Environmental, Social, and Governance Performance and Value Creation in Product Market: Evidence from Emerging Economies
Abstract
:1. Introduction
2. Literature Review and Hypothesis Development
2.1. Theoretical Framework
2.2. ESG and Firm Value
2.2.1. Environmental Activities and Firm Value
2.2.2. Social Activities and Firm Value
2.2.3. Governance and Firm Value
3. Sample Construction and Research Methodology
3.1. Sample Construction
3.2. Research Methodology
4. Results and Discussion
4.1. Descriptive Statistics and Correlation Analysis
4.2. The Association of ESG and Its Pillars with Value Creation in the Product Market
4.3. Robustness of Results/Additional Testing
4.4. Endogeneity Tests
5. Discussion on the Empirical Results
6. Conclusions
Author Contributions
Funding
Data Availability Statement
Acknowledgments
Conflicts of Interest
Appendix A. Variables
Variable | Notation | Measurement | Source |
Dependent Variables | |||
Return On Sale | (ROS) | The ratio of earnings before extraordinary items to book value of total sale (Gong et al. 2021) | Datastream |
Sales Growth | (SG) | Change in sales/sales (Saeidi et al. 2015) | Datastream |
Independent Variables | |||
Environmental, Social, and Governance Score | ESG Score | ESG Score from Datastream and assigned with the following formula (Eikon 2022): Score = No. of Co. with a worse value + No. of Co. with same value/2 No. of firms with a value | Datastream |
Environmental Score | Env Score | Environmental Score from Datastream (Eikon 2022). Categories: Emission, Innovation, Resource Use Sub-Categories: Waste, Biodiversity, Product Innovation, Energy, Environmental Supply Chain | Datastream |
Social Score | Soc Score | Score from Datastream (Eikon 2022) Categories: Community, Human Rights, Product Responsibility, Workforce Sub-Categories: Human Rights, Responsible Marketing, Working Conditions, Health Safety | Datastream |
Governance Score | Gov Score | Governance Score from Datastream (Eikon 2022) Categories: CSR Strategy, Management, Shareholders Sub-Categories: CSR Strategy, ESG Reporting and Transparency, Structure, Diversity, Shareholder Rights | Datastream |
Control Variables | |||
Company-Level | |||
Firm Size | Size | The natural logarithm of total assets (Aboud and Diab 2018) | Datastream |
Firm Age | Age | Age of company (years) (Yordudom and Suttipun 2020) | Datastream |
Financial Leverage | FL | Total debt/total equity (Yordudom and Suttipun 2020) | Datastream |
Capital Expenditure | CAPEX | Capital expenditure/total assets (Aboud and Diab 2018) | Datastream |
Liquidity | Current Ratio | Current assets/current liabilities (Fang et al. 2009; Yordudom and Suttipun 2020) | Datastream |
Country-Level | |||
GDP Growth | GDP | % change in GDP (Azmi et al. (2021) | WDI |
Unemployment | UNE | % of total labor force (Karakus and Bozkurt 2017) | WDI |
Exchange Rate | EXR | The natural logarithm of official exchange rate (as USD) (Karakus and Bozkurt 2017) | WDI |
1 | In this study, we view firms’ ESG and CSR activities similarly. Thus, the concepts of ESG and CSR can be interchangeable within this study. |
2 | As we use a one-year-ahead value for the dependent variable, the two dependent variables contain information for the year 2020. |
3 | We will further discuss the theories in Section 2: Literature Review and Hypothesis Development. |
4 | As China provides the largest number of observations to our sample, to ensure that the main result is not primarily driven by the observations from China, we conducted a sensitivity analysis by excluding the observations from China. |
5 | By using the pooled OLS regression model, we assume that there is a linear relationship between ESG and firm value; however, extant literature also finds a non-linear relationship between the two items (e.g., Pu 2023). Thus, admittedly, the assumption of a linear relationship may be a potential limitation for this study. |
6 | The 5.49% increase is calculated as 0.027 × (54.345 − 22.02)/15.91. |
7 | We collected the data for country-level governance quality variables from the World Bank open database. |
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Panel A: By Countries | |||||
No. | Country | Nation Code | No. of Firms | No. of Observations | Sample Percentage % |
1 | Argentina | 25 | 51 | 450 | 3.35 |
2 | Brazil | 76 | 116 | 1020 | 7.61 |
3 | Chile | 152 | 38 | 335 | 2.50 |
4 | China | 156 | 534 | 4783 | 35.66 |
5 | Colombia | 175 | 18 | 160 | 1.19 |
6 | Egypt | 220 | 18 | 162 | 1.21 |
7 | Hungry | 350 | 14 | 126 | 0.94 |
8 | India | 356 | 150 | 1334 | 9.94 |
9 | Indonesia | 366 | 45 | 403 | 3.00 |
10 | Malaysia | 458 | 61 | 525 | 3.91 |
11 | Mexico | 484 | 47 | 418 | 3.12 |
12 | Philippines | 608 | 21 | 198 | 1.48 |
13 | Poland | 617 | 32 | 286 | 2.13 |
14 | Russia | 643 | 43 | 378 | 2.82 |
15 | Saudi Arabia | 682 | 29 | 253 | 1.89 |
16 | South Africa | 710 | 116 | 1004 | 7.49 |
17 | Thailand | 764 | 100 | 847 | 6.32 |
18 | Turkey | 796 | 70 | 616 | 4.59 |
19 | The United Arab Emirates | 784 | 14 | 114 | 0.85 |
Total | 1517 | 13,412 | 100 | ||
Panel B: By Industries, Following the Industry Classification of (Fama and French 1997) | |||||
No. | Industry | No. of Observations | Sample Percentage % | ||
1 | Agriculture | 943 | 7.03 | ||
2 | Food Products | 1506 | 11.23 | ||
3 | Consumer Goods | 1509 | 11.25 | ||
4 | Health Care | 1453 | 10.83 | ||
5 | Manufacturing | 1176 | 8.77 | ||
6 | Construction | 1070 | 7.98 | ||
7 | Chemicals | 1406 | 10.48 | ||
8 | Machinery | 803 | 5.99 | ||
9 | Medical Equipment | 1147 | 8.55 | ||
10 | Textiles and Apparel | 1541 | 11.49 | ||
11 | Petroleum | 858 | 6.40 | ||
Total | 13,412 | 100 | |||
Panel C: By Years | |||||
Year | No. of Observations | Sample Percentage % | |||
2011 | 1453 | 10.83 | |||
2012 | 1468 | 10.95 | |||
2013 | 1477 | 11.01 | |||
2014 | 1486 | 11.08 | |||
2015 | 1493 | 11.13 | |||
2016 | 1501 | 11.19 | |||
2017 | 1505 | 11.22 | |||
2018 | 1512 | 11.27 | |||
2019 | 1517 | 11.32 | |||
Total | 13,412 | 100 |
Variable | Observations | Mean | Std. Dev | Q1 | Q2 | Q3 |
---|---|---|---|---|---|---|
ROS | 13,412 | 15.910 | 16.529 | 5.542 | 12.467 | 22.671 |
SG | 13,412 | 11.140 | 21.024 | 1.724 | 10.521 | 20.538 |
ESG | 13,412 | 38.487 | 20.523 | 22.02 | 37.03 | 54.345 |
ENV | 13,412 | 32.270 | 24.896 | 10.61 | 27.645 | 51.9 |
SOC | 13,412 | 37.147 | 25.180 | 14.78 | 33.595 | 57.48 |
GOV | 13,412 | 46.885 | 22.453 | 29.625 | 47.42 | 64.84 |
FS | 13,412 | 24.503 | 2.379 | 22.786 | 24.111 | 25.754 |
FA | 13,412 | 27.602 | 22.539 | 14 | 20 | 34 |
FL | 13,412 | 0.938 | 0.453 | 0.619 | 0.795 | 1.068 |
CAPEX | 13,412 | 8.697 | 3.982 | 6.231 | 7.741 | 9.402 |
CR | 13,412 | 2.077 | 1.443 | 1.253 | 1.652 | 2.280 |
GDP | 13,412 | 0.358 | 1.261 | 0.026 | 0.059 | 0.074 |
UNE | 13,412 | 8.772 | 5.922 | 5.51 | 6.98 | 11.6 |
EXR | 13,412 | 2.578 | 1.679 | 1.815 | 1.893 | 3.432 |
Variable | ROS | SG | ESG | ENV | SOC | GOV | FS | FA | FL | CAPEX | CR | GDP | UNE | EXR |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ROS | 1.000 | |||||||||||||
SG | 0.184 | 1.000 | ||||||||||||
ESG | 0.212 | 0.371 | 1.000 | |||||||||||
ENV | 0.127 | 0.422 | 0.434 | 1.000 | ||||||||||
SOC | 0.258 | 0.176 | 0.408 | 0.3401 | 1.000 | |||||||||
GOV | 0.229 | 0.321 | 0.469 | 0.427 | 0.275 | 1.000 | ||||||||
FS | 0.399 | 0.377 | 0.128 | 0.101 | 0.141 | 0.252 | 1.000 | |||||||
FA | 0.130 | 0.157 | 0.183 | 0.165 | 0.232 | 0.237 | 0.272 | 1.000 | ||||||
FL | 0.261 | 0.302 | 0.134 | 0.116 | 0.137 | 0.233 | 0.147 | 0.205 | 1.000 | |||||
CAPEX | 0.311 | 0.246 | 0.222 | 0.136 | 0.127 | 0.217 | 0.212 | 0.383 | 0.012 | 1.000 | ||||
CR | 0.265 | 0.306 | 0.356 | 0.244 | 0.264 | 0.127 | 0.395 | 0.188 | 0.172 | 0.208 | 1.000 | |||
GDP | 0.379 | 0.248 | 0.218 | 0.111 | 0.237 | 0.302 | 0.349 | 0.228 | 0.217 | 0.126 | 0.125 | 1.000 | ||
UNE | 0.257 | 0.106 | 0.108 | 0.201 | 0.310 | 0.401 | 0.128 | 0.112 | 0.156 | 0.259 | 0.331 | 0.217 | 1.000 | |
EXR | 0.363 | 0.239 | 0.110 | 0.264 | 0.154 | 0.119 | 0.334 | 0.168 | 0.122 | 0.211 | 0.402 | 0.268 | 0.203 | 1.000 |
Value Creation in the Product Market Is the Dependent Variable in All the Columns | ||||||||
---|---|---|---|---|---|---|---|---|
Variable | ROS | SG | ||||||
Model 1 | Model 2 | Model 3 | Model 4 | Model 1 | Model 2 | Model 3 | Model 4 | |
ESG | 0.0270 *** (0.0070) | 0.0500 *** (0.0090) | ||||||
ENV | 0.0146 *** (0.0057) | 0.0385 *** (0.0074) | ||||||
SOC | 0.0260 *** (0.0058) | 0.0447 *** (0.0075) | ||||||
GOV | 0.0110 *** (0.0036) | 0.0285 *** (0.0078) | ||||||
FS | 0.1435 ** (0.0698) | 0.1517 ** (0.0700) | 0.1437 ** (0.0697) | 0.1544 ** (0.0735) | 0.6540 *** (0.0988) | 0.6570 *** (0.0987) | 0.6574 *** (0.0989) | 0.5927 *** (0.0958) |
FA | 0.0215 *** (0.0075) | 0.0200 *** (0.0075) | 0.0235 *** (0.0076) | 0.0219 *** (0.0054) | 0.0350 *** (0.0093) | 0.0358 *** (0.0093) | 0.0321 *** (0.0094) | 0.0393 *** (0.0105) |
FL | 0.4037 (0.3198) | 0.4240 (0.3197) | 0.3978 (0.3195) | 0.4169 (0.3199) | 0.6122 (0.4380) | 0.6208 (0.4375) | 0.6027 (0.4379) | 0.6141 (0.4377) |
CAPEX | 0.0439 *** (0.0137) | 0.0433 *** (0.0138) | 0.0430 *** (0.0137) | 0.0435 *** (0.0135) | 0.1723 *** (0.0475) | 0.1684 *** (0.0475) | 0.1714 *** (0.0475) | 0.1668 ** (0.0488) |
CR | 0.4088 *** (0.0951) | 0.4025 *** (0.0951) | 0.4128 *** (0.0951) | 0.4004 *** (0.0934) | 0.2693 * (0.1386) | 0.2749 ** (0.1388) | 0.2630 * (0.1384) | 0.2546 * (0.1382) |
GDP | 0.6165 *** (0.1013) | 0.6250 *** (0.1014) | 0.6118 *** (0.1012) | 0.6136 *** (0.1012) | 0.8711 *** (0.1301) | 0.8719 *** (0.1304) | 0.8740 *** (0.1308) | 0.8748 *** (0.1310) |
UNE | 0.0697 *** (0.0289) | 0.0677 ** (0.0289) | 0.0680 ** (0.0289) | 0.0637 ** (0.0286) | 0.0186 * (0.0103) | 0.0183 * (0.0103) | 0.0185 * (0.0103) | 0.0189 * (0.0107) |
EXR | 0.4163 *** (0.1070) | 0.4347 *** (0.1074) | 0.3941 *** (0.1070) | 0.4164 *** (0.1066) | 0.1883 * (0.1011) | 0.1891 * (0.1014) | 0.1844 * (0.1009) | 0.1892 * (0.1017) |
Cons | 0.1664 ** (0.0712) | 0.1547 ** (0.0704) | 0.1635 ** (0.0709) | 0.1481 ** (0.0718) | 0.7899 *** (0.2930) | 0.7989 *** (0.2925) | 0.7768 *** (0.2922) | 0.7848 *** (0.2926) |
No. of Obs | 13,412 | 13,412 | 13,412 | 13,412 | 13,412 | 13,412 | 13,412 | 13,412 |
R2 | 0.194 | 0.195 | 0.196 | 0.193 | 0.195 | 0.192 | 0.194 | 0.193 |
Country Fixed Effect | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Industry Fixed Effect | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Year Fixed Effect | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Prob > F | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.0000 | 0.000 | 0.000 |
Panel A: Sensitivity Analysis by Excluding Observations from China | ||||||||
Value Creation in the Product Market Is the Dependent Variable in All the Columns | ||||||||
Variable | ROS | SG | ||||||
Model 1 | Model 2 | Model 3 | Model 4 | Model 1 | Model 2 | Model 3 | Model 4 | |
ESG | 0.0257 *** (0.0066) | 0.0495 *** (0.0088) | ||||||
ENV | 0.0138 *** (0.0049) | 0.0376 *** (0.0070) | ||||||
SOC | 0.0256 *** (0.0056) | 0.0439 *** (0.0068) | ||||||
GOV | 0.0105 *** (0.0035) | 0.0175 *** (0.0064) | ||||||
FS | 0.1540 ** (0.0717) | 0.1586 ** (0.0719) | 0.1570 ** (0.0716) | 0.1554 ** (0.0718) | 0.5496 *** (0.0953) | 0.5414 *** (0.0951) | 0.5539 *** (0.0953) | 0.5496 *** (0.0952) |
FA | 0.0293 *** (0.0081) | 0.0294 *** (0.0082) | 0.0305 *** (0.0082) | 0.0215 *** (0.0045) | 0.0375 *** (0.0099) | 0.0362 *** (0.0099) | 0.0355 *** (0.0100) | 0.0368 *** (0.0099) |
FL | 0.4285 (0.3176) | 0.4392 (0.3174) | 0.4231 (0.3175) | 0.4108 (0.3122) | 0.5415 (0.4216) | 0.5264 (0.4214) | 0.5559 (0.4215) | 0.5219 (0.4213) |
CAPEX | 0.0681 *** (0.0172) | 0.0680 *** (0.0173) | 0.0675 *** (0.0172) | 0.0674 *** (0.0171) | 0.1609 *** (0.0361) | 0.1579 *** (0.0361) | 0.1573 *** (0.0360) | 0.1678 *** (0.0363) |
CR | 0.3836 *** (0.0924) | 0.3712 *** (0.0924) | 0.3833 *** (0.0923) | 0.3813 *** (0.0922) | 0.2514 ** (0.1283) | 0.2559 ** (0.1281) | 0.2555 ** (0.1285) | 0.2587 ** (0.1290) |
GDP | 0.5961 *** (0.1031) | 0.5980 *** (0.1033) | 0.5993 *** (0.1031) | 0.5989 *** (0.1034) | 0.8621 *** (0.1292) | 0.8629 *** (0.1291) | 0.8627 *** (0.1290) | 0.8623 *** (0.1291) |
UNE | 0.0820 *** (0.0307) | 0.0891 *** (0.0307) | 0.0803 *** (0.0307) | 0.0827 *** (0.0308) | 0.1022 *** (0.0411) | 0.1019 *** (0.0410) | 0.1015 *** (0.0407) | 0.1010 *** (0.0402) |
EXR | 0.3984 *** (0.0955) | 0.3996 *** (0.0963) | 0.3949 *** (0.0953) | 0.3944 *** (0.0952) | 0.1720 * (0.0938) | 0.1724 * (0.0946) | 0.1723 * (0.0943) | 0.1721 * (0.0938) |
Cons | 0.1709 ** (0.0784) | 0.1607 ** (0.0781) | 0.1708 ** (0.0782) | 0.1506 * (0.0780) | 0.7524 *** (0.2718) | 0.7427 *** (0.2721) | 0.7522 *** (0.2717) | 0.7329 *** (0.2722) |
No. of Obs | 8629 | 8629 | 8629 | 8629 | 8629 | 8629 | 8629 | 8629 |
R2 | 0.174 | 0.175 | 0.178 | 0.178 | 0.173 | 0.176 | 0.173 | 0.175 |
Country Fixed Effect | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Industry Fixed Effect | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Year Fixed Effect | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Prob > F | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
Panel B: Weighted Least Square | ||||||||
Value Creation in the Product Market Is the Dependent Variable in All the Columns | ||||||||
Variables | ROS | SG | ||||||
Model 1 | Model 2 | Model 3 | Model 4 | Model 1 | Model 2 | Model 3 | Model 4 | |
ESG | 0.0284 *** (0.0081) | 0.0510 *** (0.0091) | ||||||
ENV | 0.0151 *** (0.0059) | 0.0392 *** (0.0077) | ||||||
SOC | 0.0283 *** (0.0062) | 0.0489 *** (0.0083) | ||||||
GOV | 0.0120 *** (0.0041) | 0.0289 *** (0.0079) | ||||||
FS | 0.1481 ** (0.0691) | 0.1483 ** (0.0691) | 0.1486 ** (0.0693) | 0.1571 ** (0.0687) | 0.6143 *** (0.0979) | 0.6155 *** (0.0977) | 0.6163 *** (0.0978) | 0.6108 *** (0.0963) |
FA | 0.0284 *** (0.0080) | 0.0281 *** (0.0080) | 0.0282 *** (0.0080) | 0.0277 *** (0.0078) | 0.0386 *** (0.0089) | 0.0376 *** (0.0089) | 0.0356 *** (0.0080) | 0.0344 *** (0.0087) |
FL | 0.4741 (0.3142) | 0.4747 (0.3148) | 0.4749 (0.3149) | 0.4744 (0.3141) | 0.4809 (0.4201) | 0.4704 (0.4200) | 0.4709 (0.4201) | 0.4707 (0.4202) |
CAPEX | 0.0575 *** (0.0123) | 0.0592 *** (0.0126) | 0.0580 *** (0.0124) | 0.0563 *** (0.0122) | 0.1343 *** (0.0259) | 0.1346 *** (0.0260) | 0.1344 *** (0.0260) | 0.1347 *** (0.0261) |
CR | 0.4489 *** (0.1015) | 0.4520 *** (0.1015) | 0.4636 *** (0.1018) | 0.4477 *** (0.1015) | 0.2646 ** (0.1321) | 0.2660 ** (0.1326) | 0.2589 * (0.1328) | 0.2815 ** (0.1317) |
GDP | 0.6288 *** (0.1098) | 0.6230 *** (0.1082) | 0.6292 *** (0.1091) | 0.6286 *** (0.1087) | 0.8775 *** (0.1316) | 0.8712 *** (0.1312) | 0.8740 *** (0.1312) | 0.8725 *** (0.1312) |
UNE | 0.0605 *** (0.0235) | 0.0603 *** (0.0231) | 0.0606 *** (0.0235) | 0.0601 *** (0.0235) | 0.0230 ** (0.0111) | 0.0233 ** (0.0112) | 0.0237 ** (0.0114) | 0.0239 ** (0.0116) |
EXR | 0.4189 *** (0.1076) | 0.4137 *** (0.1041) | 0.4100 *** (0.1038) | 0.4161 *** (0.1048) | 0.1955 * (0.1022) | 0.1949 * (0.1020) | 0.1940 * (0.1020) | 0.1938 * (0.1020) |
Cons | 0.1772 ** (0.0831) | 0.1851 ** (0.0828) | 0.1762 ** (0.0832) | 0.1667 ** (0.0837) | 0.7738 *** (0.2573) | 0.7694 *** (0.2599) | 0.7761 *** (0.2574) | 0.7728 *** (0.2549) |
No. of Obs | 13,412 | 13,412 | 13,412 | 13,412 | 13,412 | 13,412 | 13,412 | 13,412 |
R2 | 0.171 | 0.170 | 0.172 | 0.171 | 0.173 | 0.172 | 0.171 | 0.170 |
Country Fixed Effect | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Industry Fixed Effect | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Year Fixed Effect | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Prob > F | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
Panel A: Entropy Balancing Method | ||||||||
Value Creation in the Product Market Is the Dependent Variable in All the Columns | ||||||||
Variable | ROS | SG | ||||||
Model 1 | Model 2 | Model 3 | Model 4 | Model 1 | Model 2 | Model 3 | Model 4 | |
ESG | 0.0273 *** (0.0071) | 0.0497 *** (0.0088) | ||||||
ENV | 0.0149 *** (0.0058) | 0.0381 *** (0.0073) | ||||||
SOC | 0.0257 *** (0.0057) | 0.0449 *** (0.0075) | ||||||
GOV | 0.0116 *** (0.0037) | 0.0287 *** (0.0079) | ||||||
FS | 0.1363 ** (0.0653) | 0.1471 ** (0.0638) | 0.1352 ** (0.0618) | 0.1495 ** (0.0639) | 0.6085 *** (0.0816) | 0.6092 *** (0.0819) | 0.6079 *** (0.0814) | 0.6012 *** (0.0810) |
FA | 0.0236 *** (0.0083) | 0.0229 *** (0.0087) | 0.0264 *** (0.0088) | 0.0203 *** (0.0084) | 0.0364 *** (0.0092) | 0.0353 *** (0.0091) | 0.0330 *** (0.0088) | 0.0315 *** (0.0085) |
FL | 0.3724 (0.3017) | 0.3823 (0.3052) | 0.3122 (0.3049) | 0.3342 (0.3055) | 0.5508 (0.4191) | 0.5213 (0.4085) | 0.5679 (0.4095) | 0.5497 (0.4088) |
CAPEX | 0.0418 ** (0.0199) | 0.0431 ** (0.0194) | 0.0428 ** (0.0195) | 0.0427** (0.0194) | 0.1403 *** (0.0366) | 0.1402 *** (0.0366) | 0.1435 *** (0.0367) | 0.1445 *** (0.0366) |
CR | 0.4309 *** (0.1006) | 0.4302 *** (0.1013) | 0.4353 *** (0.1016) | 0.4328 *** (0.1012) | 0.2296 ** (0.1092) | 0.2193 ** (0.1096) | 0.2153 ** (0.1089) | 0.2133 ** (0.1085) |
GDP | 0.6106 *** (0.1007) | 0.6166 *** (0.1050) | 0.6192 *** (0.1055) | 0.6172 *** (0.1043) | 0.8793 *** (0.1392) | 0.8747 *** (0.1311) | 0.8772 *** (0.1387) | 0.8775 *** (0.1390) |
UNE | 0.0786 *** (0.0293) | 0.0762 *** (0.0290) | 0.0723 *** (0.0289) | 0.0724 *** (0.0288) | 0.0246 * (0.0136) | 0.0270 ** (0.0136) | 0.0239 * (0.0136) | 0.0237 * (0.0135) |
EXR | 0.4221 *** (0.1106) | 0.4257 *** (0.1109) | 0.4210 *** (0.1100) | 0.4242 *** (0.1107) | 0.1908 * (0.1021) | 0.1976 * (0.1057) | 0.1970 * (0.1050) | 0.1936 * (0.1039) |
Cons | 0.1750 ** (0.0816) | 0.1777 ** (0.0818) | 0.1720 ** (0.0812) | 0.1760 ** (0.0817) | 0.7898 *** (0.2884) | 0.7890 *** (0.2831) | 0.7891 *** (0.2846) | 0.7893 *** (0.2847) |
No. of Obs | 13,412 | 13,412 | 13,412 | 13,412 | 13,412 | 13,412 | 13,412 | 13,412 |
R2 | 0.184 | 0.185 | 0.186 | 0.183 | 0.185 | 0.182 | 0.184 | 0.183 |
Country Fixed effect | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Industry Fixed Effect | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Year Fixed Effect | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Prob > F | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.0000 | 0.000 | 0.000 |
Panel B: Endogeneity/Reverse Causality/2SLS | ||||||||
Value Creation in the Product Market Is the Dependent Variable in All the Columns | ||||||||
Variable | ROS | SG | ||||||
Model 1 | Model 2 | Model 3 | Model 4 | Model 1 | Model 2 | Model 3 | Model 4 | |
Instrumented ESG | 0.0296 *** (0.0074) | 0.0507 *** (0.0093) | ||||||
Instrumented ENV | 0.0150 *** (0.0060) | 0.0393 *** (0.0076) | ||||||
Instrumented SOC | 0.0267 *** (0.0059) | 0.0464 *** (0.0078) | ||||||
Instrumented GOV | 0.0119 *** (0.0040) | 0.0294 *** (0.0081) | ||||||
FS | 0.1507 ** (0.0701) | 0.1504 ** (0.0700) | 0.1506 ** (0.0703) | 0.1514 ** (0.0705) | 0.6610 *** (0.1011) | 0.6613 *** (0.1011) | 0.6622 *** (0.1015) | 0.6614 *** (0.1012) |
FA | 0.0255 *** (0.0078) | 0.0282 *** (0.0078) | 0.0295 *** (0.0079) | 0.0290 *** (0.0078) | 0.0406 *** (0.0097) | 0.0404 *** (0.0096) | 0.0401 *** (0.0094) | 0.0408 *** (0.0095) |
FL | 0.4105 (0.3211) | 0.4102 (0.3211) | 0.4107 (0.3211) | 0.4110 (0.3212) | 0.6178 (0.4434) | 0.6152 (0.4425) | 0.6013 (0.4394) | 0.6087 (0.4396) |
CAPEX | 0.0481 *** (0.0157) | 0.0487 *** (0.0159) | 0.0480 *** (0.0156) | 0.0486 *** (0.0160) | 0.1733 *** (0.0486) | 0.1664 *** (0.0413) | 0.1687 *** (0.0435) | 0.1786 *** (0.0494) |
CR | 0.4119 *** (0.1025) | 0.4141 *** (0.1061) | 0.4183 *** (0.1071) | 0.4104 *** (0.1004) | 0.2745 ** (0.1390) | 0.2769 ** (0.1392) | 0.2762 ** (0.1390) | 0.2704 ** (0.1380) |
GDP | 0.6162 *** (0.1010) | 0.6135 *** (0.1007) | 0.6169 *** (0.1011) | 0.6124 *** (0.1009) | 0.8701 *** (0.1313) | 0.8710 *** (0.1319) | 0.8705 *** (0.1314) | 0.8714 *** (0.1321) |
UNE | 0.0513 * (0.0274) | 0.0575 ** (0.0278) | 0.0530 * (0.0275) | 0.0566 ** (0.0274) | 0.0256 * (0.0141) | 0.0260 * (0.0141) | 0.0264 * (0.0143) | 0.0266 * (0.0144) |
EXR | 0.4158 *** (0.1056) | 0.4152 *** (0.1056) | 0.4226 *** (0.1058) | 0.4157 *** (0.1056) | 0.1894 * (0.1019) | 0.1890 * (0.1017) | 0.1893 * (0.1018) | 0.1897 * (0.1021) |
Cons | 0.1782 ** (0.0763) | 0.1618 *** (0.0669) | 0.1735 ** (0.0785) | 0.1711 ** (0.0712) | 0.7602 *** (0.2725) | 0.7685 *** (0.2727) | 0.7719 *** (0.2780) | 0.7711 *** (0.2712) |
No. of Obs | 13,412 | 13,412 | 13,412 | 13,412 | 13,412 | 13,412 | 13,412 | 13,412 |
R2 | 0.172 | 0.171 | 0.174 | 0.173 | 0.174 | 0.171 | 0.173 | 0.172 |
Country Fixed Effect | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Industry Fixed Effect | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Year Fixed Effect | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Prob > chi2 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.000 | 0.000 |
Panel C: Endogeneity/Omitted Variable/GMM | ||||||||
Value Creation in the Product Market Is the Dependent Variable in All the Columns | ||||||||
Variable | ROS | SG | ||||||
Model 1 | Model 2 | Model 3 | Model 4 | Model 1 | Model 2 | Model 3 | Model 4 | |
VC(t+1) | 0.0335 *** (0.0111) | 0.0442 ** (0.0203) | 0.0326 *** (0.0107) | 0.0205 ** (0.0093) | 0.0572 *** (0.0192) | 0.0379 ** (0.0171) | 0.0417 *** (0.0115) | 0.0432 *** (0.0114) |
ESG | 0.0281 *** (0.0079) | 0.0495 *** (0.0088) | ||||||
ENV | 0.0153 *** (0.0060) | 0.0383 *** (0.0073) | ||||||
SOC | 0.0269 *** (0.0061) | 0.0450 *** (0.0076) | ||||||
GOV | 0.0125 *** (0.0042) | 0.0292 *** (0.0080) | ||||||
FS | 0.1521 ** (0.0759) | 0.1513 ** (0.0748) | 0.1451 ** (0.0698) | 0.1542 ** (0.0731) | 0.6581 *** (0.0993) | 0.6414 *** (0.0909) | 0.6575 *** (0.0990) | 0.6055 *** (0.0960) |
FA | 0.0237 *** (0.0084) | 0.0199 *** (0.0074) | 0.0239 *** (0.0077) | 0.0227 *** (0.0055) | 0.0347 *** (0.0092) | 0.0415 *** (0.0094) | 0.0419 *** (0.0094) | 0.0463 *** (0.0106) |
FL | 0.4180 (0.3231) | 0.4251 (0.3221) | 0.3983 (0.3196) | 0.4173 (0.3230) | 0.6023 (0.4304) | 0.6067 (0.4316) | 0.5957 (0.4301) | 0.6053 (0.4313) |
CAPEX | 0.0533 *** (0.0195) | 0.0537 *** (0.0196) | 0.0532 *** (0.0194) | 0.0541 *** (0.0198) | 0.1695 *** (0.0493) | 0.1693 *** (0.0493) | 0.1701 *** (0.0494) | 0.1699 *** (0.0494) |
CR | 0.4012 *** (0.0931) | 0.4014 *** (0.0932) | 0.4103 *** (0.0941) | 0.4059 *** (0.0937) | 0.2785 ** (0.1399) | 0.2763 ** (0.1391) | 0.2651 * (0.1380) | 0.2591 * (0.1381) |
GDP | 0.6233 *** (0.1085) | 0. 6173 *** (0.1014) | 0.6258 *** (0.1088) | 0.6094 *** (0.1000) | 0.8763 *** (0.1375) | 0.8697 *** (0.1295) | 0.8771 *** (0.1380) | 0.8516 *** (0.1213) |
UNE | 0.0717 *** (0.0281) | 0.0851 *** (0.0313) | 0.0757 *** (0.0291) | 0.0611 *** (0.0232) | 0.0303 ** (0.0150) | 0.0296 ** (0.0145) | 0.0307 ** (0.0150) | 0.0199 * (0.0110) |
EXR | 0.4263 *** (0.1114) | 0.4351 *** (0.1075) | 0.4095 *** (0.1072) | 0.4271 *** (0.1115) | 0.1873 * (0.1009) | 0.1889 * (0.1015) | 0.1887 * (0.1014) | 0.1891 * (0.1017) |
Cons | 0.1801 ** (0.0820) | 0.1759 ** (0.0817) | 0.1671 ** (0.0715) | 0.1813 ** (0.0821) | 0.7878 *** (0.2841) | 0.7895 *** (0.2851) | 0.7899 *** (0.2894) | 0.7885 *** (0.2842) |
No. of Obs | 13,412 | 13,412 | 13,412 | 13,412 | 13,412 | 13,412 | 13,412 | 13,412 |
Instruments | 81 | 81 | 81 | 81 | 81 | 81 | 81 | 81 |
No. of Groups | 1517 | 1517 | 1517 | 1517 | 1517 | 1517 | 1517 | 1517 |
AR (1) | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
AR (2) | 0.795 | 0.843 | 0.783 | 0.950 | 0.981 | 0.801 | 0.776 | 0.834 |
Hansen Test | 0.138 | 0.126 | 0.140 | 0.135 | 0.143 | 0.136 | 0.140 | 0.139 |
Country Fixed Effect | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Industry Fixed Effect | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Year Fixed Effect | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
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Share and Cite
Bashir, Y.; Zhao, Y.; Qiu, H.; Ahmed, Z.; Yau, J.T.-H. Environmental, Social, and Governance Performance and Value Creation in Product Market: Evidence from Emerging Economies. J. Risk Financial Manag. 2023, 16, 517. https://doi.org/10.3390/jrfm16120517
Bashir Y, Zhao Y, Qiu H, Ahmed Z, Yau JT-H. Environmental, Social, and Governance Performance and Value Creation in Product Market: Evidence from Emerging Economies. Journal of Risk and Financial Management. 2023; 16(12):517. https://doi.org/10.3390/jrfm16120517
Chicago/Turabian StyleBashir, Yasmeen, Yiwei Zhao, Huan Qiu, Zeeshan Ahmed, and Josephine Tan-Hwang Yau. 2023. "Environmental, Social, and Governance Performance and Value Creation in Product Market: Evidence from Emerging Economies" Journal of Risk and Financial Management 16, no. 12: 517. https://doi.org/10.3390/jrfm16120517