The Relationship Between ESG Rating and Firm Value—Evidence from Companies Listed on Polish Capital Market in the WIG-ESG Index

Variable	TOBIN.S q (mv/bv)	ESGR	ER	SR	GR	SIZE	LEV	BETA
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

Regression results for TOBIN’s Q (mv/bv)

	Coef. b* (Std. Err.)	Coef. b (Std. Err.)
Intercept		23.7390*** (6.0057)
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*** (0.2195)	−1.0799*** (0.4184)
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

Literature on relationship between firm value and ESGR

Authors	Used ESGR	Firm value/performance measure	Period	Country	Research findings
Chouaibi et al. (2022a)	Environmental disclosure (ED) practiced by firms listed on the ESG index	Tobin’s Q	2005–2019	International	Positive significant
Chouaibi et al. (2022b)	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
Abdi et al. (2022)	Participation in social, environmental and governance activities	Tobin’s Q	2009–2019	International	Positive significant
Rossi et. al. (2021)	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
Zhao et al. (2018)	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
Fatemi et al. (2017)	ESG disclosure	Tobin’s Q	2006–2011	USA	Positive significant
Yoon et al. (2018)	CSR activities	Stock price	2005–2010	Korea	Positive significant
Dalal and Thaker (2019)	Sustainability ratings by NSE 100 and indices	ROA	2015–2017	India	Positive significant
Giannopoulos et al. (2022)	ESG initiatives	Tobin’s Q	2010–2019	Norway	Positive significant
Xie et al. (2019)	Bloomberg ESG disclosure score	Corporate efficiency (Revenue earned, ROA)	2015	international	Positive significant
Bhaskaran, et al. (2020)	ESG activities	Tobin’s Q	2014–2018	international	Positive significant
Chairani and Siregar (2021)	ESG performance	Market value	2014–2018	Indonesia, Malaysia, Philippines, Singapore and Thailand	Positive significant
Naeem and Ullah (2022)	Thomson Reuters Asset4 ESG index	Tobin’s Q	2010–2019	Emerging countries	Positive significant
Li et al. (2018)	ESG disclosure	Tobin’s Q	2002–2018	UK	Positive significant
Ahmad et al. (2021)	ESG disclosure	Market value	2002–2018	UK	Positive significant
Bramer et al. (2005)	ESG indicators: environment, employment and community activities	Stock returns		UK	Negative significant
Marsat and Williams (2011)	MSCI ESGRs	Tobin’s Q	2005–2009	MSCI	Negative significant
Velte (2017)	ESG performance Asset4 database of Thomson Reuters	Tobin’s Q	2010–2014	Germany	Negative significant
Landi and Sciarelli (2019)	ESG assessment: Standard ethics agency on FTSE MIB’s companies	Stock returns	2002–2015	Italy	Negative significant
Garcia et al. (2020)	ESG performance Thomson Reuters ASSET4	DCF	2007–2014	Emerging countries	Negative significant
Duque-Grisales and Aguilera-Caracuel (2019)	ESG score Asset4 database of Thomson Reuters	Tobin’s Q	2011–2015	Brazil, Chile, Colombia, Mexico and Peru	Negative significant
Nollet et al. (2016)	Bloomberg’s Environmental Social Governance (ESG)	Return on capital	2007–2011	USA	mixed
Atan et al. (2018)	ESG activities	Tobin’s Q	2011–2013	Malaysia	mixed
Lopez-de-Silanes et al. (2020)	Sustainalytics ESG	Tobin’s Q	2015–2018	international	mixed
Saygili et al. (2021)	ESG scores, according to Borsa Istanbul Corporate Governance Index	Tobin’s Q	2007–2017	Turkey	mixed
Behl et al. (2022)	ESG disclosure	Tobin’s Q	2016–2019	India	mixed
Dincă et al. (2022)	Sustainalytics’s ESGRs	Tobin’s Q	2015–2020	international	mixed
Aydoğmuş et al. (2022)	Refinitiv ESG	Tobin’s Q	2013–2021	International	mixed

ESG themes covered in each category by ESG score Refinitive

Pillars	Categories	Themes
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

Descriptive statistics

Variable	Descriptive Statistics
Variable	Valid N	Mean	Minimum	Maximum	Std. Dev.
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

Definition of variables

Dependent variable	Tobin’s Q (TQ_i)	Market value to book value of assets (natural logarithm) for i-company;
Independent variables	ESGR_i	ESG provided by Refinitive for i-company;
	ER_i	ER provided by Refinitive for i-company;
	SR_i	SR provided by Refinitive for i-company;
	GR_i	GR provided by Refinitive for i-company;
Control variables	SIZE_i	Size of the company measured by natural logarithm of total assets for i-company;
	LEV_i	Leverage ratio measured by total debt/total assets (unsystematic risk) for i-company;
	BETA_i	Systematic risk of company measured according to CAPM for i-company;

eISSN:: 2543-6821
Język:: Angielski

Częstotliwość wydawania:: Volume Open
Dziedziny czasopisma:: Business and Economics, Political Economics, Economic Theory, Systems and Structures, Microeconomics, Macroecomics, Economic Policy

Kanał RSS czasopisma

The Relationship Between ESG Rating and Firm Value—Evidence from Companies Listed on Polish Capital Market in the WIG-ESG Index

Data publikacji: 19 kwi 2024

Zakres stron: 141 - 158

DOI: https://doi.org/10.2478/ceej-2024-0011

Słowa kluczoweESG rating, ESG, firm value, Tobin‘s Q, environment rating, social rating, governance rating

© 2024 Magdalena Mikołajek-Gocejna, published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Correlations matrix

Regression results for TOBIN’s Q (mv/bv)

Literature on relationship between firm value and ESGR

ESG themes covered in each category by ESG score Refinitive

Descriptive statistics

Definition of variables

Słowa kluczowe
ESG rating, ESG, firm value, Tobin‘s Q, environment rating, social rating, governance rating