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

Constantinescu, Daniela

doi:10.2478/ceej-2021-0022

Figures & Tables

j_ceej-2021-0022_tab_010

Scenario 1.1	LNMV_t = β₀ + β₁ENV_t + β₂CASH_TA_t + β₃LNTR_t + ɛ_t
Scenario 1.2	LNMV_t = β₀ + β₁SOC_t + β₂CASH_TA_t + β₃LNTR_t + ɛ_t
Scenario 1.3	LNMV_t = β₀ + β₁GOV_t + β₂CASH_TA_t + β₃LNTR_t + ɛ_t
Scenario 2.1	Tobin's Q_t = β₀ + β₁ENV_t + β₂CASH_TA_t + β₃LNTR_t + ɛ_t
Scenario 2.2	Tobin's Q_t = β₀ + β₁SOC_t + β₂CASH_TA_t + β₃LNTR_t + ɛ_t
Scenario 2.3	Tobin's Q_t = β₀ + β₁GOV_t + β₂CASH_TA_t + β₃LNTR_t + ɛ_t

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	LNMV_t = β₀ + β₁ESG + β₂CASH_TA_t + β₃LNTR_t + ɛ_t
Scenario 2	Tobin's Q_t = β₀ + β₁ESG_t + β₂CASH_TA_t + β₃LNTR_t + ɛ_t

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

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

Figures & Tables

j_ceej-2021-0022_tab_010

Variables used in the panel data regression model

Description of the database

Pearson/Spearman correlation matrix

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

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

j_ceej-2021-0022_tab_009

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

Descriptive statistics

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

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