09) | −0.0230 | −0.0278 | |
| ( | |||
| Year-fixed effect | |||
| Industry-fixed effect | |||
| Firm × country-fixed effect | |||
| Observations | 68,151 | 67,089 | 67,769 |
| 8,759 | 8,728 | 8,831 | |
| 0.830 | 0.575 | 0.740 | |
| Adjusted- | 0.805 | 0.510 | 0.701 |
| 0.0875 | −0.0218 | −0.0372 | |
| Controversy | −0.0312 | 0.0173 | 0.0212 |
| 0.0335 | −0.0195 | −0.0231 | |
| ( | |||
| Firm-fixed effect | |||
| Year-fixed effect | |||
| Country-fixed effect | |||
| Observations | 68,151 | 67,089 | 67,769 |
| 8,759 | 8,728 | 8,831 | |
| 0.830 | 0.575 | 0.740 | |
| Adjusted- | 0.805 | 0.510 | 0.701 |
The results for Part A. refer to the regressions for non-US firms only. The observation period is 2002–2021. Models incorporate year, country and firm-industry fixed effects. The results for Part B. refer to the regressions for non-financial firms only. The observation period is 2002–2021. Models incorporate year, industry and firm-country fixed effects. The results for Part C. refer to the regressions for firms in the 2002–19 observation period. Models incorporate firm, year and country fixed effects. Dependent variables: in column 1 Tobin’s Q, in column 2 Idiosyncratic Risk (IR) and in column 3 Total Risk (TR). Standard errors are clustered by firm. Robust t-statistics in parentheses. 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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