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Sustainability disclosure and its impact on firm's value for Energy and Healthcare industry

Daniela Constantinescu
Daniela Constantinescu
   | Oct 27, 2021
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Published Online: Oct 27, 2021
Page range: 313 - 329
DOI: https://doi.org/10.2478/ceej-2021-0022
Keywords
© 2021 Daniela Constantinescu, published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

j.ceej-2021-0022.tab.010

Scenario 1.1 LNMVt = β0 + β1ENVt + β2CASH_TAt + β3LNTRt + ɛt
Scenario 1.2 LNMVt = β0 + β1SOCt + β2CASH_TAt + β3LNTRt + ɛt
Scenario 1.3 LNMVt = β0 + β1GOVt + β2CASH_TAt + β3LNTRt + ɛt
Scenario 2.1 Tobin's Qt = β0 + β1ENVt + β2CASH_TAt + β3LNTRt + ɛt
Scenario 2.2 Tobin's Qt = β0 + β1SOCt + β2CASH_TAt + β3LNTRt + ɛt
Scenario 2.3 Tobin's Qt = β0 + β1GOVt + β2CASH_TAt + β3LNTRt + ɛt

Variables used in the panel data regression model

Variable name Type of variable Description of variable Referenced studies/research
LNMV dependent Natural logarithm of market value available on Refinitiv Eikon platform Brammer et al. (2006); Fatemi et al. (2018); Y. Li et al. (2018)
Tobin's Q dependent Computed as the relation between market value and total assets Fatemi et al. (2018); Y. Li et al. (2018); Yu et al. (2018)
ESG independent Sustainability disclosure measured through ESG scores available on Refinitiv Eikon Fatemi et al. (2018); Y. Li et al. (2018); Yoon et al. (2018)
ENV independent Environmental score available on Refinitiv Eikon Fatemi et al. (2018); Yoon et al. (2018)
SOC independent Social score available on Refinitiv Eikon Fatemi et al. (2018); Yoon et al. (2018)
GOV independent Corporate governance score available on Refinitiv Eikon Fatemi et al. (2018); Yoon et al. (2018)
CASH_TA control Computed as the relationship between cash and cash equivalents value and total assets, both published on Refinitiv Eikon Y. Li et al. (2018)
LNTR control Natural logarithm of total revenues related to the business activities of the company, available on Refinitiv Eikon Fatemi et al. (2018)

Description of the database

Industry subcategory Total
Panel A. Number of companies from the energy sector included in the analysis
Coal 2
Oil & Gas 33
Oil- & Gas-Related Equipment and Services 22
Renewable Energy 4
Total companies for the energy sector 61
Panel B. Number of company-year observations from the energy sector included in the analysis
Coal 10
Oil & Gas 165
Oil- & Gas-Related Equipment and Services 110
Renewable Energy 20
Total company-year observations for energy sector 305
Panel C. Number of companies from the health care sector included in the analysis
Biotechnology & Medical Research 3
Health care Equipment & Supplies 13
Health care Providers & Services 7
Pharmaceuticals 22
Total companies for health care sector 45
Panel D. Number of company-year observations from the health care sector included in the analysis
Biotechnology & Medical Research 15
Health care Equipment & Supplies 65
Health care Providers & Services 35
Pharmaceuticals 110
Total company-year observations for the health care sector 225

Pearson/Spearman correlation matrix

Industry Variables ESG ENV SOC GOV LNMV Tobin's Q CASH_TA LNTR
Energy ESG 1 0.895** 0.905** 0.676** 0.483** 0.050 −0.213** 0.618**
ENV 0.881** 1 0.764** 0.434** 0.473** −0.036 −0.171** 0.652**
SOC 0.900** 0.773** 1 0.396** 0.394** 0.068 −0.219** 0.458**
GOV 0.655** 0.405** 0.379** 1 0.360** 0.117* −0.141* 0.443**
LNMV 0.498** 0.456** 0.425** 0.373** 1 0.394** −0.250** 0.763**
Tobin's Q Ratio 0.039 0.003 0.056 0.033 0.507** 1 0.028 −0.075
CASH_TA −0.123* −0.083 −0.145* −0.104 −0.008 0.094 1 −0.214**
LNTR 0.587** 0.609** 0.453** 0.430** 0.779** 0.135 0.046 1
Variables ESG ENV SOC GOV LNMV Tobin's Q CASH_TA LNTR
Health care ESG 1 0.781** 0.913** 0.710** 0.667** −0.039 0.085 0.713**
ENV 0.777** 1 0.745** 0.250** 0.689** 0.014 −0.186** 0.707**
SOC 0.910** 0.753** 1 0.422** 0.615** 0.037 −0.100 0.664**
GOV 0.724** 0.267** 0.450** 1 0.355** −0.157* 0.053 0.386**
LNMV 0.679** 0.684** 0.653** 0.368** 1 0.175** −0.205** 0.869**
Tobin's Q Ratio −0.097 −0.001 −0.027 −0.162* 0.193** 1 0.146* −0.174**
CASH_TA −0.162* −0.169* −0.194** −0.041 −0.195** 0.272** 1 −0.292**
LNTR 0.731** 0.725** 0.690** 0.396** 0.840** −0.240** −0.356** 1

The impact of sustainability disclosure on Tobin's Q for the energy sector

Variable Coefficient ESG (scenario 2) Coefficient ENV (scenario 2.1) Coefficient SOC (scenario 2.2) Coefficient GOV (scenario 2.3)
ESG (scenario 2) −0.0002
(0.0018)
ENV (scenario 2.1) −0.0036**
(0.0016)
SOC (scenario 2.2) 0.0009
(0.0014)
GOV (scenario 2.3) 0.0021
(0.0013)
CASH_TA 0.2831 0.1847 0.3197 0.3304
(0.2632) (0.2597) (0.2621) (0.2582)
LNTR 0.0351*** 0.0488*** 0.0305*** 0.0262***
(0.0080) (0.0069) (0.0065) (0.0058)
Akaike 1.4837 1.4667 1.4824 1.4756
Schwarz 1.5203 1.5032 1.5190 1.5122
Hannan-Quinn 1.4983 1.4813 1.4970 1.4903
Adj. R2 −0.0027 0.0143 −0.0013 0.0054
Log likelihood −223.2661 −220.6641 −223.0603 −222.0344
Durbin-Watson 0.2033 0.2058 0.2052 0.2103

The impact of sustainability disclosure on the market value for the energy sector

Variable Coefficient ESG (scenario 1) Coefficient ENV (scenario 1.1) Coefficient SOC (scenario 1.2) Coefficient GOV (scenario 1.3)
ESG (scenario 1) −0.0056
(0.0052)
ENV (scenario 1.1) −0.0129**
(0.0045)
SOC (scenario 1.2) 0.0023
(0.0039)
GOV (scenario 1.3) −0.0006
(0.0037)
CASH_TA −0.3105 −0.5215 −0.0692 −0.1597
(0.7496) (0.7375) (0.7482) (0.7399)
LNTR 0.9976*** 1.0265*** 0.9648*** 0.9767***
(0.0226) (0.0195) (0.0184) (0.0166)
Akaike 3.5774 3.5541 3.5801 3.5812
Schwarz 3.6140 3.5907 3.6167 3.6178
Hannan-Quinn 3.5920 3.5687 3.5948 3.5958
Adj. R2 0.5407 0.5513 0.5394 0.5389
Log likelihood −542.5472 −539.0004 −542.9702 −543.1288
Durbin-Watson 0.2265 0.2386 0.2265 0.2254

j.ceej-2021-0022.tab.009

Scenario 1 LNMVt = β0 + β1ESG + β2CASH_TAt + β3LNTRt + ɛt
Scenario 2 Tobin's Qt = β0 + β1ESGt + β2CASH_TAt + β3LNTRt + ɛt

The impact of sustainability disclosure on the market value for the health care sector

Variable Coefficient ESG (scenario 1) Coefficient ENV (scenario 1.1) Coefficient SOC (scenario 1.2) Coefficient GOV (scenario 1.3)
ESG (scenario 1) −0.0038
(0.0040)
ENV (scenario 1.1) −0.0004
(0.0029)
SOC (scenario 1.2) −0.0031
(0.0033)
GOV (scenario 1.3) −0.0017
(0.0027)
CASH_TA 1.8217*** 1.8113*** 1.8187*** 1.8659***
(0.5014) (0.5123) (0.5015) (0.5059)
LNTR 1.0734*** 1.0588*** 1.0719*** 1.0635***
(0.0174) (0.0121) (0.0163) (0.0111)
Akaike 2.5312 2.5353 2.5314 2.5336
Schwarz 2.5767 2.5808 2.5769 2.5791
Hannan-Quinn 2.5496 2.5537 2.5498 2.5520
Adj. R2 0.7208 0.7197 0.7207 0.7201
Log likelihood −281.7581 −282.2180 −281.7816 −282.0290
Durbin-Watson 0.3088 0.3079 0.3106 0.3081

Descriptive statistics

Industry Variables N Minimum Maximum Mean Std. Dev. Skewness Kurtosis Jarque–Bera Probability
Energy ESG 305 4.9900 98.7500 58.8901 19.9855 −0.5624 2.8215 16.4845 0.0003
ENV 305 1.0000 94.0000 57.3140 22.7409 −0.5413 2.6507 16.4474 0.0003
SOC 305 2.0000 96.0000 61.3124 24.1545 −0.6612 2.4189 26.5131 0.0000
GOV 305 7.0000 98.0000 57.3870 24.5517 −0.2045 1.8332 19.4269 0.0000
LNMV 305 7.3267 18.7759 14.9135 2.1252 −0.7117 3.9778 37.9005 0.0000
Tobin's Q Ratio 305 0.0004 4.6385 0.5617 0.5049 3.1138 19.3998 3910.8030 0.0000
CASH_TA 305 0.0007 0.9862 0.1197 0.1073 4.0459 29.0572 9460.8050 0.0000
LNTR 305 6.3882 19.6587 15.2608 2.1018 −0.2113 3.3473 3.8024 0.1494
Valid N (listwise) 305
Health care ESG 225 21.2300 94.1200 62.0992 18.4218 −0.2477 2.1167 9.6149 0.0082
ENV 225 1.0000 93.0000 53.6667 23.9968 −0.2606 2.1027 10.0964 0.0064
SOC 225 17.0000 97.0000 69.9067 21.4329 −0.6036 2.3739 17.3373 0.0002
GOV 225 5.0000 94.0000 56.5333 22.6097 −0.2024 2.0184 10.5684 0.0050
LNMV 225 11.4189 19.4157 15.9311 1.6129 0.1496 2.6102 2.2639 0.3224
Tobin's Q Ratio 225 0.0567 13.9959 2.2169 2.3912 2.8025 11.6745 999.9692 0.0000
CASH_TA 225 0.0001 0.7481 0.0859 0.1103 3.4578 16.8211 2239.2340 0.0000
LNTR 225 9.7116 17.9405 14.8934 1.6427 −0.0520 3.0168 0.1042 0.9492
Valid N (listwise) 225

The impact of sustainability disclosure on the Tobin's Q for the health care sector

Variable Coefficient ESG (scenario 2) Coefficient ENV (scenario 2.1) Coefficient SOC (scenario 2.2) Coefficient GOV (scenario 2.3)
ESG (scenario 2) −0.0016
(0.0112)
ENV (scenario 2.1) 0.0066
(0.0081)
SOC (scenario 2.2) 0.0124
(0.0093)
GOV (scenario 2.3) −0.0179**
(0.0076)
CASH_TA 4.0859*** 4.3167*** 4.1180*** 4.4996***
(1.4180) (1.4440) (1.4125) (1.4118)
LNTR 0.1288*** 0.0964*** 0.0628 0.1878***
(0.0492) (0.0341) (0.0460) (0.0310)
Akaike 4.6105 4.6076 4.6026 4.5862
Schwarz 4.6560 4.6532 4.6481 4.6317
Hannan-Quinn 4.6289 4.6260 4.6209 4.6046
Adj. R2 −0.0159 −0.0130 −0.0079 0.0085
Log likelihood −515.6781 −515.3590 −514.7872 −512.9448
Durbin-Watson 0.1602 0.1630 0.1637 0.1699
eISSN:
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Language:
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