ROAit
|
Return on assets |
|
Refinitiv Eikon® |
Eccles et al. (2014Eccles, R. G., Ioannou, I., & Serafeim, G. (2014). The impact of corporate sustainability on organizational processes and performance. Management Science, Forthcoming, 60(1), 2835-3857. http://doi.org/10.1287/mnsc.2014.1984 http://doi.org/10.1287/mnsc.2014.1984...
), Velte (2017Velte, P. (2017). Does ESG performance have an impact on financial performance? Evidence from Germany. Journal of Global Responsibility, 8(2), 169-178. https://doi.org/10.1108/JGR-11-2016-0029 https://doi.org/10.1108/JGR-11-2016-0029...
). |
Independent variables - Environmental, Social, Governance practices (ESG) |
ESGit
|
ESG |
0 to 100: score of combined 3 indices |
Refinitiv Eikon® |
Godfrey et al. (2009Godfrey, P. C., Merrill, C. B., & Hansen, J. M. (2009). The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis. Strategic Management Journal, 30(4), 425-445. https://doi.org/10.1002/smj.750 https://doi.org/10.1002/smj.750...
), Eccles et al. (2014Eccles, R. G., Ioannou, I., & Serafeim, G. (2014). The impact of corporate sustainability on organizational processes and performance. Management Science, Forthcoming, 60(1), 2835-3857. http://doi.org/10.1287/mnsc.2014.1984 http://doi.org/10.1287/mnsc.2014.1984...
), Del Bosco and Misani (2016Del Bosco, B., & Misani, N. (2016). The effect of cross-listing on the environmental, social, and governance performance of firms. Journal of World Business, 51(6), 977-990. https://doi.org/10.1016/j.jwb.2016.08.002 https://doi.org/10.1016/j.jwb.2016.08.00...
). |
CGit
|
Corporate governance |
0 to 100: score of corporate governance practices |
Tarmuji et al. (2016Tarmuji, I., Tarmuji, N. H., & Maelah, R. (2016). The Impact of Environmental, Social and Governance Practices (ESG) on Economic Performance: Evidence from ESG Score. International Journal of Trade, Economics and Finance, 7(3), 67-74. https://doi.org/10.18178/ijtef.2016.7.3.501 https://doi.org/10.18178/ijtef.2016.7.3....
), Bassen and Kovács (2020Bassen, A., & Kovács, A. M. (2020). Environmental, social and governance key performance indicators from a capital market perspective. In T. Beschorner, A. Brink, B. Hollstein, M. C. Hübscher & O. Schumann (Eds.), Wirtschafts-und Unternehmensethik (pp. 809-820). Springer. http://doi.org/10.1007/978-3-658-16205-4_66 http://doi.org/10.1007/978-3-658-16205-4...
). |
SOit
|
Social |
0 to 100: score of social practices |
Pletsch et al. (2015Pletsch, C. S., Silva, A., & Hein, N. (2015). Responsabilidade social e desempenho econômico-financeiro das empresas listadas no Índice de Sustentabilidade Empresarial-ISE. Revista de Gestão Social e Ambiental, 9(2), 53-69. ), Shakil et al. (2019Shakil, M, H., Mahmood, N., Tasnia, M., & Munim, Z, H. (2019). Do environmental, social and governance performance affect the financial performance of banks? A cross-country study of emerging market banks. Management of Environmental Quality, 30(6), 1331-1344. https://doi.org/10.1108/MEQ-08-2018-0155 https://doi.org/10.1108/MEQ-08-2018-0155...
). |
ENit
|
Environment |
0 to 100: score of environment practices |
Tarmuji et al. (2016Tarmuji, I., Tarmuji, N. H., & Maelah, R. (2016). The Impact of Environmental, Social and Governance Practices (ESG) on Economic Performance: Evidence from ESG Score. International Journal of Trade, Economics and Finance, 7(3), 67-74. https://doi.org/10.18178/ijtef.2016.7.3.501 https://doi.org/10.18178/ijtef.2016.7.3....
), Liu et al. (2017Liu, Y. S., Zhou, X., Yang, J. H., & Hoepner, A. G. (2017). Corporate carbon emissions and financial performance: does carbon disclosure mediate the relationship in the UK? SSRN. https://doi.org/10.2139/ssrn.2941123 https://doi.org/10.2139/ssrn.2941123...
), Buallay (2019Buallay, A. (2019). Is sustainability reporting (ESG) associated with performance? Evidence from the European banking sector. Management of Environmental Quality, 30(1), 98-115. https://doi.org/10.1108/MEQ-12-2017-0149 https://doi.org/10.1108/MEQ-12-2017-0149...
). |
Control variables |
MTBit
|
Market-to-book |
|
Refinitiv Eikon® |
Peiris and Evans (2010Peiris, D., & Evans, J. (2010). The Relationship Between Environmental Social Governance Factors and U.S. Stock Performance. The Journal of Investing Fall, 19(3), 104-112. https://doi.org/10.3905/joi.2010.19.3.104 https://doi.org/10.3905/joi.2010.19.3.10...
). |
LEVit
|
Financial leverage ratio |
|
Velte (2017Velte, P. (2017). Does ESG performance have an impact on financial performance? Evidence from Germany. Journal of Global Responsibility, 8(2), 169-178. https://doi.org/10.1108/JGR-11-2016-0029 https://doi.org/10.1108/JGR-11-2016-0029...
). |
SIZEit
|
Company size |
Total assets logarithm |
Eccles et al. (2014Eccles, R. G., Ioannou, I., & Serafeim, G. (2014). The impact of corporate sustainability on organizational processes and performance. Management Science, Forthcoming, 60(1), 2835-3857. http://doi.org/10.1287/mnsc.2014.1984 http://doi.org/10.1287/mnsc.2014.1984...
). |
RTit
|
Normal stock return |
|
Malta and Camargos (2016Malta, T. L., & Camargos, M. A. de. (2016). Variáveis da análise fundamentalista e dinâmica e o retorno acionário de empresas brasileiras entre 2007 e 2014. REGE - Revista de Gestão, 23(1), 52-62. https://doi.org/10.1016/j.rege.2015.09.001 https://doi.org/10.1016/j.rege.2015.09.0...
). |
Moderator variable - Economic freedom |
EFIit
|
Economic Freedom Index |
0 to 100: where 0 is less liberal and 100 more liberal |
The Heritage Foundation |
Sambharya and Rasheed (2015Sambharya, R. B., & Rasheed, A. A. (2015). Does economic freedom in host countries lead to increased foreign direct investment? Competitiveness Review, Fribourg, 25(1), 2-24. https://doi.org/10.1108/CR-05-2013-0047 https://doi.org/10.1108/CR-05-2013-0047...
). |