1 Introduction
2 Literature review
3 Hypotheses
4 Methodology
5 Sample
6 Variable selection and definition
Variable | Definition | Source |
---|---|---|
Tobin’s Q | Share price multiplied by the number of ordinary shares in issue plus total debt divided by total assets | Datastream/worldscope: Market value (MV), total debt (WC03255), total assets (WC02999) |
CSR83 | CSR transparency score based on 83 GRI indicators | Company reports and websites |
ENV, LAB, HR, SOI, PR | CSR transparency score based on 83 GRI indicators from the subsections “Environmental”, “Labor Practices and Decent Work”, “Human Rights”, “Society” and “Product Responsibility” | Company reports and websites |
CSR37 | CSR transparency score based on 37 GRI indicators | Company reports and websites |
CSR05 | CSR transparency score based on 5 GRI indicators | Company reports and websites |
Iog(ASSETS) | Natural logarithm of total assets | Worldscope: Total assets (WC02999) |
REIT | Binary variable which takes the value 1 if the company is a REIT and 0 otherwise | Datastream: Industry Classification Benchmark |
ROA(t) | Return on assets for the current period | Worldscope: Return on assets (WC08326) |
ROA(t − 1) | Return on assets for the previous period | Worldscope: Return on assets (WC08326) |
VOLA | Standard deviation of share price based on the last 52 weekly values, divided by the mean price and multiplied by 40 | Datastream: Volatility (VOL) |
LEV | Total debt / total assets | Worldscope: Total debt (WC03255), Total assets (WC02999) |
GRl_yrs | Number of years for which a company has reported in line with the GRI Guidelines | Company reports and websites |
Variable | Mean | Median | St. Dev. | Min | Max |
---|---|---|---|---|---|
Tobin’s Q | 0.776 | 0.806 | 0.188 | 0.186 | 1.341 |
CSR83 | 0.126 | 0.060 | 0.182 | 0.000 | 0.986 |
ENV | 0.138 | 0.057 | 0.191 | 0.000 | 0.963 |
LAB | 0.161 | 0.063 | 0.207 | 0.000 | 0.000 |
HR | 0.055 | 0.000 | 0.185 | 0.000 | 0.000 |
SOI | 0.114 | 0.000 | 0.200 | 0.000 | 1.000 |
PR | 0.123 | 0.100 | 0.189 | 0.000 | 1.000 |
CSR37 | 0.210 | 0.108 | 0.241 | 0.000 | 1.000 |
CSR05 | 0.360 | 0.400 | 0.325 | 0.000 | 1.000 |
ASSETSa
| 5,682,569 | 2,270,822 | 9,832,494 | 95,142 | 60,009,497 |
ROA (t) | 6.834 | 6.120 | 5.601 | − 8.520 | 48.750 |
ROA (t − 1) | 5.318 | 5.250 | 5.426 | − 24.010 | 26.280 |
VOLA | 4.922 | 4.209 | 2.565 | 1.709 | 16.808 |
LEV | 0.380 | 0.386 | 0.171 | 0.000 | 0.816 |
Variables | Tobin’s Q | CSR83 | ENV | LAB | HR | SOI | PR | CSR37 | CSR05 | log(ASSETS) | ROA (t) | ROA (t − 1) | VOLA |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CSR83 |
0.127* (0.081) | 1.000 (-----) | |||||||||||
ENV |
0.148** (0.041) |
0.965*** (0.000) | 1.000 (-----) | ||||||||||
LAB |
0.136* (0.061) |
0.943*** (0.000) |
0.892*** (0.000) | 1.000 (-----) | |||||||||
HR | 0.049 (0.497) |
0.871*** (0.000) |
0.753*** (0.000) |
0.767*** (0.000) | 1.000 (-----) | ||||||||
SOI | 0.075 (0.304) |
0.911*** (0.000) |
0.83*** (0.000) |
0.795*** (0.000) |
0.866*** (0.000) | 1.000 (-----) | |||||||
PR | 0.114 (0.117) |
0.932*** (0.000) |
0.842*** (0.000) |
0.878*** (0.000) |
0.878*** (0.000) |
0.85*** (0.000) | 1.000 (-----) | ||||||
CSR37 |
0.169** (0.019) |
0.954*** (0.000) |
0.973*** (0.000) |
0.922*** (0.000) |
0.708*** (0.000) |
0.827*** (0.000) |
0.849*** (0.000) | 1.000 (-----) | |||||
CSR05 |
0.249*** (0.001) |
0.737*** (0.000) |
0.784*** (0.000) |
0.707*** (0.000) |
0.474*** (0.000) |
0.577*** (0.000) |
0.697*** (0.000) |
0.831*** (0.000) | 1.000 (-----) | ||||
log(ASSETS) | − 0.023 (0.748) |
0.46*** (0.000) |
0.502*** (0.000) |
0.443*** (0.000) |
0.251*** (0.000) |
0.363*** (0.000) |
0.43*** (0.000) |
0.535*** (0.000) |
0.572*** (0.000) | 1.000 (-----) | |||
ROA (t) |
− 0.296*** (0.000) | − 0.081 (0.265) | − 0.087 (0.229) | − 0.081 (0.268) | − 0.070 (0.335) | − 0.069 (0.340) | − 0.045 (0.540) | − 0.090 (0.214) | − 0.091 (0.212) | 0.105 (0.148) | 1.000 (-----) | ||
ROA (t − 1) | 0.035 (0.631) | − 0.003 (0.972) | 0.008 (0.910) | − 0.018 (0.809) | − 0.019 (0.790) | − 0.022 (0.758) | 0.026 (0.718) | 0.004 (0.954) | 0.005 (0.941) |
0.19*** (0.008) |
0.429*** (0.000) | 1.000 (-----) | |
VOLA |
− 0.21*** (0.003) | 0.004 (0.952) | 0.013 (0.857) | 0.054 (0.462) | 0.000 (0.999) | − 0.037 (0.607) | − 0.047 (0.521) | 0.018 (0.804) | 0.048 (0.509) | 0.025 (0.736) |
− 0.12* (0.099) |
− 0.122* (0.093) | 1.000 (-----) |
LEV |
0.521*** (0.000) | − 0.005 (0.944) | 0.016 (0.826) | 0.030 (0.678) | − 0.023 (0.747) | − 0.048 (0.506) | − 0.054 (0.455) | 0.027 (0.715) | 0.063 (0.383) | − 0.081 (0.265) |
− 0.358*** (0.000) |
− 0.168** (0.020) |
0.157** (0.030) |
7 Empirical results
Dependent variable | Tobin’s Q | Tobin’s Q | Tobin’s Q | Tobin’s Q | Tobin’s Q | Tobin’s Q | Tobin’s Q | Tobin’s Q |
---|---|---|---|---|---|---|---|---|
Model | (1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) |
CSR83 |
0.116** (2.256) | |||||||
ENV |
0.124** (2.388) | |||||||
LAB |
0.122*** (2.736) | |||||||
HR | 0.033 (0.998) | |||||||
SOI | 0.059 (1.475) | |||||||
PR |
0.115** (2.335) | |||||||
CSR37 |
0.130*** (3.052) | |||||||
CSR05 |
0.167*** (4.259) | |||||||
log(ASSETS) | − 0.006 (− 0.478) | − 0.007 (− 0.602) | − 0.007 (− 0.586) | 0.001 (0. 089) | − 0.001 (− 0.114) | − 0.005 (− 0.454) | − 0.011 (− 0.913) |
− 0.022* (− 1.759) |
REIT |
0.103*** (5.453) |
0.102*** (5.344) |
0.105*** (5.563) |
0.106*** (5.559) |
0.105*** (5.481) |
0.104*** (5.568) |
0.102*** (5.421) |
0.100*** (5.587) |
ROA(t) |
0.006* (1.732) |
0.006* (1.738) |
0.006* (1.770) |
0.006* (1.659) |
0.006* (1.685) |
0.006* (1.717) |
0.006* (1.789) |
0.006** (2.078) |
ROA(t − 1) |
− 0.007*** (− 3.902) |
− 0.007*** (− 3.848) |
− 0.007*** (− 4.019) |
− 0.007*** (− 4.005) |
− 0.007*** (− 3.995) |
− 0.007*** (− 3.899) |
− 0.007*** (− 3.861) |
− 0.006*** (− 3.849) |
VOLA |
− 0.015** (− 2.287) |
− 0.015** (− 2.329) |
− 0.015** (− 2.346) |
− 0.015** (− 2.220) |
− 0.015** (− 2.208) |
− 0.015** (− 2.198) |
− 0.015** (− 2.347) |
− 0.015*** (− 2.693) |
LEV |
0.531*** (9.120) |
0.529*** (9.094) |
0.526*** (9.073) |
0.530*** (9.042) |
0.533*** (9.112) |
0.536*** (9.177) |
0.526*** (9.121) |
0.511*** (9.196) |
Intercept |
0.671*** (25.440) |
0.695*** (25.519) |
0.685*** (25.903) |
0.590*** (24.918) |
0.615*** (25.042) |
0.661*** (25.851) |
0.739*** (26.414) |
0.877*** (32.504) |
N
| 191 | 191 | 191 | 191 | 191 | 191 | 191 | 191 |
F-Statistic (p-value) |
25.440*** (0.000) |
25.519*** (0.000) |
25.903*** (0.000) |
24.918*** (0.000) |
25.042*** (0.000) |
25.851*** (0.000) |
26.414*** (0.000) |
32.504*** (0.000) |
Adjusted R2
| 0.464 | 0.466 | 0.469 | 0.455 | 0.458 | 0.465 | 0.474 | 0.509 |
Dependent variable | Tobin’s Q | CSR05 | Tobin’s Q | Tobin’s Q |
---|---|---|---|---|
Model | (3) | (4) | ||
Structural form | Reduced form | 2SLS | Hausman test | |
CSR05 |
0.167*** (4.259) | 0.091 (0.959) |
0.091* (1.749) | |
GRI_yrs |
0.092*** (4.719) | |||
Resid | 0.090 (1.547) | |||
log(ASSETS) |
− 0.022* (− 1.759) |
0.119*** (8.276) | − 0.011 (− 0.688) |
0.0
(− 0.780) |
REIT |
0.100*** (5.587) | 0.022 (0.624) |
0.103*** (4.905) |
0.103*** (5.573) |
ROA(t) |
0.006*** (2.078) | − 0.002 (− 0.526) |
0.006*** (− 3.000) |
0.006** (1.980) |
ROA(t − 1) |
− 0.006*** (− 3.849) |
− 0.005* (− 1.663) |
− 0.007*** (− 3.500) |
− 0.007*** (− 4.221) |
VOLA |
− 0.015*** (− 2.693) | 0.005 (0.644) |
− 0.015*** (− 3.750) |
− 0.015*** (− 2.640) |
LEV |
0.511*** (9.196) | 0.157 (1.477) |
0.519*** (8.238) |
0.519*** (9.410) |
Intercept |
0.877*** |
− 1.479*** (− 7.495) |
0.740*** (3.579) |
0.740*** (4.122) |
N | 191 | 191 | 191 | |
F-Statistic | 32.504*** |
24.230*** |
28.770*** |
25.755*** |
(p-value) | (0.000) | (0.000) | (0.000) | |
Adjusted R2
| 0.438 | 0.508 | 0.516 |
Variables | Tobin’s Q | CSR05 |
---|---|---|
CSR05 |
0.249
(0.001) | 1.000 (-----) |
GRI_yrs | 0.065 (0.374) |
0.490*** (0.000) |