TOBIN.S q (mv/bv) | 1 | −0.3699 |
−0.2696 | −0.3365 |
−0.1685 | −0.5464 |
−0.0444 | −0.1846 |
ESGR | −0.3699 |
1 | 0.7872 |
0.8907 |
0.6403 |
0.4831 |
0.4639 |
0.2736 |
ER | −0.2696 | 0.7872 |
1 | 0.6921 |
0.2865 | 0.4624 |
0.3834 |
0.3136 |
SR | −0.3365 |
0.8907 |
0.692129 |
1 | 0.2981 | 0.4358 |
0.4972 |
0.2321 |
GR | −0.1685 | 0.6403 |
0.286499 | 0.2981 | 1 | 0.2696 | 0.1932 | 0.1795 |
SIZE | −0.5464 |
0.4831 |
0.462419 |
0.4358 |
0.2696 | 1 | 0.4967 |
0.3549 |
LEV | −0.0444 | 0.4639 |
0.383427 |
0.4972 |
0.1932 | 0.4967 |
1 | 0.2653 |
BETA | −0.1846 | 0.2736 | 0.313568 | 0.2321 | 0.1795 | 0.3549 |
0.2653 | 1 |
Intercept | 23.7390 |
|
EmR | −0.2303 (0.3100) | −0.0371 (0.04992) |
RR | −0.1886 (0.4306) | −0.0288 (0.0659) |
IR | 0.2981 (0.1940) | 0.0304 (0.0198) |
HRR | 0.1056 (0.2115) | 0.0119 (0.0239) |
PRR | −0.2998 (0.2204) | −0.0379 (0.0278) |
WR | 0.1161 (0.2649) | 0.0169 (0.0386) |
CR | −0.0945 (0.2188) | −0.0116 (0.0269) |
MR | −0.1015 (0.1802) | −0.0117 (0.0209) |
ShR | −0.0140 (0.1897) | −0.0016 (0.0211) |
CSRR | 0.0567 (0.2153) | 0.0068 (0.0258) |
SIZE | −0.5665 |
−1.0799 |
LEV | 0.2456 (0.2460) | 3.5099 (3.5157) |
BETA | −0.0724 (0.1549) | −1.6445 (3.5183) |
N | 36 | 36 |
F test | 2.2594 |
2.2594 |
R2 | 0.5717 | 0.5717 |
Environmental disclosure (ED) practiced by firms listed on the ESG index | Tobin’s Q | 2005–2019 | International | Positive significant | |
Measure developed by ASSET4 to measure the degree of green innovation | market-to-book value (MTBV), return on assets (ROA), asset turnover (ATO), return on equity (ROE) and Tobin’s Q (TOBINQ) | 2005–2019 | UK and Germany | Positive significant | |
Participation in social, environmental and governance activities | Tobin’s Q | 2009–2019 | International | Positive significant | |
CSR practices | Tobin’s Q (TOBINQ), return on assets (ROA), return on equity (ROE), and market-to-book value (MTBV) | 2015–2019 | Europe | Positive significant | |
ESG performance index | ROCE as financial performance indicator & Debt to Equity ratio | 2016 | China | Positive significant | |
Peris (2010) | ESGR criteria Domini 400 Social Index (DSI) | Market value | 1991–1996 | USA | Positive significant |
ESG disclosure | Tobin’s Q | 2006–2011 | USA | Positive significant | |
CSR activities | Stock price | 2005–2010 | Korea | Positive significant | |
Sustainability ratings by NSE 100 and indices | ROA | 2015–2017 | India | Positive significant | |
ESG initiatives | Tobin’s Q | 2010–2019 | Norway | Positive significant | |
Bloomberg ESG disclosure score | Corporate efficiency (Revenue earned, ROA) | 2015 | international | Positive significant | |
ESG activities | Tobin’s Q | 2014–2018 | international | Positive significant | |
ESG performance | Market value | 2014–2018 | Indonesia, Malaysia, Philippines, Singapore and Thailand | Positive significant | |
Thomson Reuters Asset4 ESG index | Tobin’s Q | 2010–2019 | Emerging countries | Positive significant | |
ESG disclosure | Tobin’s Q | 2002–2018 | UK | Positive significant | |
ESG disclosure | Market value | 2002–2018 | UK | Positive significant | |
ESG indicators: environment, employment and community activities | Stock returns | UK | Negative significant | ||
MSCI ESGRs | Tobin’s Q | 2005–2009 | MSCI | Negative significant | |
ESG performance Asset4 database of Thomson Reuters | Tobin’s Q | 2010–2014 | Germany | Negative significant | |
ESG assessment: Standard ethics agency on FTSE MIB’s companies | Stock returns | 2002–2015 | Italy | Negative significant | |
ESG performance Thomson Reuters ASSET4 | DCF | 2007–2014 | Emerging countries | Negative significant | |
ESG score Asset4 database of Thomson Reuters | Tobin’s Q | 2011–2015 | Brazil, Chile, Colombia, Mexico and Peru | Negative significant | |
Bloomberg’s Environmental Social Governance (ESG) | Return on capital | 2007–2011 | USA | mixed | |
ESG activities | Tobin’s Q | 2011–2013 | Malaysia | mixed | |
Lopez-de-Silanes et al. (2020) | Sustainalytics ESG | Tobin’s Q | 2015–2018 | international | mixed |
ESG scores, according to Borsa Istanbul Corporate Governance Index | Tobin’s Q | 2007–2017 | Turkey | mixed | |
ESG disclosure | Tobin’s Q | 2016–2019 | India | mixed | |
Sustainalytics’s ESGRs | Tobin’s Q | 2015–2020 | international | mixed | |
Refinitiv ESG | Tobin’s Q | 2013–2021 | International | mixed |
Environment | Emission |
Emissions Waste Biodiversity Environmental management systems |
Resource use |
Water Energy Sustainable packaging Environmental supply chain |
|
Innovations |
Product innovation Green revenues, research and development (R&D) and capital expenditures (Capex) |
|
Social | Community | Equally important to all industry groups, hence a median weight of five is assigned to all |
Human rights | Human rights | |
Product responsibility |
Responsible marketing Product quality Data privacy |
|
Workforce |
Diversity and inclusion Career development and training Working conditions Health and safety |
|
Governance | CRS strategy |
CSR strategy ESG reporting and transparency |
Management |
Structure (independence, diversity, committees) Compensation |
|
Shareholders |
Shareholder rights Takeover defenses |
Panel A: company value | |||||
TOBIN’s Q (mv/bv) | 36 | 2.578 | 0.150 | 16.390 | 3.366 |
Panel B: ESGRs | |||||
ESGR | 36 | 57.361 | 17.000 | 96.000 | 16.716 |
ER | 36 | 54.444 | 7.000 | 95.000 | 21.720 |
SR | 36 | 59.833 | 8.000 | 96.000 | 19.935 |
GR | 36 | 55.833 | 15.000 | 94.000 | 21.331 |
Panel C: control variables | |||||
SIZE | 36 | 16.917 | 13.024 | 19.915 | 1.766 |
LEV | 36 | 0.624 | 0.088 | 0.950 | 0.236 |
BETA | 36 | 0.322 | 0.035 | 0.621 | 0.148 |
Independent variables | ESGRi | ESG provided by Refinitive for i-company; |
ERi | ER provided by Refinitive for i-company; | |
SRi | SR provided by Refinitive for i-company; | |
GRi | GR provided by Refinitive for i-company; | |
Control variables | SIZEi | Size of the company measured by natural logarithm of total assets for i-company; |
LEVi | Leverage ratio measured by total debt/total assets (unsystematic risk) for i-company; | |
BETAi | Systematic risk of company measured according to CAPM for i-company; |