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Relationship between ESG and Financial Performance of Companies in the Central and Eastern European Region

Karolina Siwiec
Karolina Siwiec
 oraz 
Renata Karkowska
Renata Karkowska
   | 30 kwi 2024
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Data publikacji: 30 kwi 2024
Zakres stron: 178 - 199
DOI: https://doi.org/10.2478/ceej-2024-0013
Słowa kluczowe
© 2024 Karolina Siwiec et al., published by Sciendo
This work is licensed under the Creative Commons Attribution 4.0 International License.

Figure 1.

Industry distribution of the survey sample by environmental (Env_score), governance (Gov_scor), and social (Social_score) pillar rankingSource: own compilation based on Refinitiv Eikon https://eikon.refinitiv.com/ (accessed 2023-05-13)
Industry distribution of the survey sample by environmental (Env_score), governance (Gov_scor), and social (Social_score) pillar rankingSource: own compilation based on Refinitiv Eikon https://eikon.refinitiv.com/ (accessed 2023-05-13)

Figure 2.

Dendrogram for ESG_score cluster analysisSource: own study
Dendrogram for ESG_score cluster analysisSource: own study

Figure 3.

Dendrogram for Env_score cluster analysisSource: own study
Dendrogram for Env_score cluster analysisSource: own study

Figure 4.

Dendrogram for Social_score cluster analysisSource: own study
Dendrogram for Social_score cluster analysisSource: own study

Figure 5.

Dendrogram for Gov_score cluster analysisSource: own study
Dendrogram for Gov_score cluster analysisSource: own study

Relationship between ESG.environment score and ESG.social score and performance for CEE companies in 2017–2021

Variable Model 3 Model 4
log_env_score 0.0109**
(0.0053)
log_social_score 0.0266**
(0.0112)
size −0.0103** −0.0077**
(0.0042) (0.0035)
leverage −0.0053*** −0.0045***
(0.0010) (0.0009)
GDP_growth 0.0034*** 0.0034***
(0.0007) (0.0007)
Bank 0.0300**
(0.0141)
_cons 0.0985*** 0.0171
(0.0316) (0.0436)
Breusch-Pagan Test:
chi-bar-square 43.48 35.97
p-value 0.0000 0.0000
Hausman Test:
Chi-square 0.80 5.26
p-value 0.9379 0.2615
R2 Within 0.2471 0.2226
R2 Between 0.3147 0.3925
R2 Overall 0.3043 0.3239
Number of obs 205 207

Average value of the ESG score across countries in the years 2017–2021

Country 2017 2018 2019 2020 2021 Mean
Czech Republic 51.0733 52.4467 52.8433 59.3033 65.2600 56.1853
Poland 54.5091 52.4403 52.6769 51.6522 53.6426 52.8712
Romania 39.6650 42.3900 53.5500 71.8900 77.7767 60.0175
Slovenia 58.5300 58.1200 59.2100 57.9200 66.9700 60.1500
Hungary 63.7550 64.8900 64.3725 67.8125 70.8375 66.3335

Descriptive statistics of ESG Governance score for CEE companies

Number of group Mean Median StandDev Min Max
#1
ROA 0.04 0.04 0.06 −0.14 0.17
gov_score 32.41 34.00 8.45 15.00 45.00
size 8.55 8.57 1.36 5.89 11.37
leverage 4.82 2.58 5.11 1.31 36.58
#2
ROA 0.05 0.05 0.05 −0.06 0.19
gov_score 52.82 52.50 3.81 47.00 59.00
size 8.62 8.34 1.57 5.79 11.55
leverage 3.94 2.25 3.30 1.17 11.39
#3
ROA 0.03 0.02 0.04 −0.05 0.15
gov_score 80.68 79.00 6.24 73.00 95.00
size 9.74 9.93 1.44 6.96 11.53
leverage 8.46 8.25 5.99 1.33 23.54
#4
ROA 0.05 0.02 0.06 −0.00 0.27
gov_score 66.24 66.00 3.09 61.00 71.00
size 8.97 9.19 1.51 5.80 11.04
leverage 5.32 2.51 3.97 1.15 14.90
Total
ROA 0.04 0.03 0.05 −0.14 0.27
gov_score 54.46 55.00 19.52 15.00 95.00
size 8.91 9.06 1.52 5.79 11.55
leverage 5.48 2.65 4.97 1.15 36.58

Descriptive statistics results for the ESG.score indicator across sectors

Sector Mean Median Std. dev. Min Max
Basic Materials 44.3200 39.3000 12.1891 30.7100 72.3700
Consumer Cyclicals 55.5475 55.0650 7.8532 48.5800 63.4800
Consumer Non-Cyclicals 43.5933 44.1000 5.6499 35.1200 53.2400
Energy 56.9795 58.2200 10.9479 30.4900 74.2000
Financial 59.6758 58.9700 14.7235 31.0500 87.1500
Healthcare 58.1330 58.0200 5.8753 49.7800 68.5300
Industrials 45.6570 40.2750 11.7227 34.2400 61.1000
Real Estate 39.8300 39.8300 0.1838 39.7000 39.9600
Retails 65.6400 65.9900 9.2005 51.1300 76.5700
Technology 63.9395 67.4600 10.5718 48.9000 79.9600
Utilities 46.0243 43.3900 11.0404 32.1700 71.8400
Total 55.0022 54.7200 14.0555 30.4900 87.1500

Relationship between ESG score and performance for CEE companies in 2017–2021

Variable Model 1 Model 2
log_esg_score 0.0507*** 0.0536***
(0.0163) (0.0162)
size −0.0096*** −0.0121***
(0.0036) (0.0038)
leverage −0.0046*** −0.0052***
(0.0009) (0.0010)
GDP_growth 0.0035*** 0.0034***
(0.0007) (0.0007)
Bank 0.0203*
(0.0117)
_cons −0.0613 −0.0548
(0.0578) (0.0575)
Breusch-Pagan Test:
chi-bar-square 37.41 36.89
p-value 0.0000 0.0000
Hausman Test:
Chi-square 3.28 2.04
p-value 0.5127 0.7276
R2 Within 0.2379 0.2402
R2 Between 0.4042 0.4345
R2 Overall 0.3360 0.3517
Number of obs 207 207

Descriptive statistics of ESG Social score for CEE companies

Number of group Mean Median StandDev Min Max
#1
ROA 0.06 0.04 0.07 −0.08 0.27
social_score 42.41 41.00 4.80 34.00 50.00
size 8.36 8.99 1.54 5.79 10.77
leverage 3.83 2.16 3.34 1.31 11.54
#2
ROA 0.02 0.03 0.03 −0.05 0.09
social_score 26.48 27.00 4.15 13.00 32.00
size 7.92 7.64 1.06 6.22 9.90
leverage 3.82 2.54 2.75 2.10 11.32
#3
ROA 0.05 0.03 0.05 −0.13 0.17
social_score 63.92 64.00 5.67 52.00 73.00
size 9.18 9.37 1.47 6.51 11.42
leverage 6.00 4.61 4.65 1.15 22.01
#4
ROA 0.03 0.02 0.04 −0.14 0.14
social_score 79.60 78.00 5.11 74.00 92.00
size 9.62 9.67 1.32 6.88 11.55
leverage 7.38 7.03 7.00 1.25 36.58
Total
ROA 0.04 0.03 0.05 −0.14 0.27
social_score 57.14 61.00 18.22 13.00 92.00
size 8.91 9.06 1.52 5.79 11.55
leverage 5.48 2.65 4.97 1.15 36.58

Descriptive statistics of ESG Environmental score for CEE companies

Number of group Mean Median StandDev Min Max
#1
ROA 0.05 0.03 0.05 −0.06 0.19
env_score 23.61 25.00 10.97 0.00 39.00
size 8.27 7.68 1.47 5.79 11.42
leverage 4.59 2.53 3.81 1.15 21.75
#2
ROA 0.03 0.02 0.04 −0.14 0.10
env_score 76.29 74.00 6.54 67.00 91.00
size 9.53 9.76 1.19 7.29 11.35
leverage 6.94 7.03 5.59 1.44 36.58
#3
ROA 0.05 0.04 0.06 −0.13 0.27
env_score 51.94 50.00 7.23 41.00 65.00
size 9.08 9.06 1.57 6.22 11.55
leverage 5.24 2.36 5.33 1.25 23.54
Total
ROA 0.04 0.03 0.05 −0.14 0.27
env_score 48.34 48.00 23.04 0.00 91.00
size 8.91 9.06 1.52 5.79 11.55
leverage 5.48 2.65 4.97 1.15 36.58

Average value of the ESG score across sectors in the years 2017–2021

Sector 2017 2018 2019 2020 2021 Mean
Basic Materials 72.3700 44.0400 43.2900 43.2217 41.2260 44.3200
Consumer Cyclicals 48.5800 49.0200 63.4800 61.1100 55.5475
Consumer Non-Cyclicals 39.5450 40.6000 43.1033 47.2967 45.8150 43.5933
Energy 58.7300 57.4150 53.4400 55.3900 60.0020 56.9795
Financial 54.1429 56.7356 60.1163 60.9841 65.2765 59.6758
Healthcare 56.3550 53.9500 55.8950 56.7150 67.7500 58.1330
Industrials 43.2300 47.7850 50.4700 43.4567 45.6570
Real Estate 39.9600 39.7000 39.8300
Retails 51.1300 65.9900 65.9800 68.5300 76.5700 65.6400
Technology 64.8425 61.9575 64.9875 63.8975 64.0125 63.9395
Utilities 46.9650 45.4575 42.6640 45.0800 50.0300 46.0243

Descriptive statistics of ESG score for CEE companies

Number of group Mean Median StandDev Min Max
#1
ROA 0.04 0.03 0.05 −0.08 0.19
esg_score 38.23 39.09 3.92 30.49 43.81
size 7.95 7.49 1.24 5.79 10.76
leverage 3.33 2.46 2.53 1.32 11.32
#2
ROA 0.06 0.06 0.06 −0.13 0.27
esg_score 53.35 54.18 5.13 44.36 62.37
size 8.79 9.06 1.45 5.80 11.52
leverage 4.97 2.53 3.86 1.15 15.52
#3
ROA 0.03 0.02 0.04 −0.14 0.17
esg_score 71.82 71.73 6.12 63.10 87.15
size 9.89 10.05 1.22 7.49 11.55
leverage 8.02 7.80 6.56 1.25 36.58
Total
ROA 0.04 0.03 0.05 −0.14 0.27
esg_score 55.00 54.72 14.06 30.49 87.15
size 8.91 9.06 1.52 5.79 11.55
leverage 5.48 2.65 4.97 1.15 36.58

Model variables description

Variable Description
ROA Return on assets before taxes (expressed as a percentage)
esg_score Value of ESG Score according to Refinitiv
env_score Value of Environmental Pillar Score according to Refinitiv
social_score Value of Social Pillar Score according to Refinitiv
gov_score Value of Governance Pillar Score according to Refinitiv
size Natural logarithm of the total asset value
leverage The ratio of the total asset value to the total equity value (expressed as a percentage)
GDP_growth Annual GDP growth rate at market prices based on constant local currency (expressed as a percentage)
Bank Binary variable; takes a value of 1 if the company belongs to the financial sector, 0 otherwise

Descriptive statistics

Variable Obs Mean Std. dev. Min Max
ROA 207 4.3198 5.3402 −14.0000 26.5000
esg_score 207 55.0022 14.0555 30.4900 87.1500
env_score 207 48.3430 23.0429 0.0000 91.0000
social_score 207 57.1449 18.2235 13.0000 92.0000
gov_score 207 54.4638 19.5224 15.0000 95.0000
size 207 8.9057 1.5177 5.7854 11.5493
leverage 207 5.4819 4.9737 1.1500 36.5800
GDP_growth 207 3.6447 3.5834 −5.5030 8.2111
Bank 207 0.3865 0.4881 0.0000 1.0000
log_env_score 205 3.7084 0.7397 0.0000 4.5109
log_gov_score 207 3.9202 0.4190 2.7081 4.5539
log_social_score 207 3.9837 0.3744 2.5649 4.5218
log_esg_score 207 3.9738 0.2627 3.4174 4.4676
eISSN:
2543-6821
Język:
Angielski
Częstotliwość wydawania:
Volume Open
Dziedziny czasopisma:
Business and Economics, Political Economics, Economic Policy, Economic Theory, Systems and Structures, Microeconomics, Macroecomics
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