ESG as risk factor

Dob ick, Ju is; Klein, Ch is ian; Zwe gel, Be nha d
A icle — Published Ve sion
ESG as isk ac o
Jou nal o Asse Managemen
P o ided in Coope a ion wi h:
Sp inge Na u e
Sugges ed Ci a ion: Dob ick, Ju is; Klein, Ch is ian; Zwe gel, Be nha d (2025) : ESG as isk ac o ,
Jou nal o Asse Managemen , ISSN 1479-179X, Palg a e Macmillan, London, Vol. 26, Iss. 1, pp.
44-70,
h ps://doi.o g/10.1057/s41260-024-00382-z
This Ve sion is a ailable a :
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Jou nal o Asse Managemen (2025) 26:44–70
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S.I.: RISKS RELATED TOENVIRONMENTAL, SOCIAL ANDGOVERNMENTAL ISSUES
(ESG)
ESG as isk ac o
Ju isDob ick1 · Ch is ianKlein1· Be nha dZwe gel1
Re ised: 14 May 2024 / Accep ed: 30 Oc obe 2024 / Published online: 15 Janua y 2025
© The Au ho (s) 2024
Abs ac
The e a e nume ous isk ac o s in asse p icing models ha ha e been iden i ied o e he yea s. In his pape , we add ess he
ques ion o whe he ac o s cons uc ed using ESG (En i onmen al, Social, Go e nance) sco es could po en ially mee he
necessa y equi emen s o isk ac o s in mul i ac o models. While nume ous s udies indica e ha he ESG pe o mance
o i ms could be inancially ma e ial, he in eg a ion o ESG ac o s has so a no been ully e alua ed. We pay pa icula
a en ion o he p oblem o di e gen sco es ac oss di e en a ing p o ide s and in es iga e whe he he eg ession esul s
o 4- and 5- ac o models con e ge. The e alua ion is ca ied ou wi h Fama–F ench and Ca ha models, ex ended by an
addi ional ac o ep esen ing ESG, espec i ely. We ind ha he e a e ESG ac o s ac oss all in es iga ed a ing p o ide s
ha cap u e common- a ia ion in s ock e u ns o e ime, indica ing ha ESG should be conside ed in common asse p ic-
ing models.
Keywo ds ESG· Po olio managemen · Risk ac o s· ESG in eg a ion
In oduc ion
The inancial pe o mance o in es men s mee ing ce ain
ESG (En i onmen al, Social, Go e nance) c i e ia in com-
pa ison wi h such ha do no has been in es iga ed in mul i-
ple con ibu ions (e.g., De wall e al. 2005; Humph ey e al.
2012). Al hough he indings seem o di e , F iede e al.
(2015), Wallis and Klein (2015) as well as mo e ecen ly,
A z e al. (2020) demons a e ha he bulk o esea ch in
ha ield indica es an a leas nonnega i e ela ion be ween
he conside a ion o ESG c i e ia and inancial pe o mance.
De ia ions om his obse a ion a e mainly explained by
h ee di e en app oaches: he e o -in-expec a ions hypo h-
esis, he shunned-s ock hypo hesis and he en i onmen al-
isk hypo hesis.
The e o -in-expec a ions hypo hesis is used o explain
a possible ou pe o mance o ESG in es men s compa ed
o con en ional in es men s. I sugges s ha ESG in es -
men s can deli e abno mal e u ns, because posi i e ESG
in o ma ion, in con as o nega i e ESG in o ma ion, is no
ully o ambiguously p iced by in es o s when i becomes
public (e.g., De wall e al. 2011; Capelle-Blanca d & Pe i
2019; K üge 2015).
The shunned-s ock hypo hesis s a es ha non- inancial
in es o p e e ences lead i ms wi h weake ESG pe o -
mances o ea n abno mal e u ns (Hong & Kacpe czyk
2009). Based on he wo k o Me on (1987) on segmen ed
ma ke s, i a gues ha he shunning o s ocks/ i ms wi h
weak ESG pe o mances by no m-o ien ed in es o s leads o
a sys ema ic unde alua ion and hus o highe isk-adjus ed
e u ns. Addi ionally, limi ed isk sha ing among non-no m-
o ien ed in es o s causes idiosync a ic isk and no jus be a
p icing o ma e (Hong & Kacpe czyk 2009).
Finally, he en i onmen al- isk hypo hesis ega ds i ms’
ESG pe o mance as sys ema ic isk o which in es o s
demand compensa ion. The lowe he ESG pe o mance he
highe he ESG isk o a i m (i.e., epu a ional o egula o y
isk) and he highe he (expec ed) e u n. The non-consid-
e a ion o ESG as sys ema ic isk in s anda d asse -p icing
models could he e o e alsely lead o he indica ion o an
* Ju is Dob ick
[email p o ec ed]
Ch is ian Klein
[email p o ec ed]
Be nha d Zwe gel
b.zwe [email p o ec ed]
1 Uni e si y o Kassel, Kassel, Ge many
45ESG as isk ac o
ou pe o mance o low-ESG s ocks compa ed wi h high
ESG-s ocks. While some s udies p o ide ini ial e idence
ha an ESG isk ac o is able o explain e u ns on ESG
in es men s, he e has no ye been a s udy ha sys ema i-
cally looks a he explana o y powe o ESG isk ac o s.
This s udy add esses he la e o he unde lying heo-
ies and asks whe he he e a e isk ac o s ela ed o ESG
ha should be inco po a ed in o common asse -p icing
models. Ini ially, we in es iga e his o he global ma ke .
In a obus ness sec ion, we check o such ac o s in o he
ma ke s (i.e., No h Ame ica and Eu ope). ESG- ela ed isk
ac o s a e ep esen ed by classic ze o-in es men po olios
which migh explain a ia ion o e ime in s ocks ha a e
conside ed unsus ainable (i.e., hey ha e low ESG a ings)
as well as such wi h high ESG a ings, which we e e o as
sus ainable he e.
By implemen ing he abo e, we add o he nume ous isk
ac o s ha ha e been iden i ied o e he pas decades which
seem o help explain he c oss sec ion o expec ed e u ns
(e.g., Ha ey e al. 2016; Coch ane 2011), al hough he way
hey a e linked o economic undamen als emains o he
mos pa unclea .
Agains his backg ound we wan o ake up he objec ions
made in connec ion wi h he “zoo o ac o s” (Coch ane
2011) wi h pa icula ocus on oo low signi icance le els
leading o alse posi i es (Ha ey e al. 2016). Fu he mo e,
we conside he equi emen s o obus ac o s by Beck
e al. (2016), namely he g ounding in a long and deep aca-
demic li e a u e and he obus ness ac oss de ini ions. We
add ess he obus ness ac oss de ini ions c i e ia by using
ESG a ings o h ee di e en p o ide s. We do so due o
he indings o , e.g., Do lei ne e al. (2015), Cha e ji e al.
(2016) and Be g e al. (2022) ha ESG a ings di e . By
cons uc ing ac o s buil upon h ee di e en a e s, we hope
o show ha despi e o he di e gence be ween ESG a e s,
i is possible o cons uc isk ac o s on he basis o each o
hem, which explain common a ia ion in e u ns o unsus-
ainable and sus ainable asse s. I so, such ac o s could be
used, e.g., in po olio managemen o s ee  he isk wi h
espec o ESG.
I is wo h no ing ha he i s equi emen o isk ac o s
made by Beck e al. (2016)— he g ounding in a long and
deep academic li e a u e—is qui e ha d o accoun o in
he con ex o ESG, since ESG conside a ions and he dis-
semina ion o a ing da a ha e unlike economic undamen al
da a been ini ia ed as la e as oughly wo decades ago. F om
a heo e ical s andpoin , we a gue ha he e is a su icien
amoun o heo y ha sugges s he exis ence o isk ac o s
ela ed o ESG. In ac , qui e ecen ly, Pás o e al. (2021)
poin ou in an equilib ium model ha om a pe spec i e
o isk, ESG s ocks should yield lowe e u ns in equilib-
ium due o hei esilience o ESG- ela ed shocks such as
unexpec ed changes o clima e change ela ed egula ion.
This iew is suppo ed by Co nell (2020). In e es ingly, i
is a gued ha du ing ansi ion pe iods when in es o p e -
e ences a e changing o when clima e- ela ed conce ns
inc ease, highe e u ns can be expec ed o sus ainable
asse s since p ices a e d i en upwa d (Pás o e al. 2021).
Gi en hese a gumen s, ac o p emiums ela ed o ESG
could end in ei he di ec ion depending on how o e all
demand is shi ing in a o o sus ainable asse s du ing a
gi en imespan, he e o e making i ha d o de i e a uni e -
sally alid conclusion ela ed o he di ec ion o such a ac o
p emium unde he assump ion o a ional p icing. Pás o
e al. (2021) ecognize his ac and s ess he di icul y o
disen angling posi i e alphas owed o shi s in in es o s’
as es om alphas ha a e in ac due o some unde lying
isk componen .
Consequen ly, any indings in his pape a e mo e o a
snapsho o how ma ke s ha e alued ESG du ing a gi en
imespan han hey a e p edic i e o he di ec ion u u e al-
ua ions will ake. To his end, one migh aise he ques ion
as o whe he a ac o which may no be p iced is use ul a
all. Pás o e al. (2022) show ha changing conce ns ela ed
o clima e change explain he bad pe o mance o alue
s ocks in he pos -2010s, leading o a nega i e p emium o
he HML ac o o Fama and F ench (1993). As his ac o
was o iginally de eloped in a way such ha i s p emium is
posi i e, i.e., alue s ocks a e expec ed o ou pe o m g ow h
s ocks, i is possible ha his p emium e e ses. Hence, we
a gue ha o a gi en imespan, which is ela i ely sho , a
ac o p emium can a e age ou o ze o o can shi i s di ec-
ion, which is why we see he exis ence o a ac o p emium
in he con ex o ESG as seconda y.
To sum up, his pape joins he anks o esea ch ela ed
o he ques ion o whe he he e a e isk ac o s ela ed o
ESG ha cap u e common a ia ion in s ock e u ns o e
ime and which a e consis en ac oss de ini ions (i.e., ac oss
di e en a ing p o ide s). Ini ially, his is done o a global
po olio. In a obus ness sec ion, we ex end he analysis
o u he ma ke s o demons a e ac o obus ness ac oss
di e en ma ke s.
Simila esea ch in ha ield was conduc ed by Lioui
(2018) who inds ha  he a e age e u n o a ac o which
is long in s ocks wi h low ESG s eng hs and sho in such
wi h high ESG conce ns is signi ican ly di e en om ze o.
Polla d and She wood (2018) show ha ESG p emia p o-
ide excess e u ns, Oes eich and Tsiakas (2015) along wi h
Gö gen e al. (2020) show ha ac o s ela ed o ca bon isk
explain common a ia ion in s ock e u ns o e ime. In a
simila ein, Hsu e al. (2023) p opose a isk ac o ha
con ols o en i onmen al poli ical unce ain y. Cici e i
e al. (2017) ind u he e idence o he exis ence o an
ESG p emium, Jin (2018) unde sco es hese indings o
he US ma ke and Hübel and Scholz (2018) ind inc eased
46 J.Dob ick e al.
explana o y powe o models ex ended by an addi ional ac-
o p oxy o ESG.
Wi h ou s udy, we con ibu e u he impo an insigh s
wi h espec o he ele ance o such ac o s o common
asse -p icing models. I he e a e sys ema ic isk compo-
nen s ela ed o ESG, we expec he p oduced loadings o
en decile po olios buil upon ESG da a wi h ascending
sco es ac oss deciles on ou UMS (unsus ainable minus sus-
ainable) isk ac o in ime-se ies eg essions o be posi i e
(nega i e) o he lowes (highes ) sco es. Fo deciles ha
a e somewhe e in he middle be ween he lowes and highes
deciles, we expec ac o loadings on UMS ha a e a he
insigni ican since hose deciles should be nei he s ongly
in luenced by nega i e shocks ela ed o ESG isks no
should hey be en i ely una ec ed. Acco ding o ou knowl-
edge, we a e he i s o conside ESG da a by h ee di e en
a ing p o ide s, di e en ma ke s as well as se e al dimen-
sions o ESG and he e o e close an impo an esea ch gap
ela ed o ESG and ac o obus ness in he sense o Beck
e al. (2016).
We ind ha ou ac o s cap u e common- a ia ion in
s ock e u ns o e ime and enhance he explana o y powe
o common asse p icing models. This applies o ac o s buil
wi h a ing da a o h ee di e en p o ide s, ac oss all geog-
aphies as well as ac oss all ESG dimensions. Consequen ly,
we a gue ha ESG- ela ed ac o s should be inco po a ed
in o common asse p icing models o manage he isk ela ed
o ESG.
The emainde o his pape p oceeds as ollows. Sec ion
"Da a and me hods" comp ises he implemen a ions ega d-
ing da a and me hods. Sec ion "Resul s" p o ides desc ip i e
s a is ics and he esul s o ou eg essionanalyses. Sec ion
"Robus ness checks" p o ides obus ness eg ession esul s
o addi ional ma ke s. Sec ion "Conclusion" concludes.
Da a andme hods
Da a collec ion andp epa a ion
Fo ou ESG isk ac o in he ime-se ies eg ession, we
depend on i m-speci ic ESG a ings. We ob ain a ings om
ASSET4, LSE Re ini i (hence o h Re ini i ) and Moody’s
Vigeo Ei is (hence o h Vigeo Ei is).
ASSET4 uses publicly a ailable and aceable sou ces
such as websi es, SEC ilings, sus ainabili y epo s, media
sou ces, and NGO epo s o de i e mo e han 700 non-
inancial i m-le el da a poin s. E e y da a poin is he i m-
speci ic exp ession o a single ESG- ela ed cha ac e is ic.
These da a poin s a e agg ega ed in se e al s ages in o 18
ca ego ies ha co e gene al ESG hemes wi hin he E, S,
and G pilla s. ASSET4 gene a es a a ing o each ca ego y.
A a ing anges om 0 o 100 poin s, whe e 100 indica es a
e y s ong ESG pe o mance ela i e o o he i ms in he
i m uni e se. Mo eo e , o ob ain a i m’s o e all ESG pe -
o mance, we calcula e a ings as equally weigh ed agg ega-
ion o he E, S, and G pilla s (hence o h EWR).
Re ini i p o ides da a on companies’ sec o speci ic ESG
pe o mance based on epo ed da a. Al oge he , ESG pe -
o mance is measu ed in 10 di e en main hemes pe aining
o dis inc pilla s o ESG, whe e—jus as o ASSET4—
sco es ange om 0 o 100 poin s wi h inc easing ESG pe -
o mance. The i s ESG a ings by Re ini i and ASSET4
can be ob ained om 2002.
Vigeo Ei is ESG a ings measu e he deg ee o which
i ms ake in o accoun and manage ma e ial ESG ac o s.
Fi ms wi h highe ESG a ings a e be e a managing ela-
ionships wi h hei s akeholde s on a scale om 0 o 100.
To gene a e a ings, Vigeo Ei is analyzes and sco es up o
38 dis inc ESG c i e ia ha a e amed wi hin 40 indus y
speci ic models. In each indus y amewo k, he 38 gene ic
ESG c i e ia a e assigned a weigh ha e lec s he sec o
speci ic ma e iali y o he analyzed c i e ion. Each c i e ion
has a de ined se o so-called P inciples o Ac ion. These
de e mine he ac i e con en o he analysis and a icula e
he ac ions ha Vigeo Ei is would expec a high-pe o ming
i m o unde ake in his dimension. These p inciples a e
de i ed om uni e sally ecognized no ms and s anda ds
emana ing om o ganiza ions such as he Uni ed Na ions,
he In e na ional Labou O ganiza ion, and he O ganisa ion
o Economic Coope a ion and De elopmen . Wi hin he a -
ing p ocess, quali a i e and quan i a i e da a, managemen
and pe o mance da a as well as sel - epo ed and hi d-pa y
da a a e used. Vigeo Ei is o e s ESG a ings o he E, S and
G pilla as well as a gene al ESG assessmen o an in e -
na ional sample o i ms o a ime se ies s a ing in 2003.
While hese h ee a ing p o ide s calcula e ESG a ings
o he same ESG dimensions, i.e., he E, S, and G pilla s
as well as an agg ega ed ESG assessmen , hey di e in
i m co e age. To ensu e ha po en ial de ia ions in ac-
o loadings o he ESG isk ac o o he espec i e a ing
p o ide do no a ise due o di e en i m co e ages bu a e
a ibu able o he di e ences in a ing me hodologies, we
un he eg essions o each ESG a ing p o ide based on
he same se o i ms. A e cons aining ou i m sample o
hose i ms ha a e con ained in each ini ial se o he h ee
agencies’ i m uni e ses, we pai ESG da a wi h inancial
da a om Re ini i such ha we end up wi h a uni e se o
oughly 4500 companies.
Since Re ini i ESG a ings measu e a company’s ESG
pe o mance ela i e o i s indus y, we ecalcula e he
sco es ollowing he me hodology o Dyck e al. (2019) o
inally ob ain a ings da a ela i e o ou en i e ma ched
equi y uni e se. Fu he mo e, o adjus o gaps in he
ime-se ies o Vigeo Ei is ESG a ings, we pe pe ua e
each sco e o wo yea s in he u u e i he e a e no sco es
47ESG as isk ac o
a ailable. This adjus men and he way i is se ou is cho-
sen o p e en ou sample om becoming oo small and o
hus a oid inconclusi e esul s due o idiosync a ic cha -
ac e is ics in ou po olios. To unde pin his app oach,
we assume ha a company’s ESG sco e will no change
oo d as ically om one yea o ano he especially wi h-
ou he conside a ion o ESG con o e sies. Wi h espec
o ASSET4 ESG a ings, no u he co ec ions a e made.
The ea e , ES (En i onmen al and Social) as well as
ESG (En i onmen al, Social, Go e nance) sco es a e cal-
cula ed by aking he a i hme ic mean o he espec i e
pilla s such ha we inally ob ain i e ESG indica o s
(En i onmen al, Social, Go e nance, ES and ESG) o
measu e a company’s ESG pe o mance.
We ob ain inancial da a om Re ini i . To calcula e
e u ns, we ake he o al e u n p ices o each company
o accoun o cou se mo emen s due o di idend payou s
and s ock spli s. Following Ince and Po e (2006), u he
adjus men s a e made ei he o he e u ns hemsel es o
o he unde lying o al e u n p ices o ensu e high simi-
la i y o CRSP (Cen e o Resea ch in Secu i y P ices)
e u n da a. The e o e, we exclude all penny s ocks
(s ocks wi h a p ice equal o o below 1$) o p eclude
e oneous e u n da a due o ounding issues. Fu he -
mo e, we co ec o e u ns abo e 300% which e e se
wi hin one mon h and dismiss hose e u ns which a e
equal o 0 o mo e han wo mon hs in a ow. Finally, we
emo e hose e u ns which a e no a ailable h oughou
e e y mon h s a ing in July o e e y yea o June o +1
o p e en ou po olio e u ns om a i icial ola ili y
due o missing da a.
We d ag ma ke alue da a o e e y company con-
ained in ou ma ched uni e se a he end o June o e e y
yea . This poin in ime is chosen in acco dance wi h
Fama and F ench’s (1993) me hodology o accoun o
he ac ha he equi ed accoun ing da a o cons uc
hei alue ac o mus be a ailable a he ime when he
eg essions a e conduc ed. Since da a on companies’
ma ke alue a e a ailable h oughou he en i e yea , we
ob ain ou espec i e da a a he closes poin in ime wi h
espec o ou eg essions.
The SMB (small minus big), HML (High minus
low) and WML (winne s minus lose s) ac o s o he
Fama–F ench h ee- and he Ca ha ou - ac o models
a e d awn om Kenne h F ench’s da a lib a y. We use he
Fama–F ench de eloped ac o s o he eg essions o ou
eg essions wi h global po olios. Fo he isk- ee a es,
we use one-mon h U.S. T easu y bills since his s udy is
om he pe spec i e o an U.S. in es o .
To ensu e b oad po olio di e si ica ion o he
dependen as well as he independen e u ns ou ime-
se ies o ou eg ession o he global ma ke s a s
in July 2007 and ends in June 2020. Acco dingly, ou
ime-se ies inally comp ises 156 obse a ions o mon hly
e u ns.
Va iable cons uc ion
To cons uc ou isk ac o p oxy ela ed o ESG, we ollow
he me hodologies o Fama and F ench (1993) and Gö gen
e al. (2020) and build alue-weigh ed UMS (unsus ainable
minus sus ainable) po olios which a e long in unsus aina-
ble and sho in sus ainable asse s. We go long unsus ainable
s ocks since hose s ocks’ expec ed e u ns should be la ge
han hose o he sus ainable pa (see, e.g., Pás o e al.
(2021)) and we wan o choose a se ing in which posi i e
ac o p emiums can a leas be expec ed. To adjus o he
e idence ha i ms wi h high ma ke capi aliza ions end o
ha e highe ESG a ings (see, o example, D empe ic e al.
(2020), Humph ey e al. (2012) o B amme e al. (2006)),
we ake he ma ke alue o e e y i m in June o e e y yea
and spli he da a a i s median in o a small i m sample
(S) and one big i m sample (B). We hen sepa a ely so
he same s ocks acco ding o hei pa icula ESG sco e o
e e y yea -2 and cons uc one unsus ainable (L) and one
sus ainable (H) subse o s ocks o e e y yea by aking
he 30 h and 70 h pe cen ile as h esholds, espec i ely. Like
in Fama and F ench (1993), hese h esholds ha e no deepe
economic in ui ion and a e chosen a bi a ily.
The ea e , we ma ch he esul ing po olios wi h hose
om he size spli s. The lag in he ESG da a o wo yea s
is used o he same eason as o which Fama and F ench
(1993) lag hei da a wi h espec o hei alue ac o , i.e.,
since a ing p o ide s need ime o p o ide ESG a ings o
a gi en yea , a lag is in oduced o ensu e he a ailabili y o
he a ings a he ime o po olio cons uc ion. He e, we
ake a conse a i e app oach and assume ha i akes mo e
han six mon hs un il ESG a ings o a gi en yea a e made
public. As obus ness check, we also cons uc ac o s wi h
ESG da a o -1. Finally, we build ou UMS po olio as he
di e ence o he a i hme ic means o S/L, B/L and S/H, B/H
and calcula e mon hly e u ns o July o yea un il June
o +1 a e which he po olios a e e o med. This is done
o e e y a ing p o ide as well as o each ESG dimension
leading o 5 x 3 di e en ac o cons uc ions.
Consis en wi h Fama and F ench (1993), ou p ox-
ies o he ma ke po olios a e alue-weigh ed po o-
lios which comp ise all s ocks ha a e con ained in ou
ma ched uni e se wi h espec o he ele an ma ke .
The ea e , we calcula e mon hly excess e u ns by sub-
ac ing he espec i e p oxy o ou isk- ee a e om
ou calcula ed ma ke e u n.
Ou dependen e u ns in he ime-se ies eg essions a e
excess e u ns o en decile po olios cons uc ed wi h ascend-
ing ESG sco es, whe eby he i s decile con ains hose s ocks
whose sco es all below he 10 h pe cen ile and so o h. The

48 J.Dob ick e al.
decile po olios a e ecalcula ed—jus as i applies o he UMS
po olio alloca ions—by he end o June o e e y yea . Finally,
we calcula e mon hly excess e u ns by sub ac ing ou mon hly
da a o ou espec i e isk- ee a e p oxy om e e y mon hly
e u n obse a ion o each decile po olio. The nex sec ion ini-
ially p esen s ou desc ip i e s a is ics ela ed o ou cons uc ed
a iables, whe ea e we p esen ou esul s o he ime-se ies
eg essions.
Resul s
Desc ip i e s a is ics
Desc ip i e s a is ics and ac o co ela ions a e p esen ed in
Tables1 and 2 and p esen an o e iew o he a iables used
in ou asse -p icing es s. The subsequen pa o his sec ion
analyzes he magni udes and signi icances o he a iables
o ou in es iga ed ma ke .
Ou gene a ed ac o p emiums do all no signi ican ly
di e om ze o, excep o he p emium gene a ed by he
HML ac o . All o he independen a iable ac o p emi-
ums a e insigni ican . In e es ingly, he ac o p emiums
o he Go e nance ac o p emium a e nega i e in absolu e
magni ude ac oss all h ee a ings p o ide s, whe eby all
o he p emiums a e posi i e wi h a ew excep ions. While
he p emiums gene a ed wi h ASSET4 and Re ini i ESG
da a a e abou he same magni ude o s anda dized uni s
away om a dis ibu ion wi h a mean o ze o, p emiums
gene a ed wi h Vigeo Ei is a ing da a a e smalle in mag-
ni ude adjus ed o s anda d de ia ions.
Al hough he ob ained co ela ions depic ed in Table2
seem high in absolu e magni ude and a e highly signi i-
can on some occasions, we in e his ci cums ance o be
negligible o wo easons.
Fi s , he s anda d Fama–F ench o Ca ha ac o s,
espec i ely, a e also highly co ela ed in e ms o Pea -
son’s , second, because he co ela ions a e all below 0.7,
he c i ical alue when i comes o de ec ing mul icollin-
ea i y in eg ession models. Fo ou sample pe iod we con-
clude ha ou gene a ed ac o p emiums a e o e all a he
Table 1 Summa y s a is ics:
wo ld
This able shows means, s and-
a d de ia ions and signi icance
le els o he independen a i-
ables in he ime-se ies eg es-
sions o he global ma ke
*, ** and *** deno e signi i-
cance le els o independen
- es s on he 10%, 5% and 1%
le els, espec i ely
Mean SD
Ma ke − 0.002 0.052
SMB − 0.001 0.015
HML − 0.004** 0.020
WML 0.003 0.037
ASSET4
UMSENV 0.002 0.013
UMSGOV − 0.003 0.024
UMSSOC 0.002 0.014
UMSES 0.002 0.014
UMSESG 0.001 0.017
Re ini i
UMSENV 0.001 0.014
UMSGOV − 0.002 0.021
UMSSOC 0.001 0.014
UMSES 0.002 0.014
UMSESG 0.001 0.015
Vigeo Ei is
UMSENV 0.002 0.023
UMSGOV − 0.0005 0.025
UMSSOC 0.002 0.023
UMSES 0.001 0.022
UMSESG − 0.0003 0.021
Table 2 Co ela ions
This able shows Pea son co ela ions o he independen a iables in
he ime-se ies eg essions o he global ma ke
*, ** and *** deno e signi icance le els on he 10%, 5% and 1% le -
els, espec i ely
Ma ke SMB HML WML
Ma ke 1.000*** 0.191** 0.186** − 0.420***
SMB 0.191** 1.000*** − 0.032 − 0.059
HML 0.186** − 0.032 1.000*** − 0.436***
WML − 0.420*** − 0.059 − 0.436*** 1.000***
ASSET4
UMSENV − 0.068 0.180** − 0.459*** 0.177**
UMSGOV − 0.532*** − 0.017 − 0.237*** 0.371***
UMSSOC − 0.164** 0.225*** − 0.590*** 0.373***
UMSES − 0.156* 0.195** − 0.548*** 0.329***
UMSESG − 0.464*** 0.088 − 0.558*** 0.477***
Re ini i
UMSENV − 0.020 0.226*** − 0.429*** 0.071
UMSGOV − 0.548*** − 0.040 − 0.276*** 0.393***
UMSSOC − 0.361*** 0.118 − 0.453*** 0.479***
UMSES − 0.168** 0.240*** − 0.499*** 0.200***
UMSESG − 0.387*** 0.142* − 0.541*** 0.467***
Vigeo Ei is
UMSENV 0.261*** 0.266*** − 0.261*** − 0.095
UMSGOV − 0.302*** − 0.033 − 0.212*** 0.270***
UMSSOC 0.016 0.232*** − 0.405*** 0.045
UMSES 0.190** 0.270*** − 0.305*** − 0.072
UMSESG 0.030 0.215*** − 0.328*** − 0.045
49ESG as isk ac o
Table 3 ASSET4 wo ld: Ca ha + UMS
Decile
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)
En i onmen al
Ma ke 0.995*** 1.049*** 1.029*** 1.031*** 1.038*** 1.054*** 1.005*** 0.961*** 1.029*** 0.978***
(0.029) (0.013) (0.022) (0.021) (0.020) (0.021) (0.019) (0.031) (0.026) (0.023)
SMB − 0.005 0.138*** 0.047 0.180*** 0.168*** 0.095 0.008 − 0.014 − 0.126*** − 0.251***
(0.062) (0.048) (0.072) (0.064) (0.062) (0.060) (0.051) (0.047) (0.042) (0.031)
HML − 0.021 − 0.003 − 0.025 − 0.043 0.013 0.006 0.078* 0.184*** − 0.055 0.106**
(0.055) (0.051) (0.043) (0.063) (0.041) (0.059) (0.045) (0.051) (0.038) (0.049)
WML − 0.003 − 0.028 − 0.071 − 0.050 0.019 − 0.076*** − 0.037 0.089*** 0.005 0.042***
(0.033) (0.020) (0.046) (0.033) (0.022) (0.023) (0.023) (0.031) (0.019) (0.013)
UMS 0.492*** 0.565*** 0.546*** 0.113 0.240*** 0.242*** 0.171*** − 0.113 − 0.258*** − 0.307***
(0.082) (0.081) (0.071) (0.074) (0.056) (0.085) (0.065) (0.073) (0.049) (0.048)
Cons an 0.001 0.0005 − 0.001 0.002* − 0.0002 − 0.001* − 0.001 − 0.001 − 0.001 0.0002
(0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001)
Obse a-
ions
292 286 289 288 289 289 288 289 289 288
Adjus ed R20.958*** 0.966*** 0.954*** 0.964 0.972*** 0.968*** 0.977*** 0.972** 0.977*** 0.979***
Go e nance
Ma ke 0.938*** 0.970*** 1.012*** 1.106*** 1.156*** 1.100*** 1.045*** 0.977*** 0.977*** 0.900***
(0.027) (0.023) (0.032) (0.021) (0.029) (0.018) (0.043) (0.018) (0.019) (0.031)
SMB 0.316*** 0.232*** 0.094* 0.081 0.005 − 0.071 − 0.011 − 0.105 − 0.129*** − 0.218***
(0.084) (0.051) (0.052) (0.063) (0.057) (0.066) (0.061) (0.066) (0.046) (0.056)
HML − 0.125** 0.017 0.112*** 0.001 − 0.014 0.058* 0.066 0.167*** − 0.014 0.056
(0.054) (0.035) (0.038) (0.042) (0.058) (0.035) (0.078) (0.038) (0.062) (0.047)
WML − 0.041 − 0.040* − 0.010 − 0.030 0.018 0.052*** − 0.029 − 0.018 0.008 0.082***
(0.037) (0.021) (0.021) (0.024) (0.041) (0.020) (0.032) (0.049) (0.016) (0.024)
UMS 0.531*** 0.540*** 0.386*** 0.229*** 0.142*** − 0.032 − 0.155** − 0.211*** − 0.234*** − 0.282***
(0.082) (0.042) (0.061) (0.065) (0.052) (0.047) (0.065) (0.046) (0.031) (0.032)
Cons an − 0.001 − 0.0004 − 0.0002 − 0.0004 0.001 − 0.0002 − 0.001 − 0.001 − 0.001 0.00004
(0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001)
Obse a-
ions
289 289 289 289 289 288 289 289 288 289
Adjus ed R20.921*** 0.965*** 0.956*** 0.963*** 0.969*** 0.974 0.970*** 0.969*** 0.979*** 0.969***
Social
Ma ke 0.986*** 0.972*** 1.097*** 1.071*** 1.090*** 1.019*** 1.021*** 0.954*** 0.995*** 0.972***
(0.025) (0.016) (0.021) (0.025) (0.036) (0.022) (0.031) (0.014) (0.023) (0.022)
SMB 0.234*** 0.095** 0.177*** 0.113* − 0.018 0.121** 0.018 − 0.039 − 0.153*** − 0.238***
(0.063) (0.045) (0.059) (0.065) (0.072) (0.061) (0.062) (0.041) (0.056) (0.047)
HML − 0.074 − 0.037 − 0.105 0.009 − 0.132 0.088 0.230*** 0.072 0.086** 0.040
(0.054) (0.052) (0.088) (0.072) (0.098) (0.063) (0.079) (0.051) (0.040) (0.063)
WML − 0.009 − 0.034 − 0.030 − 0.002 − 0.039 − 0.048 0.048 0.008 0.016 0.041**
(0.032) (0.027) (0.032) (0.025) (0.026) (0.034) (0.043) (0.020) (0.025) (0.018)
UMS 0.360*** 0.403*** 0.301*** 0.296*** 0.275*** 0.216*** 0.202*** − 0.070 − 0.100 − 0.448***
(0.134) (0.102) (0.113) (0.105) (0.094) (0.081) (0.069) (0.055) (0.065) (0.067)
Cons an 0.0004 0.001* 0.001 0.001 − 0.0003 0.001 − 0.0001 0.0001 − 0.002*** − 0.0002
(0.001) (0.0005) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001)
Obse a-
ions
289 289 288 289 289 288 289 289 289 289
Adjus ed R20.952*** 0.967*** 0.966*** 0.961*** 0.952*** 0.965*** 0.969*** 0.976 0.978* 0.976***
50 J.Dob ick e al.
no p iced, which in ou opinion is howe e no o g ea
conce n, since he “s anda d” ac o s ha e hemsel es been
no p iced on a e age o he same ime pe iod.
Common a ia ion o e  ime
In his sec ion, we desc ibe he esul s ob ained om ou
ime-se ies eg essions wi h espec o whe he he con-
s uc ed isk ac o s ela ed o ESG cap u e common
a ia ion in e u ns o e ime o he global ma ke . The
in e p e a ion o he esul s e e s o hose eg essions
conduc ed wi h UMS ac o s buil upon ESG da a o -2.
Reg essions conduc ed wi h ESG ac o cons uc ion based
on da a o -1 o obus ness easons howe e lead o esul s
cong uen wi h ou p io indings.1 The ime-se ies eg es-
sion ou pu s can be ound in Tables3, 4 and 5, and ou
Table 3 (con inued)
Decile
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)
ES
Ma ke 0.988*** 1.041*** 1.022*** 1.085*** 1.041*** 1.035*** 1.065*** 0.998*** 0.946*** 0.989***
(0.030) (0.025) (0.016) (0.024) (0.023) (0.027) (0.030) (0.020) (0.015) (0.022)
SMB 0.180*** 0.132* 0.119*** 0.199*** 0.016 0.016 0.072 0.086 − 0.163*** − 0.261***
(0.053) (0.069) (0.045) (0.065) (0.071) (0.063) (0.062) (0.061) (0.041) (0.045)
HML − 0.052 − 0.008 − 0.063 − 0.047 0.035 0.127 − 0.010 0.200** 0.067 0.018
(0.081) (0.078) (0.076) (0.060) (0.097) (0.093) (0.080) (0.084) (0.044) (0.063)
WML − 0.018 0.008 − 0.066* 0.014 − 0.019 − 0.045 − 0.058** 0.034 0.041** 0.036**
(0.029) (0.025) (0.035) (0.029) (0.038) (0.033) (0.023) (0.024) (0.018) (0.015)
UMS 0.454*** 0.468*** 0.315*** 0.281*** 0.259*** 0.224** 0.136 0.036 − 0.181*** − 0.404***
(0.103) (0.072) (0.077) (0.067) (0.081) (0.093) (0.090) (0.069) (0.062) (0.060)
Cons an 0.001 0.001 0.001 0.001 0.0004 − 0.001 − 0.001 0.0002 − 0.001* − 0.0004
(0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001)
Obse a-
ions
289 289 288 289 289 289 288 288 289 289
Adjus ed R20.950*** 0.971*** 0.968*** 0.964*** 0.964*** 0.962*** 0.961* 0.971 0.981*** 0.979***
ESG
Ma ke 0.956*** 1.084*** 1.051*** 1.016*** 1.087*** 1.024*** 0.936*** 1.024*** 1.053*** 0.939***
(0.036) (0.026) (0.038) (0.022) (0.042) (0.025) (0.018) (0.027) (0.024) (0.024)
SMB 0.161*** 0.231*** 0.214*** 0.153*** 0.145* 0.078* 0.089** 0.069 − 0.069 − 0.325***
(0.046) (0.051) (0.071) (0.039) (0.078) (0.043) (0.041) (0.070) (0.052) (0.044)
HML − 0.110 − 0.168*** 0.022 − 0.067** − 0.068 0.109** 0.019 0.058 0.069 0.084*
(0.075) (0.047) (0.079) (0.033) (0.087) (0.046) (0.058) (0.067) (0.055) (0.046)
WML − 0.039 − 0.061*** − 0.032 − 0.012 − 0.057** − 0.058*** − 0.035 0.038 0.062** 0.049***
(0.037) (0.020) (0.032) (0.021) (0.027) (0.017) (0.022) (0.034) (0.024) (0.018)
UMS 0.484*** 0.304*** 0.223* 0.065 0.172 0.274*** − 0.001 − 0.110*** − 0.238*** − 0.230***
(0.107) (0.077) (0.135) (0.080) (0.105) (0.039) (0.085) (0.042) (0.072) (0.045)
Cons an − 0.001 − 0.0003 0.002** 0.001* − 0.001 − 0.001* − 0.001 0.0002 − 0.0003 − 0.0004
(0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001)
Obse a-
ions
289 289 289 289 289 288 289 289 288 289
Adjus ed R20.927*** 0.967*** 0.956*** 0.961 0.954** 0.973*** 0.965 0.970* 0.979*** 0.980***
This able shows he eg ession esul s o alue-weigh ed decile po olios o i e di e en ESG dimensions. The u ilized model is he Ca ha
ou - ac o model wi h an addi ional UMS ac o accoun ing o each dimension o ESG
*, ** and *** deno e signi icance le els on he 10%, 5% and 1% signi icance le els, espec i ely. Signi icance le el indica ions pe aining o he
Ca ha ac o s, UMS and cons an s a e ob ained om - es s, adjus ed R2 indica ions a e om F- es s o nes ed models. Newey–Wes s anda d
e o s a e epo ed in pa en heses
1 Due o space cons ain s we do only epo he s a is ics o he
Ca ha + UMS eg essions wi h ESG da a as o -2.The esul s o he
eg essions conduc ed wi h ESG da a o -1 as well as he esul s o
he Fama–F ench + UMS eg essions a e a ailable on eques .
51ESG as isk ac o
Table 4 Re ini i wo ld: Ca ha + UMS
Decile
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)
En i onmen al
Ma ke 1.039*** 0.931*** 0.737*** 0.989*** 1.072*** 1.050*** 0.987*** 0.970*** 0.978*** 0.997***
(0.023) (0.058) (0.143) (0.065) (0.029) (0.028) (0.035) (0.023) (0.019) (0.022)
SMB − 0.022 0.314** 0.133 0.302** 0.171** 0.155*** 0.141* − 0.056 − 0.195*** − 0.249***
(0.064) (0.123) (0.169) (0.128) (0.077) (0.048) (0.073) (0.052) (0.039) (0.041)
HML − 0.051 − 0.008 0.252* 0.030 − 0.041 − 0.021 0.220*** 0.029 0.059 0.094*
(0.053) (0.064) (0.148) (0.085) (0.053) (0.057) (0.063) (0.064) (0.037) (0.054)
WML − 0.051 − 0.047 0.284*** − 0.042 − 0.004 − 0.020 0.025 0.010 0.075*** 0.010
(0.032) (0.067) (0.088) (0.065) (0.026) (0.026) (0.035) (0.025) (0.021) (0.022)
UMS 0.660*** 0.176 0.383** 0.037 0.097 0.111 0.148* − 0.077 − 0.156** − 0.227***
(0.078) (0.162) (0.152) (0.151) (0.084) (0.082) (0.079) (0.056) (0.070) (0.080)
Cons an 0.001 0.0003 0.001 0.002* 0.00002 − 0.001 − 0.002** 0.0003 − 0.001* 0.0001
(0.001) (0.001) (0.002) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001)
Obse a ions 401 212 280 267 284 288 288 288 288 289
Adjus ed R20.965*** 0.900* 0.682** 0.912 0.963 0.962 0.966** 0.971 0.973*** 0.976***
Go e nance
Ma ke 0.933*** 1.068*** 1.089*** 1.134*** 1.034*** 1.003*** 1.010*** 0.967*** 0.989*** 0.935***
(0.032) (0.024) (0.015) (0.042) (0.025) (0.021) (0.024) (0.021) (0.034) (0.020)
SMB 0.268*** 0.181*** 0.074 0.025 − 0.066 − 0.062 − 0.026 − 0.071 − 0.224** − 0.118***
(0.045) (0.044) (0.061) (0.037) (0.042) (0.060) (0.062) (0.055) (0.099) (0.037)
HML 0.047 0.042 − 0.025 − 0.062 − 0.003 0.120*** 0.094* 0.064 − 0.014 0.129***
(0.048) (0.036) (0.039) (0.044) (0.034) (0.046) (0.053) (0.065) (0.080) (0.037)
WML − 0.038 − 0.016 − 0.013 − 0.047** − 0.001 0.013 0.026 − 0.023 − 0.042 0.109***
(0.030) (0.022) (0.016) (0.024) (0.022) (0.032) (0.031) (0.058) (0.029) (0.025)
UMS 0.653*** 0.563*** 0.412*** 0.193*** 0.042 − 0.111* − 0.169*** − 0.257*** − 0.253*** − 0.231***
(0.058) (0.045) (0.069) (0.041) (0.059) (0.057) (0.033) (0.038) (0.049) (0.032)
Cons an − 0.0003 − 0.001 0.0002 − 0.0002 0.0001 0.0002 − 0.001 − 0.001 − 0.0002 − 0.0005
(0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001)
Obse a ions 291 286 288 288 288 288 288 289 288 289
Adjus ed R20.944*** 0.971*** 0.965*** 0.975*** 0.974 0.972*** 0.974*** 0.966*** 0.959*** 0.977***
Social
Ma ke 0.907*** 1.013*** 1.104*** 1.077*** 1.032*** 1.047*** 1.050*** 0.981*** 1.022*** 0.958***
(0.038) (0.018) (0.034) (0.025) (0.023) (0.021) (0.030) (0.033) (0.018) (0.016)
SMB 0.207*** 0.089 0.159*** 0.149*** 0.080 0.067 0.048 − 0.030 − 0.006 − 0.320***
(0.062) (0.057) (0.054) (0.050) (0.055) (0.043) (0.055) (0.048) (0.045) (0.031)
HML − 0.016 − 0.021 − 0.019 0.085* 0.166*** 0.218*** 0.074 0.002 0.064* 0.018
(0.053) (0.035) (0.058) (0.050) (0.043) (0.044) (0.065) (0.076) (0.033) (0.046)
WML − 0.050* − 0.015 − 0.109*** − 0.035 − 0.073*** − 0.029* 0.023 − 0.033 − 0.035* 0.111***
(0.027) (0.026) (0.037) (0.025) (0.023) (0.015) (0.019) (0.024) (0.021) (0.025)
UMS 0.477*** 0.548*** 0.525*** 0.257*** 0.288*** 0.308*** − 0.053 − 0.024 − 0.281*** − 0.210***
(0.085) (0.064) (0.103) (0.090) (0.080) (0.064) (0.057) (0.058) (0.060) (0.074)
Cons an − 0.001 0.001* 0.0003 0.001 0.0005 − 0.00004 − 0.0001 − 0.0004 − 0.001 − 0.001
(0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001)
Obse a ions 289 288 288 289 288 288 288 289 288 289
Adjus ed R20.932*** 0.967*** 0.963*** 0.971*** 0.969*** 0.978*** 0.979 0.964 0.981*** 0.979***
ES
Ma ke 0.954*** 1.043*** 1.033*** 1.018*** 1.087*** 1.070*** 0.976*** 1.009*** 1.023*** 0.967***
(0.039) (0.036) (0.020) (0.027) (0.021) (0.020) (0.027) (0.027) (0.013) (0.019)
58 J.Dob ick e al.
This able shows he eg ession esul s o alue-weigh ed
decile po olios o i e di e en ESG dimensions. The u i-
lized model is he Ca ha ou - ac o model wi h an addi-
ional UMS ac o accoun ing o each dimension o ESG.
*, ** and *** deno e signi icance le els on he 10%, 5%
and 1% signi icance le els, espec i ely. Signi icance le el
indica ions pe aining o he Ca ha ac o s, UMS and con-
s an s a e ob ained om - es s, and adjus ed R2 indica ions
a e om F- es s o nes ed models. Newey–Wes s anda d
e o s a e epo ed in pa en heses.
Table 8 (con inued)
Decile
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)
SMB 0.196*** 0.165*** 0.137 0.151** 0.155* 0.180*** − 0.074 0.113** − 0.033 − 0.221***
(0.069) (0.054) (0.084) (0.063) (0.087) (0.046) (0.048) (0.050) (0.049) (0.035)
HML − 0.045 − 0.102 0.101 − 0.035 0.072 0.128*** − 0.263*** 0.083 0.198*** − 0.006
(0.095) (0.082) (0.112) (0.093) (0.058) (0.039) (0.079) (0.064) (0.046) (0.048)
WML − 0.028 − 0.225*** 0.059 0.035 0.118* 0.107*** − 0.152** 0.089* 0.129*** − 0.075
(0.083) (0.085) (0.066) (0.057) (0.061) (0.035) (0.060) (0.049) (0.041) (0.046)
UMS 0.747*** 0.753*** 0.495*** 0.159** 0.207* 0.069 − 0.091 − 0.044 − 0.240*** − 0.195***
(0.109) (0.134) (0.095) (0.080) (0.113) (0.071) (0.100) (0.091) (0.077) (0.039)
Cons an − 0.001 − 0.001 0.001 0.00000 0.001 0.001 − 0.001 0.001 0.0005 − 0.0002
(0.002) (0.001) (0.001) (0.002) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001)
Obse a ions 99 99 98 99 99 98 98 99 99 99
Adjus ed R20.881*** 0.908*** 0.922 0.916 0.911* 0.946 0.892 0.923 0.935*** 0.957***
ESG
Ma ke 1.181*** 1.051*** 1.131*** 1.138*** 1.072*** 1.061*** 1.075*** 1.049*** 0.989*** 0.948***
(0.062) (0.032) (0.068) (0.040) (0.051) (0.035) (0.050) (0.031) (0.034) (0.026)
SMB 0.095 0.233** 0.239** 0.131* 0.089 0.110** 0.005 0.100** 0.009 − 0.266***
(0.075) (0.092) (0.093) (0.077) (0.067) (0.053) (0.052) (0.042) (0.040) (0.047)
HML − 0.165** − 0.162** 0.144* − 0.100 0.143** 0.053 − 0.145** 0.129** 0.190*** − 0.086**
(0.077) (0.076) (0.087) (0.087) (0.057) (0.052) (0.071) (0.053) (0.036) (0.040)
WML − 0.232** − 0.047 0.085 − 0.065 0.187*** − 0.025 − 0.063 0.133*** 0.102** − 0.086**
(0.099) (0.048) (0.063) (0.069) (0.046) (0.041) (0.060) (0.034) (0.047) (0.042)
UMS 0.833*** 0.576*** 0.378*** 0.329** 0.107 0.142*** − 0.108 − 0.131 − 0.157*** − 0.226***
(0.116) (0.089) (0.102) (0.135) (0.077) (0.055) (0.101) (0.089) (0.061) (0.049)
Cons an − 0.001 0.002 0.00001 − 0.0003 0.002 0.0004 − 0.001 − 0.00003 0.0005 0.0001
(0.002) (0.002) (0.001) (0.001) (0.001) (0.001) (0.002) (0.001) (0.001) (0.001)
Obse a ions 99 99 99 99 98 98 99 99 98 99
Adjus ed R20.880*** 0.893*** 0.918*** 0.913*** 0.896 0.930 0.910 0.928 0.951** 0.956***
This able shows he eg ession esul s o alue-weigh ed decile po olios o i e di e en ESG dimensions. The u ilized model is he Ca ha
ou - ac o model wi h an addi ional UMS ac o accoun ing o each dimension o ESG
*, ** and *** deno e signi icance le els on he 10%, 5% and 1% signi icance le els, espec i ely
Signi icance le el indica ions pe aining o he Ca ha ac o s, UMS and cons an s a e ob ained om - es s, and adjus ed R2 indica ions a e
om F- es s o nes ed models. Newey–Wes s anda d e o s a e epo ed in pa en heses

59ESG as isk ac o
Table 9 Re ini i No h Ame ica: Ca ha + UMS
Decile
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)
En i onmen al
Ma ke 1.110*** 0.672*** 1.108*** 1.049*** 1.129*** 1.208*** 1.100*** 0.985*** 0.942*** 1.009***
(0.028) (0.214) (0.034) (0.031) (0.067) (0.051) (0.034) (0.037) (0.027) (0.022)
SMB 0.195*** 0.419*** 0.235*** 0.281*** 0.206** 0.073 0.080 0.118** − 0.088* − 0.196***
(0.042) (0.135) (0.051) (0.051) (0.094) (0.067) (0.055) (0.056) (0.049) (0.032)
HML − 0.112** 0.131 0.138* 0.034 0.052 0.270*** 0.009 0.126*** 0.114*** − 0.089**
(0.053) (0.128) (0.078) (0.054) (0.109) (0.057) (0.073) (0.046) (0.030) (0.038)
WML − 0.081 0.003 − 0.087 0.119*** 0.105* 0.076 − 0.033 − 0.037 0.050 − 0.017
(0.057) (0.182) (0.072) (0.046) (0.059) (0.055) (0.048) (0.056) (0.045) (0.032)
UMS 0.691*** − 0.248 0.478*** 0.127 0.0003 0.164** 0.237** − 0.071 − 0.020 − 0.301***
(0.092) (0.393) (0.137) (0.132) (0.086) (0.068) (0.097) (0.051) (0.089) (0.053)
Cons an 0.001 − 0.004 − 0.002 0.001 0.002 0.001 − 0.00001 − 0.001 − 0.0004 0.0001
(0.001) (0.003) (0.001) (0.001) (0.002) (0.001) (0.001) (0.001) (0.001) (0.001)
Obse a ions 187 21 93 95 99 98 99 98 99 99
Adjus ed R20.951*** 0.574 0.921*** 0.931 0.916 0.924 0.916** 0.944 0.929 0.961***
Go e nance
Ma ke 1.055*** 1.018*** 1.091*** 1.048*** 1.021*** 1.151*** 0.985*** 1.043*** 1.076*** 0.925***
(0.048) (0.052) (0.038) (0.037) (0.043) (0.043) (0.025) (0.033) (0.026) (0.037)
SMB 0.185*** 0.050 0.161*** − 0.005 0.065 0.024 − 0.003 − 0.098* − 0.047 − 0.048
(0.067) (0.067) (0.048) (0.069) (0.066) (0.062) (0.049) (0.054) (0.047) (0.058)
HML − 0.055 − 0.098 0.036 0.097* 0.041 0.147 0.101** − 0.088 0.024 − 0.045
(0.073) (0.067) (0.043) (0.053) (0.053) (0.097) (0.041) (0.057) (0.050) (0.062)
WML − 0.139 − 0.003 0.025 0.039 0.002 − 0.024 0.047 0.066 0.001 − 0.046
(0.094) (0.091) (0.051) (0.058) (0.063) (0.074) (0.050) (0.048) (0.043) (0.052)
UMS 0.620*** 0.399*** 0.289*** 0.111 − 0.104 − 0.022 − 0.037 − 0.173*** − 0.127*** − 0.302***
(0.133) (0.112) (0.072) (0.072) (0.075) (0.093) (0.059) (0.061) (0.043) (0.062)
Cons an 0.0001 − 0.001 − 0.0001 0.001 0.002** − 0.002* 0.001 − 0.001 0.0003 0.001
(0.002) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001)
Obse a ions 104 101 101 102 102 101 102 101 102 102
Adjus ed R20.896*** 0.900*** 0.955*** 0.935 0.917 0.928 0.926 0.921** 0.949** 0.924***
Social
Ma ke 1.046*** 1.045*** 1.168*** 1.157*** 1.074*** 1.170*** 1.043*** 1.056*** 0.997*** 0.968***
(0.031) (0.036) (0.039) (0.054) (0.032) (0.036) (0.039) (0.041) (0.046) (0.017)
SMB 0.101 0.155*** 0.247*** 0.249*** 0.276*** 0.198*** 0.016 − 0.007 − 0.042 − 0.222***
(0.083) (0.051) (0.056) (0.070) (0.068) (0.067) (0.049) (0.061) (0.066) (0.037)
HML − 0.067 − 0.093 0.132** 0.084 0.227*** 0.279*** 0.127* 0.008 − 0.086 − 0.012
(0.062) (0.064) (0.059) (0.084) (0.061) (0.085) (0.073) (0.054) (0.063) (0.037)
WML − 0.025 − 0.028 − 0.004 0.053 0.004 0.007 − 0.073 0.024 0.045 0.010
(0.082) (0.063) (0.052) (0.088) (0.093) (0.076) (0.045) (0.045) (0.050) (0.050)
UMS 0.447*** 0.439*** 0.390*** 0.254*** 0.192 0.357*** 0.109 − 0.085 − 0.289*** − 0.201***
(0.134) (0.074) (0.102) (0.078) (0.117) (0.085) (0.073) (0.070) (0.057) (0.068)
Cons an − 0.0004 0.001 0.0003 0.002*** 0.0002 0.0001 0.002 0.00001 0.0002 − 0.001
(0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001)
Obse a ions 102 102 101 102 102 101 102 101 102 102
Adjus ed R20.887*** 0.916*** 0.938*** 0.937*** 0.913* 0.930*** 0.946 0.921 0.927*** 0.952***
ES
Ma ke 1.087*** 1.308*** 1.125*** 1.000*** 1.071*** 1.142*** 1.124*** 1.140*** 1.047*** 0.971***
(0.034) (0.064) (0.040) (0.034) (0.040) (0.063) (0.045) (0.027) (0.028) (0.017)
60 J.Dob ick e al.
Table 9 (con inued)
Decile
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)
SMB 0.167* 0.274*** 0.193*** 0.202*** 0.262*** 0.149* 0.155*** 0.092* − 0.041 − 0.216***
(0.091) (0.068) (0.065) (0.049) (0.061) (0.090) (0.057) (0.049) (0.043) (0.032)
HML − 0.203** 0.025 0.145* − 0.060 0.183*** 0.153 0.231*** 0.072* 0.100* − 0.111***
(0.084) (0.076) (0.079) (0.047) (0.059) (0.107) (0.055) (0.037) (0.053) (0.043)
WML − 0.089 − 0.137 0.036 − 0.114** 0.112** − 0.041 0.139*** − 0.034 − 0.023 0.018
(0.069) (0.104) (0.069) (0.047) (0.053) (0.061) (0.052) (0.040) (0.048) (0.036)
UMS 0.514*** 0.794*** 0.536*** 0.147** 0.194* 0.027 0.110** 0.123* − 0.011 − 0.292***
(0.142) (0.171) (0.111) (0.074) (0.112) (0.073) (0.054) (0.072) (0.076) (0.050)
Cons an 0.001 − 0.003* 0.001 − 0.001 0.001 0.0002 0.002* − 0.001 − 0.0001 − 0.0001
(0.001) (0.001) (0.002) (0.001) (0.001) (0.002) (0.001) (0.001) (0.001) (0.001)
Obse a ions 100 102 98 98 97 99 98 99 98 99
Adjus ed s20.890*** 0.895*** 0.907*** 0.939* 0.938** 0.925 0.933 0.955 0.950 0.964***
ESG
Ma ke 1.265*** 1.168*** 0.934*** 1.044*** 1.078*** 1.106*** 1.191*** 1.162*** 1.017*** 0.974***
(0.049) (0.041) (0.035) (0.046) (0.069) (0.040) (0.046) (0.031) (0.029) (0.024)
SMB 0.147 0.222*** 0.328*** 0.232*** 0.201*** 0.172** 0.152** 0.068 − 0.018 − 0.231***
(0.097) (0.067) (0.067) (0.059) (0.063) (0.082) (0.073) (0.042) (0.043) (0.036)
HML − 0.236** 0.012 0.135*** 0.017 0.161** 0.137 0.188*** 0.108* 0.138*** − 0.134***
(0.104) (0.069) (0.051) (0.073) (0.073) (0.085) (0.040) (0.056) (0.047) (0.046)
WML − 0.154* 0.006 − 0.052 0.083 0.099 − 0.003 0.068 0.069 − 0.029 − 0.007
(0.092) (0.047) (0.044) (0.064) (0.067) (0.044) (0.061) (0.049) (0.043) (0.042)
UMS 0.692*** 0.360*** 0.611*** 0.056 0.091 − 0.016 0.201** 0.039 0.006 − 0.290***
(0.165) (0.060) (0.079) (0.083) (0.106) (0.070) (0.089) (0.069) (0.083) (0.049)
Cons an − 0.001 0.001 0.00001 0.001 0.001 0.001 0.001 − 0.001* − 0.0004 0.0002
(0.002) (0.001) (0.002) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001)
Obse a ions 99 101 99 97 98 99 99 98 99 99
Adjus ed R20.882*** 0.953*** 0.887*** 0.927 0.926 0.937 0.924** 0.951 0.946 0.960***
This able shows he eg ession esul s o alue-weigh ed decile po olios o i e di e en ESG dimensions. The u ilized model is he Ca ha
ou - ac o model wi h an addi ional UMS ac o accoun ing o each dimension o ESG
*, ** and *** deno e signi icance le els on he 10%, 5% and 1% signi icance le els, espec i ely. Signi icance le el indica ions pe aining o
he Ca ha ac o s, UMS and cons an s a e ob ained om - es s, and adjus ed R2 indica ions a e om F- es s o nes ed models. Newey–Wes
s anda d e o s a e epo ed in pa en heses
61ESG as isk ac o
Table 10 Vigeo Ei is No h Ame ica: Ca ha + UMS
Decile
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)
En i onmen al
Ma ke 1.090*** 1.085*** 0.957*** 1.031*** 1.139*** 1.040*** 1.011*** 1.105*** 1.016*** 1.035***
(0.070) (0.040) (0.042) (0.035) (0.054) (0.031) (0.040) (0.064) (0.030) (0.019)
SMB 0.127 0.109 0.157** 0.150** 0.133* 0.033 0.128** − 0.058 − 0.140** − 0.282***
(0.086) (0.066) (0.078) (0.059) (0.073) (0.066) (0.063) (0.081) (0.063) (0.028)
HML − 0.223** − 0.089 − 0.038 0.092 0.088 − 0.011 0.172* 0.134 0.036 0.020
(0.093) (0.090) (0.061) (0.077) (0.064) (0.093) (0.093) (0.125) (0.075) (0.034)
WML 0.007 0.004 0.049 − 0.034 0.106* − 0.041 − 0.002 0.023 0.101* − 0.114***
(0.101) (0.070) (0.048) (0.037) (0.056) (0.047) (0.072) (0.071) (0.052) (0.028)
UMS 0.149** − 0.039 0.044 0.056 0.007 0.064* − 0.160*** − 0.101* 0.037 − 0.002
(0.070) (0.047) (0.035) (0.034) (0.040) (0.037) (0.058) (0.055) (0.031) (0.026)
Cons an − 0.001 − 0.0002 0.002 0.002 0.0002 0.001 − 0.004** − 0.003** 0.001 0.001
(0.002) (0.001) (0.001) (0.001) (0.002) (0.001) (0.002) (0.001) (0.001) (0.001)
Obse a ions 64 57 61 62 54 58 56 58 56 56
Adjus ed R20.822** 0.916 0.904 0.939 0.887 0.902 0.893*** 0.906** 0.902 0.951
Go e nance
Ma ke 1.048*** 1.029*** 1.116*** 1.062*** 1.011*** 1.087*** 1.039*** 0.992*** 1.002*** 1.033***
(0.100) (0.035) (0.054) (0.034) (0.051) (0.042) (0.049) (0.039) (0.053) (0.037)
SMB 0.106 0.023 0.090 − 0.033 − 0.051 − 0.048 − 0.172** − 0.249*** 0.047 0.038
(0.083) (0.080) (0.085) (0.052) (0.072) (0.055) (0.070) (0.067) (0.081) (0.060)
HML − 0.344*** − 0.046 0.165** − 0.059 − 0.053 − 0.056 0.099 0.021 0.348*** 0.085*
(0.100) (0.064) (0.068) (0.071) (0.089) (0.057) (0.083) (0.070) (0.075) (0.050)
WML − 0.176 − 0.070 0.092* − 0.008 − 0.036 0.066 0.047 − 0.016 0.098 − 0.033
(0.121) (0.051) (0.053) (0.049) (0.065) (0.064) (0.048) (0.069) (0.079) (0.045)
UMS 0.078 0.008 0.139 − 0.011 − 0.009 − 0.053 0.048 − 0.107** − 0.055 − 0.097**
(0.094) (0.049) (0.090) (0.045) (0.062) (0.060) (0.072) (0.049) (0.048) (0.042)
Cons an − 0.002 0.002 − 0.002** 0.002** − 0.002 − 0.001 0.001 0.002 − 0.002 − 0.001
(0.002) (0.002) (0.001) (0.001) (0.002) (0.001) (0.001) (0.001) (0.001) (0.001)
Obse a ions 63 61 56 56 59 58 57 57 59 56
Adjus ed R20.824 0.902 0.915** 0.919 0.838 0.908 0.916 0.882* 0.905 0.933*
Social
Ma ke 0.958*** 1.141*** 1.075*** 1.103*** 1.048*** 1.117*** 1.061*** 1.023*** 1.056*** 0.933***
(0.036) (0.042) (0.054) (0.042) (0.039) (0.030) (0.037) (0.029) (0.028) (0.028)
SMB 0.229*** 0.120* − 0.073 0.173** − 0.007 0.109** 0.0001 − 0.067 − 0.097** − 0.307***
(0.070) (0.069) (0.087) (0.087) (0.063) (0.055) (0.066) (0.048) (0.045) (0.046)
HML 0.056 − 0.165** − 0.362*** − 0.109** 0.031 0.225*** 0.023 0.202*** 0.119*** 0.052
(0.075) (0.067) (0.097) (0.053) (0.076) (0.079) (0.060) (0.054) (0.030) (0.036)
WML 0.108 0.079 0.012 − 0.050 − 0.062 0.047 0.059 0.017 0.014 − 0.096
(0.069) (0.109) (0.087) (0.066) (0.042) (0.058) (0.055) (0.048) (0.055) (0.059)
UMS 0.014 0.073** 0.073** 0.037 0.005 0.014 0.031* 0.016 − 0.082*** − 0.046**
(0.029) (0.034) (0.033) (0.029) (0.037) (0.025) (0.019) (0.024) (0.025) (0.023)
Cons an − 0.001 0.003 0.002 0.002 − 0.002 0.001 0.0001 0.001 − 0.002** − 0.002*
(0.001) (0.002) (0.002) (0.001) (0.002) (0.001) (0.001) (0.001) (0.001) (0.001)
Obse a ions 62 59 56 59 59 57 58 59 56 57
Adjus ed R20.880 0.830 0.798 0.886 0.888 0.937 0.927 0.936 0.948*** 0.929*
ES
Ma ke 1.109*** 1.092*** 0.939*** 1.063*** 1.046*** 1.068*** 1.140*** 1.086*** 1.009*** 0.990***
(0.048) (0.059) (0.048) (0.041) (0.053) (0.030) (0.077) (0.038) (0.023) (0.017)
62 J.Dob ick e al.
Table 10 (con inued)
Decile
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)
SMB 0.094 0.248*** 0.116 0.103* 0.064 0.115** 0.076 − 0.102* − 0.084* − 0.311***
(0.100) (0.066) (0.071) (0.060) (0.077) (0.052) (0.091) (0.061) (0.051) (0.037)
HML − 0.132 − 0.146* − 0.058 0.095 − 0.120 0.215*** − 0.026 0.028 0.119*** 0.071**
(0.112) (0.081) (0.072) (0.071) (0.105) (0.052) (0.109) (0.073) (0.045) (0.029)
WML 0.130 − 0.120 0.050 0.014 0.011 − 0.003 0.129 − 0.062 0.061 − 0.103***
(0.096) (0.087) (0.068) (0.058) (0.055) (0.059) (0.080) (0.068) (0.039) (0.029)
UMS 0.060 0.075 0.025 − 0.001 0.022 0.008 − 0.061 − 0.001 0.024 − 0.061**
(0.058) (0.048) (0.039) (0.029) (0.035) (0.035) (0.042) (0.050) (0.044) (0.025)
Cons an − 0.001 − 0.001 0.001 0.003*** 0.0003 − 0.0003 − 0.003* − 0.0002 − 0.0004 − 0.0003
(0.002) (0.001) (0.002) (0.001) (0.001) (0.001) (0.002) (0.001) (0.001) (0.001)
Obse a ions 63 69 55 62 63 56 58 52 56 49
Adjus ed R20.829 0.892 0.879 0.902 0.881 0.945 0.869 0.916 0.934 0.957**
ESG
Ma ke 1.098*** 0.984*** 0.997*** 1.038*** 1.049*** 1.090*** 1.124*** 1.086*** 1.016*** 0.988***
(0.056) (0.033) (0.050) (0.040) (0.054) (0.035) (0.055) (0.029) (0.031) (0.021)
SMB 0.117 0.141** 0.160** 0.131** 0.024 0.003 0.159* − 0.042 − 0.161*** − 0.287***
(0.080) (0.062) (0.074) (0.061) (0.092) (0.061) (0.093) (0.056) (0.045) (0.041)
HML − 0.345*** − 0.044 − 0.049 0.148** − 0.144 0.049 0.092 − 0.022 0.206*** 0.061**
(0.099) (0.063) (0.057) (0.068) (0.126) (0.096) (0.096) (0.049) (0.049) (0.030)
WML − 0.084 0.100* − 0.044 0.101* − 0.014 0.017 0.011 0.029 0.040 − 0.098**
(0.107) (0.054) (0.051) (0.053) (0.068) (0.056) (0.077) (0.059) (0.060) (0.039)
UMS 0.048 − 0.011 − 0.007 0.091** 0.018 − 0.011 0.098 − 0.110*** 0.008 − 0.057**
(0.065) (0.035) (0.036) (0.036) (0.038) (0.036) (0.077) (0.032) (0.037) (0.027)
Cons an − 0.003 0.001 0.002* 0.001 − 0.00001 − 0.002 0.001 0.002 − 0.001 − 0.001
(0.002) (0.001) (0.001) (0.001) (0.001) (0.002) (0.001) (0.001) (0.001) (0.001)
Obse a ions 70 63 56 56 58 56 55 56 58 54
Adjus ed R20.825 0.906 0.912 0.908** 0.841 0.897 0.885* 0.921** 0.936 0.946**
63ESG as isk ac o
Table 11 ASSET4 Eu ope: Ca ha + UMS
Decile
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)
En i onmen al
Ma ke 1.034*** 0.986*** 1.113*** 1.038*** 1.052*** 1.053*** 1.030*** 0.969*** 0.992*** 1.027***
(0.022) (0.031) (0.030) (0.023) (0.033) (0.016) (0.018) (0.021) (0.017) (0.013)
SMB 0.245*** 0.533*** 0.544*** 0.292*** 0.148** − 0.026 − 0.112* − 0.090 − 0.108 − 0.137***
(0.062) (0.092) (0.131) (0.059) (0.068) (0.080) (0.062) (0.077) (0.072) (0.043)
HML 0.076 − 0.088 − 0.075 − 0.213*** − 0.038 − 0.204*** 0.082 0.008 0.155** 0.061
(0.070) (0.059) (0.095) (0.050) (0.095) (0.059) (0.059) (0.051) (0.068) (0.047)
WML − 0.033 − 0.002 − 0.0002 − 0.068** − 0.114 − 0.126*** − 0.031 0.061* 0.082** 0.009
(0.025) (0.040) (0.036) (0.031) (0.080) (0.048) (0.034) (0.032) (0.039) (0.019)
UMS 0.180** 0.325*** 0.247*** − 0.045 0.257*** 0.248*** 0.017 − 0.113* − 0.096* − 0.213***
(0.072) (0.067) (0.072) (0.075) (0.076) (0.063) (0.070) (0.063) (0.058) (0.044)
Cons an 0.0003 0.0004 0.001 0.0003 0.001 0.001* − 0.001 0.001 − 0.0002 0.0004
(0.001) (0.001) (0.001) (0.001) (0.002) (0.001) (0.001) (0.001) (0.001) (0.001)
Obse a-
ions
80 79 79 79 80 79 79 80 80 79
Adjus ed
R2
0.960** 0.952*** 0.955*** 0.964 0.946*** 0.964*** 0.972 0.970** 0.977* 0.983***
Go e nance
Ma ke 1.048*** 1.041*** 1.044*** 1.027*** 1.036*** 1.072*** 1.059*** 0.993*** 1.054*** 0.949***
(0.016) (0.020) (0.024) (0.019) (0.019) (0.029) (0.027) (0.013) (0.036) (0.015)
SMB 0.460*** 0.040 0.075 − 0.004 − 0.003 0.025 − 0.104* − 0.102*** − 0.015 − 0.143***
(0.048) (0.051) (0.052) (0.047) (0.092) (0.074) (0.053) (0.038) (0.075) (0.050)
HML − 0.127*** − 0.030 − 0.054 0.113* 0.008 0.073 0.016 0.065 0.013 0.037
(0.033) (0.037) (0.056) (0.059) (0.075) (0.060) (0.067) (0.051) (0.052) (0.037)
WML − 0.047 − 0.010 0.034 0.119*** 0.027 − 0.004 0.041* 0.009 − 0.095** 0.0001
(0.035) (0.029) (0.028) (0.022) (0.025) (0.057) (0.024) (0.023) (0.039) (0.019)
UMS 0.400*** 0.277*** 0.494*** 0.084 0.131* 0.061 − 0.143*** − 0.146*** − 0.097* − 0.323***
(0.052) (0.049) (0.052) (0.055) (0.071) (0.117) (0.048) (0.042) (0.055) (0.072)
Cons an − 0.0004 0.001 0.002* 0.0001 − 0.0002 0.0003 − 0.002*** 0.001* 0.0001 0.001
(0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001)
Obse a-
ions
80 80 79 79 80 79 79 80 79 80
Adjus ed
R2
0.971*** 0.969*** 0.969*** 0.969* 0.969** 0.959 0.963** 0.978*** 0.964 0.974***
Social
Ma ke 1.084*** 1.015*** 1.070*** 0.988*** 1.034*** 0.999*** 1.022*** 1.029*** 1.013*** 1.001***
(0.038) (0.029) (0.030) (0.022) (0.044) (0.020) (0.023) (0.021) (0.017) (0.020)
SMB 0.405*** 0.351*** 0.432*** 0.350*** 0.152 0.159* 0.077 0.003 − 0.166*** − 0.295***
(0.071) (0.062) (0.112) (0.076) (0.097) (0.085) (0.075) (0.083) (0.054) (0.054)
HML − 0.039 − 0.042 − 0.041 − 0.078 − 0.016 0.050 0.026 0.069 − 0.057* 0.054
(0.068) (0.057) (0.091) (0.064) (0.109) (0.081) (0.049) (0.059) (0.033) (0.074)
WML − 0.085 0.040 − 0.062* 0.037 − 0.007 0.077*** 0.013 0.074*** − 0.044*** − 0.008
(0.075) (0.037) (0.037) (0.033) (0.056) (0.029) (0.032) (0.019) (0.017) (0.027)
UMS 0.327*** 0.307*** 0.307*** 0.220*** 0.029 0.087 − 0.063 − 0.060 − 0.109** − 0.209***
(0.080) (0.085) (0.101) (0.072) (0.094) (0.090) (0.064) (0.056) (0.049) (0.077)
Cons an 0.001 − 0.00004 − 0.0003 0.002 − 0.001 0.002* − 0.0003 0.0003 − 0.0004 0.001
(0.002) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001)
Obse a-
ions
80 79 79 79 79 79 79 79 79 80

64 J.Dob ick e al.
Table 11 (con inued)
Decile
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)
Adjus ed R20.950*** 0.952*** 0.953*** 0.955*** 0.927 0.962 0.960 0.975 0.983** 0.973***
ES
Ma ke 1.033*** 1.077*** 1.079*** 0.998*** 1.053*** 1.009*** 1.008*** 0.998*** 1.047*** 0.986***
(0.022) (0.026) (0.036) (0.021) (0.032) (0.033) (0.022) (0.021) (0.016) (0.014)
SMB 0.376*** 0.407*** 0.391*** 0.408*** 0.254*** 0.086 0.117 − 0.083 − 0.091** − 0.269***
(0.051) (0.066) (0.079) (0.098) (0.082) (0.067) (0.083) (0.054) (0.040) (0.036)
HML − 0.029 − 0.069 0.012 − 0.160** − 0.177*** − 0.057 0.064 0.118** − 0.051 0.087*
(0.077) (0.070) (0.053) (0.069) (0.065) (0.089) (0.085) (0.050) (0.034) (0.048)
WML − 0.026 − 0.080** − 0.003 0.027 − 0.055 − 0.046 − 0.027 0.103*** − 0.038** 0.027
(0.037) (0.039) (0.034) (0.044) (0.035) (0.047) (0.032) (0.021) (0.015) (0.028)
UMS 0.331*** 0.337*** 0.089 0.121 0.108* 0.023 0.136 − 0.123** − 0.178*** − 0.099**
(0.083) (0.074) (0.083) (0.118) (0.061) (0.068) (0.092) (0.059) (0.041) (0.042)
Cons an 0.001 − 0.0003 − 0.0001 − 0.0001 0.0001 0.001 0.001 − 0.001 0.0004 0.001
(0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001)
Obse a-
ions
80 80 79 79 80 79 79 79 79 79
Adjus ed R20.950*** 0.956*** 0.964 0.937 0.961 0.942 0.963** 0.971** 0.985*** 0.981**
ESG
Ma ke 1.052*** 1.059*** 1.017*** 1.041*** 1.102*** 1.050*** 1.020*** 1.047*** 1.037*** 0.954***
(0.022) (0.023) (0.032) (0.020) (0.042) (0.027) (0.037) (0.015) (0.012) (0.012)
SMB 0.407*** 0.376*** 0.293*** 0.321*** 0.216*** 0.153** − 0.025 − 0.057 − 0.114*** − 0.217***
(0.057) (0.053) (0.061) (0.061) (0.081) (0.069) (0.078) (0.086) (0.040) (0.039)
HML − 0.094 0.027 − 0.030 − 0.106** − 0.274*** − 0.099 0.162** 0.121* 0.062** 0.032
(0.068) (0.050) (0.061) (0.053) (0.072) (0.063) (0.068) (0.064) (0.028) (0.046)
WML − 0.043 − 0.023 − 0.017 − 0.015 − 0.037 − 0.036 0.055* 0.105*** 0.001 − 0.021
(0.052) (0.033) (0.046) (0.038) (0.065) (0.028) (0.028) (0.022) (0.033) (0.017)
UMS 0.380*** 0.172* 0.426*** 0.023 − 0.007 0.084 0.033 − 0.191*** − 0.024 − 0.160***
(0.075) (0.094) (0.092) (0.075) (0.108) (0.072) (0.055) (0.071) (0.054) (0.048)
Cons an 0.0004 − 0.00000 − 0.002 0.002 0.0002 0.0003 0.002 0.001 − 0.001* 0.0003
(0.001) (0.001) (0.002) (0.001) (0.002) (0.001) (0.001) (0.001) (0.001) (0.001)
Obse a-
ions
80 79 79 79 79 79 79 80 79 79
Adjus ed R20.948*** 0.961** 0.938*** 0.956 0.942 0.961 0.965 0.964*** 0.986 0.981***
This able shows he eg ession esul s o alue-weigh ed decile po olios o i e di e en ESG dimensions. The u ilized model is he Ca ha
ou - ac o model wi h an addi ional UMS ac o accoun ing o each dimension o ESG
*, ** and *** deno e signi icance le els on he 10%, 5% and 1% signi icance le els, espec i ely. Signi icance le el indica ions pe aining o
he Ca ha ac o s, UMS and cons an s a e ob ained om - es s, and adjus ed R2 indica ions a e om F- es s o nes ed models. Newey–Wes
s anda d e o s a e epo ed in pa en heses
65ESG as isk ac o
Table 12 Re ini i Eu ope: Ca ha + UMS
Decile
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)
En i onmen al
Ma ke 0.998*** 1.048*** 1.184*** 1.054*** 1.025*** 1.028*** 1.026*** 1.030*** 0.963*** 1.014***
(0.026) (0.022) (0.030) (0.035) (0.026) (0.025) (0.018) (0.016) (0.019) (0.022)
SMB 0.213*** 0.627*** 0.384*** 0.524*** 0.213*** 0.030 − 0.111* − 0.104* − 0.074* − 0.203***
(0.078) (0.087) (0.065) (0.157) (0.075) (0.085) (0.060) (0.053) (0.039) (0.045)
HML 0.083 − 0.106 − 0.209*** − 0.042 − 0.212*** − 0.060 0.102*** − 0.069 − 0.019 0.193***
(0.061) (0.067) (0.075) (0.105) (0.065) (0.041) (0.038) (0.048) (0.041) (0.050)
WML − 0.028 − 0.018 − 0.072* − 0.028 − 0.175** − 0.026 0.060*** − 0.003 0.073*** − 0.003
(0.032) (0.029) (0.038) (0.039) (0.088) (0.025) (0.017) (0.040) (0.024) (0.041)
UMS 0.295*** 0.262*** 0.340*** 0.076 0.149 0.168*** 0.144*** − 0.101** − 0.224*** − 0.131**
(0.098) (0.091) (0.091) (0.147) (0.092) (0.062) (0.045) (0.042) (0.031) (0.053)
Cons an 0.001 − 0.0002 − 0.001 − 0.001 0.001 − 0.00002 0.001 − 0.0002 − 0.001 0.001
(0.002) (0.001) (0.001) (0.001) (0.002) (0.0004) (0.001) (0.001) (0.001) (0.001)
Obse a-
ions
83 84 72 78 79 79 79 79 79 80
Adjus ed R20.947*** 0.959*** 0.945*** 0.930 0.946* 0.966** 0.973** 0.972* 0.977*** 0.980**
Go e nance
Ma ke 1.062*** 1.021*** 1.007*** 1.059*** 1.079*** 1.020*** 1.003*** 1.033*** 1.014*** 0.964***
(0.018) (0.031) (0.016) (0.031) (0.018) (0.025) (0.026) (0.051) (0.058) (0.027)
SMB 0.198*** 0.005 0.007 − 0.129** 0.033 − 0.192*** 0.019 − 0.067 − 0.004 − 0.099
(0.048) (0.064) (0.050) (0.062) (0.055) (0.064) (0.056) (0.085) (0.108) (0.070)
HML − 0.113** − 0.031 0.094** 0.095* − 0.139 0.064 0.134 0.035 − 0.007 0.107***
(0.051) (0.046) (0.043) (0.049) (0.089) (0.060) (0.086) (0.057) (0.057) (0.041)
WML − 0.019 0.038 0.011 0.042* − 0.094*** − 0.043* 0.037 0.058* − 0.063** 0.028
(0.023) (0.034) (0.025) (0.024) (0.035) (0.024) (0.030) (0.035) (0.026) (0.022)
UMS 0.490*** 0.432*** 0.283*** 0.028 0.085 0.102* − 0.139* − 0.178*** − 0.156*** − 0.385***
(0.078) (0.085) (0.060) (0.085) (0.080) (0.059) (0.083) (0.048) (0.053) (0.063)
Cons an 0.002* − 0.0004 − 0.001 0.0005 0.0004 0.001 − 0.0002 0.001 0.001 − 0.001
(0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001)
Obse a-
ions
83 83 83 83 83 83 83 83 83 83
Adjus ed R20.964*** 0.964*** 0.965*** 0.956 0.955 0.967 0.959** 0.968*** 0.961** 0.964***
Social
Ma ke 1.050*** 0.992*** 1.033*** 1.089*** 1.063*** 1.020*** 1.053*** 1.029*** 1.014*** 0.973***
(0.025) (0.034) (0.025) (0.026) (0.021) (0.021) (0.020) (0.018) (0.015) (0.009)
SMB 0.420*** 0.329*** 0.076 0.206*** 0.115** 0.079 0.011 0.063 − 0.097** − 0.219***
(0.067) (0.068) (0.060) (0.078) (0.046) (0.110) (0.067) (0.065) (0.040) (0.028)
HML 0.073 0.057 − 0.050 0.008 0.196*** 0.322*** 0.233*** 0.159*** 0.017 − 0.171***
(0.059) (0.057) (0.046) (0.062) (0.071) (0.100) (0.054) (0.047) (0.041) (0.025)
WML − 0.012 − 0.011 − 0.070** 0.024 0.017 0.007 − 0.044* − 0.032 − 0.060** 0.083***
(0.031) (0.028) (0.035) (0.038) (0.034) (0.069) (0.026) (0.034) (0.024) (0.017)
UMS 0.307*** 0.373*** 0.317*** 0.177 0.223*** 0.138 0.186** − 0.085* − 0.114*** − 0.236***
(0.080) (0.075) (0.096) (0.125) (0.058) (0.124) (0.085) (0.048) (0.043) (0.070)
Cons an 0.001 0.001 − 0.0003 0.001 0.0003 0.002* 0.0005 − 0.0003 0.00003 − 0.0003
(0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001)
Obse a-
ions
83 83 83 83 83 83 83 83 83 83
Adjus ed R20.964*** 0.961*** 0.955*** 0.957** 0.966*** 0.952 0.974*** 0.976 0.982** 0.981***
66 J.Dob ick e al.
Table 12 (con inued)
Decile
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)
ES
Ma ke 1.078*** 1.082*** 1.114*** 1.036*** 1.047*** 1.046*** 1.053*** 1.071*** 1.026*** 0.987***
(0.032) (0.018) (0.021) (0.018) (0.026) (0.022) (0.026) (0.018) (0.016) (0.019)
SMB 0.345*** 0.503*** 0.302*** 0.399*** 0.275*** 0.291*** 0.213*** 0.030 − 0.119*** − 0.268***
(0.063) (0.103) (0.052) (0.053) (0.095) (0.082) (0.073) (0.043) (0.045) (0.045)
HML − 0.049 − 0.061 0.035 − 0.087 − 0.102 − 0.004 0.042 0.163*** 0.098 − 0.053
(0.080) (0.065) (0.094) (0.066) (0.070) (0.082) (0.084) (0.049) (0.063) (0.042)
WML − 0.142*** − 0.066 − 0.025 − 0.095* − 0.065 0.046 − 0.004 0.041 − 0.009 0.017
(0.049) (0.041) (0.053) (0.050) (0.051) (0.056) (0.034) (0.027) (0.022) (0.020)
UMS 0.426*** 0.428*** 0.429*** 0.076 0.154 − 0.037 0.030 − 0.069 − 0.046 − 0.121***
(0.098) (0.128) (0.055) (0.071) (0.103) (0.054) (0.058) (0.066) (0.057) (0.044)
Cons an 0.002* 0.0003 0.0002 0.0004 0.002 0.001 0.0005 − 0.00004 − 0.001** 0.001
(0.001) (0.001) (0.002) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001)
Obse a-
ions
80 79 79 79 79 79 79 80 79 80
Adjus ed R20.955*** 0.955*** 0.960*** 0.959 0.960* 0.964 0.967 0.974 0.975 0.987***
ESG
Ma ke 1.018*** 1.120*** 1.116*** 1.048*** 1.053*** 1.046*** 1.056*** 1.084*** 1.009*** 0.988***
(0.023) (0.038) (0.021) (0.021) (0.025) (0.019) (0.020) (0.039) (0.016) (0.015)
SMB 0.281*** 0.489*** 0.379*** 0.415*** 0.198** 0.253*** 0.117 0.054 − 0.125*** − 0.238***
(0.060) (0.097) (0.078) (0.101) (0.080) (0.081) (0.086) (0.071) (0.046) (0.038)
HML 0.008 − 0.044 − 0.023 − 0.058 0.012 − 0.107* 0.018 0.096** 0.115* − 0.029
(0.079) (0.068) (0.088) (0.061) (0.077) (0.058) (0.078) (0.042) (0.060) (0.034)
WML − 0.128*** − 0.009 − 0.058 − 0.048 − 0.041 − 0.027 0.069*** − 0.009 0.014 0.011
(0.045) (0.042) (0.041) (0.059) (0.041) (0.026) (0.024) (0.025) (0.023) (0.014)
UMS 0.453*** 0.386*** 0.353*** 0.148* 0.218** − 0.040 − 0.024 0.011 − 0.121** − 0.119**
(0.156) (0.113) (0.098) (0.076) (0.095) (0.107) (0.091) (0.077) (0.051) (0.047)
Cons an 0.001* 0.001 − 0.001 0.002 0.0005 0.001* 0.001 0.0002 − 0.001 0.0001
(0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001)
Obse a-
ions
83 77 78 79 79 79 79 79 79 80
Adjus ed R20.950*** 0.956*** 0.957*** 0.953 0.957** 0.967 0.968 0.974 0.978** 0.989***
This able shows he eg ession esul s o alue-weigh ed decile po olios o i e di e en ESG dimensions. The u ilized model is he Ca ha
ou - ac o model wi h an addi ional UMS ac o accoun ing o each dimension o ESG
*, ** and *** deno e signi icance le els on he 10%, 5% and 1% signi icance le els, espec i ely. Signi icance le el indica ions pe aining o
he Ca ha ac o s, UMS and cons an s a e ob ained om - es s, and adjus ed R2 indica ions a e om F- es s o nes ed models. Newey–Wes
s anda d e o s a e epo ed in pa en heses
67ESG as isk ac o
Table 13 Vigeo Ei is Eu ope: Ca ha + UMS
Decile
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)
En i onmen al
Ma ke 1.003*** 1.051*** 1.000*** 1.060*** 0.982*** 0.973*** 1.027*** 1.056*** 1.031*** 0.956***
(0.036) (0.038) (0.032) (0.020) (0.014) (0.023) (0.031) (0.043) (0.046) (0.029)
SMB 0.243*** 0.148 0.231*** 0.033 − 0.016 − 0.097 − 0.054 − 0.125 − 0.078 − 0.288***
(0.057) (0.121) (0.079) (0.078) (0.081) (0.093) (0.125) (0.083) (0.080) (0.092)
HML − 0.021 − 0.131 − 0.023 0.067 0.153*** 0.143* 0.068 − 0.093 0.135** − 0.013
(0.074) (0.091) (0.061) (0.076) (0.058) (0.083) (0.053) (0.071) (0.067) (0.049)
WML 0.047 − 0.128 0.009 0.003 − 0.008 0.074 0.095*** − 0.078 0.110** − 0.114*
(0.037) (0.094) (0.068) (0.044) (0.025) (0.055) (0.034) (0.049) (0.052) (0.058)
UMS 0.116* 0.202*** 0.180*** 0.041 0.060 − 0.068 0.042 0.011 − 0.135*** − 0.074
(0.062) (0.064) (0.054) (0.056) (0.053) (0.050) (0.046) (0.053) (0.025) (0.079)
Cons an 0.001 0.001 − 0.001 0.001 − 0.001 0.001 − 0.0004 − 0.0003 − 0.001 0.002
(0.001) (0.002) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001)
Obse a-
ions
66 63 58 64 62 63 62 60 59 58
Adjus ed R20.934** 0.928*** 0.940*** 0.950 0.961 0.952 0.951 0.966 0.959*** 0.942
Go e nance
Ma ke 1.021*** 1.042*** 0.994*** 1.010*** 1.016*** 0.986*** 1.009*** 1.044*** 1.029*** 0.983***
(0.021) (0.022) (0.019) (0.038) (0.030) (0.016) (0.034) (0.013) (0.022) (0.017)
SMB 0.171*** 0.109 − 0.029 − 0.128 0.049 − 0.196*** − 0.108* − 0.147*** − 0.089 − 0.123**
(0.050) (0.069) (0.051) (0.089) (0.097) (0.056) (0.059) (0.054) (0.061) (0.060)
HML − 0.082 − 0.073* − 0.135** 0.081 0.195** 0.083 0.131*** 0.187*** 0.061 − 0.087**
(0.053) (0.041) (0.053) (0.125) (0.078) (0.099) (0.049) (0.065) (0.054) (0.036)
WML − 0.063 0.002 0.009 0.078* 0.112* − 0.035 0.048** − 0.046 0.014 − 0.013
(0.041) (0.028) (0.021) (0.041) (0.066) (0.047) (0.020) (0.047) (0.027) (0.025)
UMS 0.305*** 0.183*** 0.368*** 0.118* 0.145* 0.206*** 0.043 − 0.377*** − 0.246*** − 0.374***
(0.052) (0.055) (0.067) (0.068) (0.088) (0.068) (0.057) (0.069) (0.055) (0.058)
Cons an 0.001 0.002* − 0.001 − 0.00000 − 0.0002 0.002* − 0.00004 − 0.0002 − 0.001 − 0.0003
(0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001)
Obse a-
ions
64 62 62 62 62 62 61 62 59 60
Adjus ed R20.957*** 0.966*** 0.966*** 0.950* 0.939** 0.958*** 0.957 0.952*** 0.968*** 0.956***
Social
Ma ke 1.022*** 1.044*** 1.025*** 1.019*** 0.966*** 0.992*** 0.976*** 1.062*** 1.003*** 1.005***
(0.021) (0.055) (0.036) (0.032) (0.031) (0.036) (0.042) (0.019) (0.017) (0.014)
SMB 0.486*** 0.298*** 0.057 0.133 − 0.041 − 0.002 − 0.130* − 0.121** − 0.183*** − 0.256***
(0.070) (0.104) (0.060) (0.087) (0.101) (0.124) (0.079) (0.060) (0.046) (0.044)
HML 0.112** − 0.178** − 0.065 − 0.116* − 0.069 0.026 0.035 0.056 0.0003 0.195***
(0.055) (0.071) (0.053) (0.060) (0.059) (0.074) (0.045) (0.048) (0.046) (0.041)
WML − 0.061* 0.038 0.036 − 0.035 − 0.038 0.060* 0.095** − 0.005 0.031** − 0.028
(0.035) (0.046) (0.031) (0.029) (0.036) (0.033) (0.040) (0.027) (0.016) (0.022)
UMS 0.167*** 0.281*** 0.232*** 0.053 0.026 0.065 − 0.021 − 0.018 − 0.067 − 0.168***
(0.041) (0.072) (0.052) (0.049) (0.053) (0.041) (0.060) (0.027) (0.050) (0.036)
Cons an 0.002*** − 0.002 0.002 0.001 0.001 − 0.002 − 0.001 0.001 0.001 − 0.001
(0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001) (0.001)
Obse a-
ions
64 62 61 63 63 60 61 62 62 58
Adjus ed R20.963*** 0.947*** 0.950*** 0.945 0.946 0.940 0.955 0.968 0.977* 0.981***