Stuart L. Gillan, Jay C. Hartzell, Andrew Koch, and ... - Pitt Business

Table VI
Relation between Fraction of Shares Owned by Institutions and ESG Scores
This table shows the relation between institutional ownership in a firm and its ESG scores. The dependent
variable is the fraction of shares owned by institutions in the firm as of March 31 in year t+1. The
independent variables shown are the firm’s E, S, or G score as of December 31 of year t. The regressions
also include a number of firm characteristic control variables that are not shown: log size, log price, log
standard deviation of monthly returns, log dividend yield, log stock turnover, and stock return over the
previous 6 months. The regressions are pooled over the 1992-2007 sample period with industry and year
fixed effects and standard errors clustered by firm. Panel A reports the coefficients for the ESG net scores
and Panel B reports the coefficients for the ESG strength and concern scores.
Panel A. ESG net scores
Variables [1] [2] [3]
Environmental Net Score 0.001200
(0.33)
Social Net Score -0.00283*
(-1.67)
Governance Net Score -0.0336***
(-8.40)
Market equity 0.00818** 0.00898*** 0.000476
(2.54) (2.83) (0.15)
Price 0.0468*** 0.0466*** 0.0508***
(6.50) (6.45) (6.95)
Standard deviation -0.0624*** -0.0627*** -0.0629***
(-5.79) (-5.80) (-5.83)
Firm age 0.0231*** 0.0232*** 0.0226***
(6.04) (6.08) (5.98)
Dividend yield -6.434*** -6.437*** -6.364***
(-4.20) (-4.20) (-4.16)
Turnover 0.190*** 0.190*** 0.184***
(18.46) (18.49) (18.04)
Past return -0.00323 -0.00342 0.00140
(-0.44) (-0.47) (0.19)
Number of observations 15103 15103 15103
R-squared
t-statistics in parentheses
*** p