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

Table IX
Tobin’s q and ESG Scores
This table shows the relation between a firm’s Tobin’s q and its ESG scores for each attribute separately,
with the environmental scores in columns (1) and (2), the social scores in columns (3) and (4), and the
governance scores in columns (5) and (6). The dependent variables are Tobin's q, defined as the market
value of assets over book value of assets, where market value of assets equals book value of assets plus
market value of equity minus the sum of equity book value of deferred taxes. Controls are log market
equity, log book-to-market, book leverage and advertising expenses scaled by assets. If advertising
expense is missing it is set equal to zero. We include a dummy variable equal to 1 if advertising expense
is missing, zero otherwise. All regressions include industry and year effects, where industry is defined
using Fama-French (1993) 48-industry classification. Standard errors are clustered at the stock level.
Model
(1) (2) (3)
Environmental net 0.140***
(9.10)
Social net 0.0247***
(2.68)
Governance net 0.145***
(5.61)
ln(market equity) 0.177*** 0.154*** 0.187***
(11.96) (10.28) (12.10)
Leverage -1.831*** -1.826*** -1.789***
(-13.39) (-13.28) (-13.12)
Advertising /Assets 2.910*** 2.923*** 2.938***
(3.75) (3.73) (3.78)
Advert. missing dummy 0.0049 0.0089 -0.0023
(0.11) (0.19) (-0.05)
Observations 12113 12113 12113
R-squared 0.20 0.18 0.18
t-statistics in parentheses
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