Moderating effect for different measures of value and risk
| Variables | Market-to-Book | Idiosyncratic risk (Regional four-factor Model) | Idiosyncratic risk (Global five-factor Model) | Altman’s Z-Score |
|---|---|---|---|---|
| (1) | (2) | (3) | (4) | |
| ESG score | 0.1775*** (5.86) | −0.0194*** (-3.40) | −0.0142*** (-2.60) | 0.7276*** (2.90) |
| Controversy | −0.0574*** (-3.15) | 0.0200*** (5.09) | 0.0216*** (5.76) | −0.2952** (-2.10) |
| ESG score × controversy | 0.0382 (1.15) | −0.0218*** (-3.39) | −0.0238*** (-3.86) | 0.4818** (2.04) |
| ROA | 1.4360*** (26.71) | −0.1487*** (-15.00) | −0.1415*** (-14.59) | 8.0766*** (15.76) |
| Age | −0.0633*** (-2.87) | −0.0067** (-2.00) | −0.0046 (-1.44) | −0.5637*** (-3.70) |
| Size | −0.2294*** (-20.33) | −0.0158*** (-8.88) | −0.0157*** (-9.36) | −0.8158*** (-6.41) |
| Leverage | 1.5498*** (35.53) | 0.0795*** (10.53) | 0.0785*** (11.05) | −12.4831*** (-27.95) |
| Capex | 1.7118*** (16.41) | −0.1445*** (-6.70) | −0.1491*** (-7.22) | 1.1493 (1.14) |
| Asset growth | 0.1158*** (12.89) | 0.0040** (1.98) | 0.0035* (1.84) | 1.3094*** (9.66) |
| GDP growth | 2.8072*** (21.14) | −0.2482*** (-7.31) | −0.3030*** (-9.42) | 4.8398*** (4.42) |
| Constant | 3.3115*** (19.18) | 0.4734*** (17.21) | 0.4499*** (17.34) | 24.2228*** (12.38) |
| Firm-fixed effect | YES | YES | YES | YES |
| Year-fixed effect | YES | YES | YES | YES |
| Country-fixed effect | YES | YES | YES | YES |
| Observations | 79,228 | 78,066 | 77,899 | 63,387 |
| N. Firms | 10,129 | 10,108 | 10,084 | 8,094 |
| R2 | 0.811 | 0.590 | 0.571 | 0.772 |
| Adjusted-R2 | 0.783 | 0.529 | 0.506 | 0.738 |
| Variables | Market-to-Book | Idiosyncratic risk (Regional four-factor Model) | Idiosyncratic risk (Global five-factor Model) | Altman’s Z-Score |
|---|---|---|---|---|
| (1) | (2) | (3) | (4) | |
| 0.1775 | −0.0194 | −0.0142 | 0.7276 | |
| Controversy | −0.0574 | 0.0200 | 0.0216 | −0.2952 |
| 0.0382 (1.15) | −0.0218 | −0.0238 | 0.4818 | |
| 1.4360 | −0.1487 | −0.1415 | 8.0766 | |
| Age | −0.0633 | −0.0067 | −0.0046 (-1.44) | −0.5637 |
| Size | −0.2294 | −0.0158 | −0.0157 | −0.8158 |
| Leverage | 1.5498 | 0.0795 | 0.0785 | −12.4831 |
| Capex | 1.7118 | −0.1445 | −0.1491 | 1.1493 (1.14) |
| Asset growth | 0.1158 | 0.0040 | 0.0035 | 1.3094 |
| 2.8072 | −0.2482 | −0.3030 | 4.8398 | |
| Constant | 3.3115 | 0.4734 | 0.4499 | 24.2228 |
| Firm-fixed effect | ||||
| Year-fixed effect | ||||
| Country-fixed effect | ||||
| Observations | 79,228 | 78,066 | 77,899 | 63,387 |
| N. Firms | 10,129 | 10,108 | 10,084 | 8,094 |
| 0.811 | 0.590 | 0.571 | 0.772 | |
| Adjusted- | 0.783 | 0.529 | 0.506 | 0.738 |
The results refer to regressions for the sample of 10,212 firms. The observation period is 2002–2021. Dependent variables: in column 1 Market-to-Book, in columns 2 Idiosyncratic Risk (IR) based on a Regional four-factor model, in column 3 Idiosyncratic Risk (IR) based on a Global five-factor model, in column 4 Total Risk (TR) based on the Altman’s z-score. 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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