Appendix F: Summary of sectors and year effect results of
Table F2. Interaction result between economic sustainability (ECON) and non- economic sustainability (ESG) performance on cost of equity (Beta)
Panel regression results on Betait with sector and year effect where Betait is a proxy of cost of equity appear in decimal number. Column M1 is interaction result between Envit-1 and ECONit-1 factor. Column M2 is interaction result between Socit-1 and ECONit-1 factor. Column M3 is interaction result between Govit-1 and ECONit-1 factor. Column M4 is panel regression result of interaction when all individual ESG factors are added on ECONit-1 factor. Column M5 is regression result of interaction between combined ESGit-1 factor and combined ECONit-1 factor. Sector and year effect are shown coefficient sign and significant sector and year.
Standard errors are shown below coefficient. ***, **, * indicate significance at p-value less than 1%, 5% and 10% level, respectively.
0 1 1 2 1 3 1 4 5 1 6 1 7 1 8 1 9 1 10 1 11 _ 1
it ECONit it it it it it it it it it
COC =β +β − +β X− +βZ− +β LITI+βLIQ− +β LEV− +βSIZE − +βALTMAN− +βDLOSS − +β AQ− +β ACC Total− +ε
Xit-1 Envit-1 Socit-1 Govit-1 Envit-1+ Socit-1+
Govit-1 ESGit-1
Zit-1 Econit-1 X Envit-1 Econit-1 X Socit-1 Econit-1 X Govit-1
Econit-1 X Envit-1
+ Econit-1 X Socit- 1
+Econit-1XGovit-1
Econit-1 X ESGit-1
Variable Exp. Sign (1) (2) (3) (4) (5)
ECONit-1 - -0.0423 -0.0226 -0.0679 -0.051 -0.0284
(0.0674) (0.048) (0.0569) (0.0727) (0.0688)
Envit-1 - 0.0008 0.0011
(0.0007) (0.0008)
Socit-1 - -0.0003 -0.0007
(0.0007) (0.0008)
Govit-1 - -0.0006 -0.0007
(0.0006) (0.0006)
ESGit-1 - -0.0003
(0.001)
Econit-1 X Envit-1 - -0.0002 0.0006
(0.0009) (0.0012)
Econit-1 X Socit-1 - -0.0008 -0.0013
(0.0008) (0.001)
Econit-1 X Govit-1 - 0.0001 0.0002
(0.0009) (0.001)
Econit-1 X ESGit-1 - -0.0006
(0.0011)
LITI + -0.0224 -0.034 -0.0346 -0.0441 -0.0315
(0.1054) (0.1031) (0.1036) (0.1012) (0.1045)
LIQit-1 + 0.0207*** 0.0203*** 0.0203*** 0.0206*** 0.0203***
(0.0075) (0.0075) (0.0075) (0.0076) (0.0075)
LEVit-1 + 0.7173*** 0.743*** 0.733*** 0.7472*** 0.7342***
(0.1051) (0.1046) (0.1039) (0.104) (0.105)
Sizeit-1 - 0.0004 0.0039 0.0074 0.0055 0.0048
(0.0189) (0.0192) (0.0186) (0.0192) (0.0193)
ALTMANit-1 + 0.0096 0.0081 0.0183 0.0079 0.011
(0.0677) (0.0662) (0.0663) (0.0666) (0.0673)
DLOSSit-1 - 0.0479 0.0454 0.0452 0.0437 0.0464
(0.0362) (0.0364) (0.0363) (0.0366) (0.0364)
AQit-1 + 0.3992 0.3711 0.3943 0.2854 0.4139
(0.6013) (0.603) (0.5998) (0.6081) (0.6006)
Acc_Totalit-1 + 0.9559*** 0.9805*** 0.9425*** 0.9673*** 0.9694***
(0.3059) (0.3069) (0.3071) (0.3086) (0.3065)
Cons -0.0481 -0.0986 -0.1657 -0.1237 -0.1248
(0.5851) (0.5939) (0.5739) (0.5895) (0.5896)
Obs. 805 805 805 805 805
No of firm 119 119 119 119 119
RMS Error 0.2026 0.2034 0.2031 0.2041 0.2032
Chi2 320.2136 335.5435 329.9594 351.7027 327.0742
P-Value 0.00 0.00 0.00 0.00 0.00
R2 overall 0.6188 0.6201 0.6186 0.6258 0.6179
R2 Within 0.0975 0.0937 0.0962 0.0952 0.0952
Sector Co-eff sign + + + + +
Sig. 21, 22, 35-38 9, 19, 21-23, 35-
38 21, 22, 35-38 19, 21-23, 35-38 19, 21-23, 35-38
Year Co-eff sign + + + + +
Sig. 06, 07, 09-17 09-17 06, 09-17 09-17 06, 09-17
Table F3. Interaction result between economic sustainability (ECON) and non- economic sustainability (ESG) performance on cost of equity (Gordon)
Panel regression results on Gordonit with sector and year effect where Gordonit is a proxy of cost of equity appear in decimal number. Column M1 is interaction result between Envit-1 and ECONit-1 factor. Column M2 is interaction result between Socit-1 and ECONit-1 factor. Column M3 is interaction result between Govit-1 and ECONit-1 factor. Column M4 is panel regression result of interaction when all individual ESG factors are added on ECONit-1 factor. Column M5 is regression result of interaction between combined ESGit-1 factor and combined ECONit-1 factor. Sector and year effect are shown coefficient sign and significant sector and year.
Standard errors are shown below coefficient. ***, **, * indicate significance at p-value less than 1%, 5% and 10% level, respectively.
0 1 1 2 1 3 1 4 5 1 6 1 7 1 8 1 9 1 10 1 11 1 12 _ 1
it ECONit it it it it it it it it it it
COC =β +β − +βX− +βZ− +βLITI+βLIQ− +βLEV− +βSIZE− +β ALTMAN− +βBE− +β DLOSS− +β AQ− +β ACC Total− +
Xit-1 Envit-1 Socit-1 Govit-1 Envit-1+ Socit-1+
Govit-1 ESGit-1
Zit-1 Econit-1 X Envit-1 Econit-1 X Socit-1 Econit-1 X Govit-1
Econit-1 X Envit-1
+ Econit-1 X Socit-1
+Econit-1XGovit-1
Econit-1 X ESGit- 1
Variable Exp. Sign (1) (2) (3) (4) (5)
ECONit-1 - -0.0036 0.0018 0.0052 -0.0016 -0.0014
(0.0065) (0.0046) (0.0059) (0.0071) (0.0067)
Envit-1 - -0.0001 -0.0001
(0.0001) (0.0001)
Socit-1 - 0 0
(0.0001) (0.0001)
Govit-1 - 0 0
(0.0001) (0.0001)
ESGit-1 - 0
(0.0001)
Econit-1 X Envit-1 - 0.0001 0.0002
(0.0001) (0.0001)
Econit-1 X Socit-1 - 0.0001 0
(0.0001) (0.0001)
Econit-1 X Govit-1 - 0 -0.0001
(0.0001) (0.0001) Econit-1 X ESGit-
1 - 0.0001
(0.0001)
LITI + -0.009 -0.0086 -0.0085 -0.0077 -0.0091
(0.0074) (0.0072) (0.0074) (0.0072) (0.0074)
LIQit-1 + 0.0029*** 0.0029*** 0.0029*** 0.0029*** 0.0029***
(0.0009) (0.0009) (0.0009) (0.0009) (0.0009)
LEVit-1 + 0.0226** 0.0211** 0.0215** 0.0215** 0.0219**
(0.01) (0.0099) (0.0099) (0.0099) (0.0101)
Sizeit-1 - 0.007*** 0.0059*** 0.0061*** 0.006*** 0.0066***
(0.0016) (0.0017) (0.0016) (0.0017) (0.0017)
ALTMANit-1 + 0.0096 0.0083 0.0077 0.009 0.009
(0.006) (0.0059) (0.006) (0.0059) (0.006)
BEit-1 + -0.002 -0.0017 -0.0022 -0.0016 -0.002
(0.0039) (0.0039) (0.0039) (0.0039) (0.0039)
DLOSSit-1 - 0.003 0.003 0.0028 0.003 0.003
(0.0043) (0.0043) (0.0043) (0.0043) (0.0043)
AQit-1 + -0.0194 -0.0283 -0.0314 -0.0181 -0.0279
(0.0653) (0.0651) (0.0653) (0.0657) (0.0651)
Acc_Totalit-1 + 0.1341*** 0.1381*** 0.136*** 0.1382*** 0.1347***
(0.0356) (0.0358) (0.0358) (0.036) (0.0357)
Cons -0.1639*** -0.1382*** -0.141*** -0.1364*** -0.1545***
(0.0507) (0.0527) (0.0501) (0.0526) (0.0527)
Obs. 805 805 805 805 805
No of firm 119 119 119 119 119
RMS Error 0.0243 0.0246 0.0244 0.0246 0.0244
Chi2 664.8465 663.5099 658.0182 667.8289 661.3510
P-Value 0.00 0.00 0.00 0.00 0.00
R2 overall 0.4826 0.4820 0.4805 0.4856 0.4813
R2 Within 0.4608 0.4606 0.4603 0.4584 0.4608
Sector Co-eff sign + + + + +
Sig. 14, 42 14, 42 14, 42 14, 42 14, 42
Year Co-eff sign + + + + +
Sig. 08, 11-12 08, 11-12 08, 11-12 08, 11-12 08, 11-12
Table F4. Interaction result between economic sustainability (ECON) and non- economic sustainability (ESG) performance on cost of equity (IndEP exclude extraordinary item)
Panel regression results on IndEPit exclude extraordinary items with sector and year effect where IndEPit is a proxy of cost of equity appear in decimal number. Column M1 is interaction result between Envit-1 and ECONit-1 factor. Column M2 is interaction result between Socit-1 and ECONit- 1 factor. Column M3 is interaction result between Govit-1 and ECONit-1 factor. Column M4 is panel regression result of interaction when all individual ESG factors are added on ECONit-1 factor. Column M5 is regression result of interaction between combined ESGit-1 factor and combined ECONit-1 factor. Sector and year effect are shown coefficient sign and significant sector and year.
Standard errors are shown below coefficient. ***, **, * indicate significance at p-value less than 1%, 5% and 10% level, respectively.
0 1 1 2 1 3 1 4 5 1 6 1 7 1 8 1 9 1 10 1 11 1 12 _ 1
it ECONit it it it it it it it it it it
COC β β βX βZ βLITI βLIQ βLEV βSIZE β ALTMAN βBE β DLOSS β AQ β ACC Total
− − − − − − − − − − −
= + + + + + + + + + + + + +
Xit-1 Envit-1 Socit-1 Govit-1 Envit-1+ Socit-1+
Govit-1 ESGit-1
Zit-1 Econit-1 X Envit-1 Econit-1 X Socit-1 Econit-1 X Govit-1
Econit-1 X Envit-1
+ Econit-1 X Socit-1
+Econit-1XGovit-1
Econit-1 X ESGit- 1
Variable Exp. Sign (1) (2) (3) (4) (5)
ECONit-1 - 0.0255 0.0153 0.0249 0.0315 0.025
(0.0195) (0.014) (0.0178) (0.0219) (0.02)
Envit-1 - 0.0001 0.0001
(0.0002) (0.0003)
Socit-1 - 0 0
(0.0002) (0.0002)
Govit-1 - -0.0002 -0.0002
(0.0002) (0.0002)
ESGit-1 - -0.0001
(0.0003)
Econit-1 X Envit-1 - -0.0002 -0.0002
(0.0003) (0.0004)
Econit-1 X Socit-1 - -0.0001 0.0001
(0.0003) (0.0004)
Econit-1 X Govit-1 - -0.0002 -0.0002
(0.0003) (0.0003) Econit-1 X ESGit-
1 - -0.0002
(0.0003)
LITI + -0.0238 -0.0245 -0.0262 -0.0275 -0.0261
(0.0184) (0.019) (0.0186) (0.0192) (0.019)
LIQit-1 + 0.0008 0.0009 0.0009 0.0008 0.0008
(0.003) (0.003) (0.003) (0.003) (0.003)
LEVit-1 + 0.0126 0.0146 0.0145 0.0146 0.0175
(0.0281) (0.0285) (0.0275) (0.0287) (0.0285)
Sizeit-1 - 0.0074* 0.0083* 0.0091** 0.009* 0.0088*
(0.0043) (0.0047) (0.0043) (0.0048) (0.0048)
ALTMANit-1 + 0.0188 0.0204 0.0195 0.0189 0.0195
(0.0163) (0.0163) (0.0163) (0.0165) (0.0164)
BEit-1 + 0.0064 0.0066 0.0058 0.006 0.0061
(0.0124) (0.0125) (0.0124) (0.0126) (0.0124)
DLOSSit-1 - -0.0517*** -0.0515*** -0.0512*** -0.0512*** -0.052***
(0.0148) (0.0148) (0.0147) (0.0149) (0.0148)
AQit-1 + 0.15 0.1629 0.1679 0.1541 0.1572
(0.2058) (0.2059) (0.2052) (0.2089) (0.2049)
Acc_Totalit-1 + 0.0546 0.0523 0.0528 0.0557 0.0555
(0.1225) (0.1226) (0.1229) (0.1236) (0.1225)
Cons -0.2247 -0.2494 -0.2579* -0.261* -0.2563*
(0.1408) (0.1528) (0.1392) (0.1539) (0.1504)
Obs. 805 805 805 805 805
No of firm 119 119 119 119 119
RMS Error 0.0873 0.0873 0.0872 0.0874 0.0873
Chi2 123.6589 123.1081 124.7176 124.5737 123.7863
P-Value 0.00 0.00 0.00 0.00 0.00
R2 overall 0.1415 0.1410 0.1426 0.1431 0.1417
R2 Within 0.0663 0.0657 0.0678 0.0681 0.0667
Sector Co-eff sign - - - - -
Sig. 19 19 19 19 19
Year Co-eff sign Not sig Not sig Not sig Not sig Not sig
Sig. Not sig Not sig Not sig Not sig Not sig
Table F5. Interaction result between economic sustainability (ECON) and non- economic sustainability (ESG) performance on cost of equity (IndEP include extraordinary item)
Panel regression results on IndEPit include extraordinary items with sector and year effect where IndEPit is a proxy of cost of equity appear in decimal number. Column M1 is interaction result between Envit-1 and ECONit-1 factor. Column M2 is interaction result between Socit-1 and ECONit- 1 factor. Column M3 is interaction result between Govit-1 and ECONit-1 factor. Column M4 is panel regression result of interaction when all individual ESG factors are added on ECONit-1 factor. Column M5 is regression result of interaction between combined ESGit-1 factor and combined ECONit-1 factor. Sector and year effect are shown coefficient sign and significant sector and year.
Standard errors are shown below coefficient. ***, **, * indicate significance at p-value less than 1%, 5% and 10% level, respectively.
0 1 1 2 1 3 1 4 5 1 6 1 7 1 8 1 9 1 10 1 11 1 12 _ 1
it ECONit it it it it it it it it it it
COC β β βX βZ βLITI βLIQ βLEV βSIZE β ALTMAN βBE β DLOSS β AQ β ACC Total
− − − − − − − − − − −
= + + + + + + + + + + + + +
Xit-1 Envit-1 Socit-1 Govit-1 Envit-1+ Socit-1+
Govit-1 ESGit-1
Zit-1 Econit-1 X Envit-1 Econit-1 X Socit-1 Econit-1 X Govit-1
Econit-1 X Envit-1
+ Econit-1 X Socit-1
+Econit-1XGovit-1
Econit-1 X ESGit- 1
Variable Exp. Sign (1) (2) (3) (4) (5)
ECONit-1 - 0.0258 0.0155 0.0242 0.0314 0.0251
(0.0196) (0.0141) (0.0179) (0.0219) (0.02)
Envit-1 - 0.0001 0.0001
(0.0002) (0.0003)
Socit-1 - 0 0
(0.0002) (0.0002)
Govit-1 - -0.0002 -0.0002
(0.0002) (0.0002)
ESGit-1 - -0.0001
(0.0003)
Econit-1 X Envit-1 - -0.0002 -0.0002
(0.0003) (0.0004)
Econit-1 X Socit-1 - -0.0001 0.0001
(0.0003) (0.0004)
Econit-1 X Govit-1 - -0.0002 -0.0002
(0.0003) (0.0003) Econit-1 X ESGit-
1 - -0.0002
(0.0003)
LITI + -0.0248 -0.0253 -0.0275 -0.0285 -0.027
(0.0184) (0.019) (0.0186) (0.0192) (0.019)
LIQit-1 + 0.0007 0.0008 0.0009 0.0007 0.0007
(0.003) (0.003) (0.003) (0.003) (0.003)
LEVit-1 + 0.015 0.0169 0.0173 0.0171 0.02
(0.0282) (0.0285) (0.0275) (0.0288) (0.0286)
Sizeit-1 - 0.0073* 0.0082* 0.0092** 0.0089* 0.0087*
(0.0043) (0.0047) (0.0043) (0.0049) (0.0048)
ALTMANit-1 + 0.0189 0.0204 0.0198 0.019 0.0196
(0.0163) (0.0163) (0.0163) (0.0165) (0.0164)
BEit-1 + 0.0062 0.0064 0.0057 0.0057 0.0059
(0.0124) (0.0125) (0.0124) (0.0126) (0.0124)
DLOSSit-1 - -0.0515*** -0.0513*** -0.051*** -0.0511*** -0.0519***
(0.0148) (0.0148) (0.0148) (0.0149) (0.0148)
AQit-1 + 0.1449 0.1579 0.1629 0.1464 0.153
(0.2061) (0.2062) (0.2055) (0.2092) (0.2052)
Acc_Totalit-1 + 0.0617 0.0589 0.0591 0.0615 0.0626
(0.1227) (0.1228) (0.1231) (0.1238) (0.1227)
Cons -0.2228 -0.2448 -0.2602* -0.2576* -0.2545*
(0.141) (0.153) (0.1394) (0.1541) (0.1506)
Obs. 805 805 805 805 805
No of firm 119 119 119 119 119
RMS Error 0.0874 0.0874 0.0873 0.0875 0.0874
Chi2 124.4317 123.7968 125.4811 125.3849 124.4807
P-Value 0.00 0.00 0.00 0.00 0.00
R2 overall 0.1423 0.1417 0.1433 0.1439 0.1423
R2 Within 0.0656 0.0650 0.0670 0.0674 0.0660
Sector Co-eff sign - - - - -
Sig. 19 19 19 19 19
Year Co-eff sign Not sig Not sig Not sig Not sig Not sig
Sig. Not sig Not sig Not sig Not sig Not sig
100