Moderating effect estimates with IV-2 step GMM addressing endogeneity
| Variables | Tobin’s Q | IR | TR |
|---|---|---|---|
| (1) | (2) | (3) | |
| ESG score | 0.1117*** (6.34) | −0.0098 (−1.39) | −0.0157* (−1.79) |
| Controversy | −0.0245*** (−3.00) | 0.0219*** (6.16) | 0.0290*** (6.64) |
| ESG score × controversy | 0.0146 (1.03) | −0.0276*** (−4.63) | −0.0372*** (−5.00) |
| ROA | 0.8869*** (35.78) | −0.1469*** (−17.35) | −0.2304*** (−21.81) |
| Age | −0.0468*** (−7.42) | −0.0038 (−1.58) | −0.0010 (−0.33) |
| Size | −0.1388*** (−35.40) | −0.0142*** (−10.37) | −0.0175*** (−10.49) |
| Leverage | 0.1094*** (7.30) | 0.0753*** (13.74) | 0.1178*** (17.62) |
| Capex | 1.2247*** (26.10) | −0.1437*** (−8.20) | −0.3075*** (−14.47) |
| Asset growth | 0.0527*** (11.09) | 0.0014 (0.79) | −0.0029 (−1.39) |
| GDP growth | 1.2414*** (18.85) | −0.2119*** (−7.09) | −0.4047*** (−10.61) |
| Constant | −0.0005 (−0.55) | 0.0002 (0.67) | 0.0003 (0.62) |
| Firm-fixed effect | YES | YES | YES |
| Year-fixed effect | YES | YES | YES |
| Country-fixed effect | YES | YES | YES |
| Observations | 69,672 | 68,607 | 69,160 |
| N. Firms | 9,842 | 9,598 | 9,644 |
| Centered R2 | 0.131 | 0.031 | 0.053 |
| Uncentered R2 | 0.131 | 0.031 | 0.053 |
| Variables | Tobin’s Q | ||
|---|---|---|---|
| (1) | (2) | (3) | |
| 0.1117 | −0.0098 (−1.39) | −0.0157 | |
| Controversy | −0.0245 | 0.0219 | 0.0290 |
| 0.0146 (1.03) | −0.0276 | −0.0372 | |
| 0.8869 | −0.1469 | −0.2304 | |
| Age | −0.0468 | −0.0038 (−1.58) | −0.0010 (−0.33) |
| Size | −0.1388 | −0.0142 | −0.0175 |
| Leverage | 0.1094 | 0.0753 | 0.1178 |
| Capex | 1.2247 | −0.1437 | −0.3075 |
| Asset growth | 0.0527 | 0.0014 (0.79) | −0.0029 (−1.39) |
| 1.2414 | −0.2119 | −0.4047 | |
| Constant | −0.0005 (−0.55) | 0.0002 (0.67) | 0.0003 (0.62) |
| Firm-fixed effect | |||
| Year-fixed effect | |||
| Country-fixed effect | |||
| Observations | 69,672 | 68,607 | 69,160 |
| N. Firms | 9,842 | 9,598 | 9,644 |
| Centered | 0.131 | 0.031 | 0.053 |
| Uncentered | 0.131 | 0.031 | 0.053 |
The results refer to the Instrumental Variable (IV) regressions for the sample of 10,212 firms. The observation period is 2002–2021. Dependent variables: in column 1 Tobin’s Q, in column 2 Idiosyncratic Risk (IR), in column 3 Total Risk (TR). Models incorporate firm, year and country fixed effects. Robust t-statistics 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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