Additional analyses
| Part A. Correlation matrix of the main variables | ||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Variables | (1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) | (9) | (10) | (11) | (12) | (13) | (14) |
| (1) Tobin’s Q | 1.0000 | |||||||||||||
| (2) Idiosyncratic risk (IR) | 0.0009 (0.792) | 1.0000 | ||||||||||||
| (3) Total risk (TR) | −0.0383*** (0.000) | 0.7890*** (0.000) | 1.0000 | |||||||||||
| (4) ESG Score | −0.0696*** (0.000) | −0.1930*** (0.000) | −0.1670*** (0.000) | 1.0000 | ||||||||||
| (5) ESG Controversy Score | −0.0382*** (0.000) | −0.0430*** (0.000) | −0.0260*** (0.000) | 0.2440*** (0.000) | 1.0000 | |||||||||
| (6) Controversy | −0.0252*** (0.000) | −0.0810*** (0.000) | −0.0660*** (0.000) | 0.2730*** (0.000) | 0.8190*** (0.000) | 1.0000 | ||||||||
| (7) ESG Score × Controversy | −0.0332*** (0.000) | −0.1060*** (0.000) | −0.0870*** (0.000) | 0.3920*** (0.000) | 0.7700*** (0.000) | 0.9300*** (0.000) | 1.0000 | |||||||
| (8) ROA | 0.1785*** (0.000) | −0.3740*** (0.000) | −0.4160*** (0.000) | 0.1540*** (0.000) | 0.0120*** (0.000) | 0.0390*** (0.000) | 0.0500*** (0.000) | 1.0000 | ||||||
| (9) Age | −0.1095*** (0.000) | −0.1700*** (0.000) | −0.1790*** (0.000) | 0.2250*** (0.000) | 0.0640*** (0.000) | 0.0800*** (0.000) | 0.1100*** (0.000) | 0.1550*** (0.000) | 1.0000 | |||||
| (10) Size | −0.3630*** (0.000) | −0.3550*** (0.000) | −0.3230*** (0.000) | 0.4540*** (0.000) | 0.2800*** (0.000) | 0.3240*** (0.000) | 0.3640*** (0.000) | 0.2230*** (0.000) | 0.2020*** (0.000) | 1.0000 | ||||
| (11) Leverage | −0.2902*** (0.000) | −0.0680*** (0.000) | −0.0440*** (0.000) | 0.1580*** (0.000) | 0.1120*** (0.000) | 0.1140*** (0.000) | 0.1210*** (0.000) | −0.0960*** (0.000) | 0.0450*** (0.000) | 0.4240*** (0.000) | 1.0000 | |||
| (12) Capex | 0.0655*** (0.000) | 0.0330*** (0.000) | 0.0220*** (0.000) | −0.0550*** (0.000) | 0.0060* (0.069) | 0.0080** (0.010) | 0.0030 (0.277) | 0.0600*** (0.000) | −0.0590*** (0.000) | −0.1020*** (0.000) | −0.1590*** (0.000) | 1.0000 | ||
| (13) Asset Growth | 0.1921*** (0.000) | 0.0510*** (0.000) | 0.0470*** (0.000) | −0.1220*** (0.000) | −0.0540*** (0.000) | −0.0510*** (0.000) | −0.0560*** (0.000) | 0.0440*** (0.000) | −0.1400*** (0.000) | −0.0840*** (0.000) | −0.0990*** (0.000) | 0.0580*** (0.000) | 1.0000 | |
| (14) GDP Growth | 0.0589*** (0.000) | −0.0820*** (0.000) | −0.2230*** (0.000) | −0.0530*** (0.000) | −0.0280*** (0.000) | −0.0270*** (0.000) | −0.0380*** (0.000) | 0.0760*** (0.000) | −0.0350*** (0.000) | −0.0030 (0.347) | −0.0400*** (0.000) | 0.0280*** (0.000) | 0.0660*** (0.000) | 1.0000 |
| Part A. Correlation matrix of the main variables | ||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Variables | (1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) | (9) | (10) | (11) | (12) | (13) | (14) |
| (1) Tobin’s Q | 1.0000 | |||||||||||||
| (2) Idiosyncratic risk ( | 0.0009 (0.792) | 1.0000 | ||||||||||||
| (3) Total risk ( | −0.0383 | 0.7890 | 1.0000 | |||||||||||
| (4) | −0.0696 | −0.1930 | −0.1670 | 1.0000 | ||||||||||
| (5) | −0.0382 | −0.0430 | −0.0260 | 0.2440 | 1.0000 | |||||||||
| (6) Controversy | −0.0252 | −0.0810 | −0.0660 | 0.2730 | 0.8190 | 1.0000 | ||||||||
| (7) | −0.0332 | −0.1060 | −0.0870 | 0.3920 | 0.7700 | 0.9300 | 1.0000 | |||||||
| (8) | 0.1785 | −0.3740 | −0.4160 | 0.1540 | 0.0120 | 0.0390 | 0.0500 | 1.0000 | ||||||
| (9) Age | −0.1095 | −0.1700 | −0.1790 | 0.2250 | 0.0640 | 0.0800 | 0.1100 | 0.1550 | 1.0000 | |||||
| (10) Size | −0.3630 | −0.3550 | −0.3230 | 0.4540 | 0.2800 | 0.3240 | 0.3640 | 0.2230 | 0.2020 | 1.0000 | ||||
| (11) Leverage | −0.2902 | −0.0680 | −0.0440 | 0.1580 | 0.1120 | 0.1140 | 0.1210 | −0.0960 | 0.0450 | 0.4240 | 1.0000 | |||
| (12) Capex | 0.0655 | 0.0330 | 0.0220 | −0.0550 | 0.0060 | 0.0080 | 0.0030 (0.277) | 0.0600 | −0.0590 | −0.1020 | −0.1590 | 1.0000 | ||
| (13) Asset Growth | 0.1921 | 0.0510 | 0.0470 | −0.1220 | −0.0540 | −0.0510 | −0.0560 | 0.0440 | −0.1400 | −0.0840 | −0.0990 | 0.0580 | 1.0000 | |
| (14) | 0.0589 | −0.0820 | −0.2230 | −0.0530 | −0.0280 | −0.0270 | −0.0380 | 0.0760 | −0.0350 | −0.0030 (0.347) | −0.0400 | 0.0280 | 0.0660 | 1.0000 |
| Part B. Quantiles regressions for ESG score | |||||
|---|---|---|---|---|---|
| Tobin’s Q quantiles | |||||
| Variables | q10 | q30 | q50 | q70 | q90 |
| (1) | (2) | (3) | (4) | (5) | |
| ESG score | 0.1095*** (6.27) | 0.1055*** (6.35) | 0.1016*** (5.94) | 0.0973*** (5.10) | 0.0924*** (4.09) |
| (Control variables omitted) | |||||
| Firm-fixed effect | YES | YES | YES | YES | YES |
| Year-fixed effect | YES | YES | YES | YES | YES |
| Country-fixed effect | YES | YES | YES | YES | YES |
| Observations | 80,759 | 80,759 | 80,759 | 80,759 | 80,759 |
| Pseudo-R2 | 0.6500 | 0.659 | 0.660 | 0.657 | 0.653 |
| Idiosyncratic risk quantiles | |||||
| Variables | q10 | q30 | q50 | q70 | q90 |
| (1) | (2) | (3) | (4) | (5) | |
| ESG score | −0.0083* (−1.81) | −0.0134*** (−2.99) | −0.0183*** (−3.65) | −0.0247*** (−3.87) | −0.0330*** (−3.79) |
| (Control variables omitted) | |||||
| Firm-fixed effect | YES | YES | YES | YES | YES |
| Year-fixed effect | YES | YES | YES | YES | YES |
| Country-fixed effect | YES | YES | YES | YES | YES |
| Observations | 79,315 | 79,315 | 79,315 | 79,315 | 79,315 |
| Pseudo-R2 | 0.649 | 0.652 | 0.650 | 0.648 | 0.645 |
| Total risk quantiles | |||||
| Variables | q10 | q30 | q50 | q70 | q90 |
| (1) | (2) | (3) | (4) | (5) | |
| ESG score | −0.0242*** (−3.75) | −0.0291*** (−4.55) | −0.0336*** (−4.78) | −0.0396*** (−4.57) | −0.0483*** (−4.07) |
| (Control variables omitted) | |||||
| Firm-fixed effect | YES | YES | YES | YES | YES |
| Year-fixed effect | YES | YES | YES | YES | YES |
| Country-fixed effect | YES | YES | YES | YES | YES |
| Observations | 80,207 | 80,207 | 80,207 | 80,207 | 80,207 |
| Pseudo-R2 | 0.663 | 0.663 | 0.662 | 0.661 | 0.660 |
| Part B. Quantiles regressions for | |||||
|---|---|---|---|---|---|
| Tobin’s Q quantiles | |||||
| Variables | q10 | q30 | q50 | q70 | q90 |
| (1) | (2) | (3) | (4) | (5) | |
| 0.1095 | 0.1055 | 0.1016 | 0.0973 | 0.0924 | |
| ( | |||||
| Firm-fixed effect | |||||
| Year-fixed effect | |||||
| Country-fixed effect | |||||
| Observations | 80,759 | 80,759 | 80,759 | 80,759 | 80,759 |
| 0.6500 | 0.659 | 0.660 | 0.657 | 0.653 | |
| Variables | q10 | q30 | q50 | q70 | q90 |
| (1) | (2) | (3) | (4) | (5) | |
| −0.0083 | −0.0134 | −0.0183 | −0.0247 | −0.0330 | |
| ( | |||||
| Firm-fixed effect | |||||
| Year-fixed effect | |||||
| Country-fixed effect | |||||
| Observations | 79,315 | 79,315 | 79,315 | 79,315 | 79,315 |
| 0.649 | 0.652 | 0.650 | 0.648 | 0.645 | |
| Variables | q10 | q30 | q50 | q70 | q90 |
| (1) | (2) | (3) | (4) | (5) | |
| −0.0242 | −0.0291 | −0.0336 | −0.0396 | −0.0483 | |
| ( | |||||
| Firm-fixed effect | |||||
| Year-fixed effect | |||||
| Country-fixed effect | |||||
| Observations | 80,207 | 80,207 | 80,207 | 80,207 | 80,207 |
| 0.663 | 0.663 | 0.662 | 0.661 | 0.660 | |
| Part C. Quantiles regressions for ESG controversies | |||||
|---|---|---|---|---|---|
| Tobin’s Q quantiles | |||||
| Variables | q10 | q30 | q50 | q70 | q90 |
| (1) | (2) | (3) | (4) | (5) | |
| Controversy | −0.0125*** (−3.36) | −0.0151*** (−4.58) | −0.0176*** (−5.37) | −0.0205*** (−5.52) | −0.0237*** (−5.14) |
| (Control variables omitted) | |||||
| Firm-fixed effect | YES | YES | YES | YES | YES |
| Year-fixed effect | YES | YES | YES | YES | YES |
| Country-fixed effect | YES | YES | YES | YES | YES |
| Observations | 80,652 | 80,652 | 80,652 | 80,652 | 80,652 |
| Pseudo-R2 | 0.641 | 0.651 | 0.653 | 0.659 | 0.648 |
| Idiosyncratic risk quantiles | |||||
| Variables | q10 | q30 | q50 | q70 | q90 |
| (1) | (2) | (3) | (4) | (5) | |
| Controversy | 0.0030*** (2.63) | 0.0052*** (4.79) | 0.0073*** (5.82) | 0.0101*** (5.98) | 0.0137*** (5.70) |
| (Control variables omitted) | |||||
| Firm-fixed effect | YES | YES | YES | YES | YES |
| Year-fixed effect | YES | YES | YES | YES | YES |
| Country-fixed effect | YES | YES | YES | YES | YES |
| Observations | 79,208 | 79,208 | 79,208 | 79,208 | 79,208 |
| Pseudo-R2 | 0.650 | 0.652 | 0.651 | 0.649 | 0.646 |
| Total risk quantiles | |||||
| Variables | q10 | q30 | q50 | q70 | q90 |
| (1) | (2) | (3) | (4) | (5) | |
| Controversy | 0.0031** (2.09) | 0.0061*** (4.30) | 0.0089*** (5.52) | 0.0127*** (5.94) | 0.0181*** (5.83) |
| (Control variables omitted) | |||||
| Firm-fixed effect | YES | YES | YES | YES | YES |
| Year-fixed effect | YES | YES | YES | YES | YES |
| Country-fixed effect | YES | YES | YES | YES | YES |
| Observations | 80,097 | 80,097 | 80,097 | 80,097 | 80,097 |
| Pseudo-R2 | 0.665 | 0.667 | 0.664 | 0.663 | 0.661 |
| Part C. Quantiles regressions for | |||||
|---|---|---|---|---|---|
| Tobin’s Q quantiles | |||||
| Variables | q10 | q30 | q50 | q70 | q90 |
| (1) | (2) | (3) | (4) | (5) | |
| Controversy | −0.0125 | −0.0151 | −0.0176 | −0.0205 | −0.0237 |
| ( | |||||
| Firm-fixed effect | |||||
| Year-fixed effect | |||||
| Country-fixed effect | |||||
| Observations | 80,652 | 80,652 | 80,652 | 80,652 | 80,652 |
| 0.641 | 0.651 | 0.653 | 0.659 | 0.648 | |
| Variables | q10 | q30 | q50 | q70 | q90 |
| (1) | (2) | (3) | (4) | (5) | |
| Controversy | 0.0030 | 0.0052 | 0.0073 | 0.0101 | 0.0137 |
| ( | |||||
| Firm-fixed effect | |||||
| Year-fixed effect | |||||
| Country-fixed effect | |||||
| Observations | 79,208 | 79,208 | 79,208 | 79,208 | 79,208 |
| 0.650 | 0.652 | 0.651 | 0.649 | 0.646 | |
| Variables | q10 | q30 | q50 | q70 | q90 |
| (1) | (2) | (3) | (4) | (5) | |
| Controversy | 0.0031 | 0.0061 | 0.0089 | 0.0127 | 0.0181 |
| ( | |||||
| Firm-fixed effect | |||||
| Year-fixed effect | |||||
| Country-fixed effect | |||||
| Observations | 80,097 | 80,097 | 80,097 | 80,097 | 80,097 |
| 0.665 | 0.667 | 0.664 | 0.663 | 0.661 | |
***, **, and * indicate statistical significance at the 1%, 5%, and 10% levels. p-values are in parentheses below the correlation coefficient; The results refer to the regressions for the sample of 10,212 firms. The observation period is 2002–2021. For each dependent variable, Columns 1–5 refer to the 10th, 30th, 50th, 70th, and 90th quantiles. Models incorporate firm, year, and country fixed effects. Robust z-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
Sharing content requires targeting cookies to be enabled. Please update your cookie preferences to use this feature.