Figure 1.
Figure 2.
Figure 3.
Figure 4.
Figure 5.
Relationship between ESG_environment score and ESG_social score and performance for CEE companies in 2017–2021
| Variable | Model 3 | Model 4 |
|---|---|---|
| log_env_score | 0.0109** | |
| (0.0053) | ||
| log_social_score | 0.0266** | |
| (0.0112) | ||
| size | −0.0103** | −0.0077** |
| (0.0042) | (0.0035) | |
| leverage | −0.0053*** | −0.0045*** |
| (0.0010) | (0.0009) | |
| GDP_growth | 0.0034*** | 0.0034*** |
| (0.0007) | (0.0007) | |
| Bank | 0.0300** | |
| (0.0141) | ||
| _cons | 0.0985*** | 0.0171 |
| (0.0316) | (0.0436) | |
| Breusch-Pagan Test: | ||
| chi-bar-square | 43.48 | 35.97 |
| p-value | 0.0000 | 0.0000 |
| Hausman Test: | ||
| Chi-square | 0.80 | 5.26 |
| p-value | 0.9379 | 0.2615 |
| R2 Within | 0.2471 | 0.2226 |
| R2 Between | 0.3147 | 0.3925 |
| R2 Overall | 0.3043 | 0.3239 |
| Number of obs | 205 | 207 |
Average value of the ESG score across countries in the years 2017–2021
| Country | 2017 | 2018 | 2019 | 2020 | 2021 | Mean |
|---|---|---|---|---|---|---|
| Czech Republic | 51.0733 | 52.4467 | 52.8433 | 59.3033 | 65.2600 | 56.1853 |
| Poland | 54.5091 | 52.4403 | 52.6769 | 51.6522 | 53.6426 | 52.8712 |
| Romania | 39.6650 | 42.3900 | 53.5500 | 71.8900 | 77.7767 | 60.0175 |
| Slovenia | 58.5300 | 58.1200 | 59.2100 | 57.9200 | 66.9700 | 60.1500 |
| Hungary | 63.7550 | 64.8900 | 64.3725 | 67.8125 | 70.8375 | 66.3335 |
Descriptive statistics of ESG Governance score for CEE companies
| Number of group | Mean | Median | StandDev | Min | Max |
|---|---|---|---|---|---|
| #1 | |||||
| ROA | 0.04 | 0.04 | 0.06 | −0.14 | 0.17 |
| gov_score | 32.41 | 34.00 | 8.45 | 15.00 | 45.00 |
| size | 8.55 | 8.57 | 1.36 | 5.89 | 11.37 |
| leverage | 4.82 | 2.58 | 5.11 | 1.31 | 36.58 |
| #2 | |||||
| ROA | 0.05 | 0.05 | 0.05 | −0.06 | 0.19 |
| gov_score | 52.82 | 52.50 | 3.81 | 47.00 | 59.00 |
| size | 8.62 | 8.34 | 1.57 | 5.79 | 11.55 |
| leverage | 3.94 | 2.25 | 3.30 | 1.17 | 11.39 |
| #3 | |||||
| ROA | 0.03 | 0.02 | 0.04 | −0.05 | 0.15 |
| gov_score | 80.68 | 79.00 | 6.24 | 73.00 | 95.00 |
| size | 9.74 | 9.93 | 1.44 | 6.96 | 11.53 |
| leverage | 8.46 | 8.25 | 5.99 | 1.33 | 23.54 |
| #4 | |||||
| ROA | 0.05 | 0.02 | 0.06 | −0.00 | 0.27 |
| gov_score | 66.24 | 66.00 | 3.09 | 61.00 | 71.00 |
| size | 8.97 | 9.19 | 1.51 | 5.80 | 11.04 |
| leverage | 5.32 | 2.51 | 3.97 | 1.15 | 14.90 |
| Total | |||||
| ROA | 0.04 | 0.03 | 0.05 | −0.14 | 0.27 |
| gov_score | 54.46 | 55.00 | 19.52 | 15.00 | 95.00 |
| size | 8.91 | 9.06 | 1.52 | 5.79 | 11.55 |
| leverage | 5.48 | 2.65 | 4.97 | 1.15 | 36.58 |
Descriptive statistics results for the ESG_score indicator across sectors
| Sector | Mean | Median | Std. dev. | Min | Max |
|---|---|---|---|---|---|
| Basic Materials | 44.3200 | 39.3000 | 12.1891 | 30.7100 | 72.3700 |
| Consumer Cyclicals | 55.5475 | 55.0650 | 7.8532 | 48.5800 | 63.4800 |
| Consumer Non-Cyclicals | 43.5933 | 44.1000 | 5.6499 | 35.1200 | 53.2400 |
| Energy | 56.9795 | 58.2200 | 10.9479 | 30.4900 | 74.2000 |
| Financial | 59.6758 | 58.9700 | 14.7235 | 31.0500 | 87.1500 |
| Healthcare | 58.1330 | 58.0200 | 5.8753 | 49.7800 | 68.5300 |
| Industrials | 45.6570 | 40.2750 | 11.7227 | 34.2400 | 61.1000 |
| Real Estate | 39.8300 | 39.8300 | 0.1838 | 39.7000 | 39.9600 |
| Retails | 65.6400 | 65.9900 | 9.2005 | 51.1300 | 76.5700 |
| Technology | 63.9395 | 67.4600 | 10.5718 | 48.9000 | 79.9600 |
| Utilities | 46.0243 | 43.3900 | 11.0404 | 32.1700 | 71.8400 |
| Total | 55.0022 | 54.7200 | 14.0555 | 30.4900 | 87.1500 |
Relationship between ESG score and performance for CEE companies in 2017–2021
| Variable | Model 1 | Model 2 |
|---|---|---|
| log_esg_score | 0.0507*** | 0.0536*** |
| (0.0163) | (0.0162) | |
| size | −0.0096*** | −0.0121*** |
| (0.0036) | (0.0038) | |
| leverage | −0.0046*** | −0.0052*** |
| (0.0009) | (0.0010) | |
| GDP_growth | 0.0035*** | 0.0034*** |
| (0.0007) | (0.0007) | |
| Bank | 0.0203* | |
| (0.0117) | ||
| _cons | −0.0613 | −0.0548 |
| (0.0578) | (0.0575) | |
| Breusch-Pagan Test: | ||
| chi-bar-square | 37.41 | 36.89 |
| p-value | 0.0000 | 0.0000 |
| Hausman Test: | ||
| Chi-square | 3.28 | 2.04 |
| p-value | 0.5127 | 0.7276 |
| R2 Within | 0.2379 | 0.2402 |
| R2 Between | 0.4042 | 0.4345 |
| R2 Overall | 0.3360 | 0.3517 |
| Number of obs | 207 | 207 |
Descriptive statistics of ESG Social score for CEE companies
| Number of group | Mean | Median | StandDev | Min | Max |
|---|---|---|---|---|---|
| #1 | |||||
| ROA | 0.06 | 0.04 | 0.07 | −0.08 | 0.27 |
| social_score | 42.41 | 41.00 | 4.80 | 34.00 | 50.00 |
| size | 8.36 | 8.99 | 1.54 | 5.79 | 10.77 |
| leverage | 3.83 | 2.16 | 3.34 | 1.31 | 11.54 |
| #2 | |||||
| ROA | 0.02 | 0.03 | 0.03 | −0.05 | 0.09 |
| social_score | 26.48 | 27.00 | 4.15 | 13.00 | 32.00 |
| size | 7.92 | 7.64 | 1.06 | 6.22 | 9.90 |
| leverage | 3.82 | 2.54 | 2.75 | 2.10 | 11.32 |
| #3 | |||||
| ROA | 0.05 | 0.03 | 0.05 | −0.13 | 0.17 |
| social_score | 63.92 | 64.00 | 5.67 | 52.00 | 73.00 |
| size | 9.18 | 9.37 | 1.47 | 6.51 | 11.42 |
| leverage | 6.00 | 4.61 | 4.65 | 1.15 | 22.01 |
| #4 | |||||
| ROA | 0.03 | 0.02 | 0.04 | −0.14 | 0.14 |
| social_score | 79.60 | 78.00 | 5.11 | 74.00 | 92.00 |
| size | 9.62 | 9.67 | 1.32 | 6.88 | 11.55 |
| leverage | 7.38 | 7.03 | 7.00 | 1.25 | 36.58 |
| Total | |||||
| ROA | 0.04 | 0.03 | 0.05 | −0.14 | 0.27 |
| social_score | 57.14 | 61.00 | 18.22 | 13.00 | 92.00 |
| size | 8.91 | 9.06 | 1.52 | 5.79 | 11.55 |
| leverage | 5.48 | 2.65 | 4.97 | 1.15 | 36.58 |
Descriptive statistics of ESG Environmental score for CEE companies
| Number of group | Mean | Median | StandDev | Min | Max |
|---|---|---|---|---|---|
| #1 | |||||
| ROA | 0.05 | 0.03 | 0.05 | −0.06 | 0.19 |
| env_score | 23.61 | 25.00 | 10.97 | 0.00 | 39.00 |
| size | 8.27 | 7.68 | 1.47 | 5.79 | 11.42 |
| leverage | 4.59 | 2.53 | 3.81 | 1.15 | 21.75 |
| #2 | |||||
| ROA | 0.03 | 0.02 | 0.04 | −0.14 | 0.10 |
| env_score | 76.29 | 74.00 | 6.54 | 67.00 | 91.00 |
| size | 9.53 | 9.76 | 1.19 | 7.29 | 11.35 |
| leverage | 6.94 | 7.03 | 5.59 | 1.44 | 36.58 |
| #3 | |||||
| ROA | 0.05 | 0.04 | 0.06 | −0.13 | 0.27 |
| env_score | 51.94 | 50.00 | 7.23 | 41.00 | 65.00 |
| size | 9.08 | 9.06 | 1.57 | 6.22 | 11.55 |
| leverage | 5.24 | 2.36 | 5.33 | 1.25 | 23.54 |
| Total | |||||
| ROA | 0.04 | 0.03 | 0.05 | −0.14 | 0.27 |
| env_score | 48.34 | 48.00 | 23.04 | 0.00 | 91.00 |
| size | 8.91 | 9.06 | 1.52 | 5.79 | 11.55 |
| leverage | 5.48 | 2.65 | 4.97 | 1.15 | 36.58 |
Average value of the ESG score across sectors in the years 2017–2021
| Sector | 2017 | 2018 | 2019 | 2020 | 2021 | Mean |
|---|---|---|---|---|---|---|
| Basic Materials | 72.3700 | 44.0400 | 43.2900 | 43.2217 | 41.2260 | 44.3200 |
| Consumer Cyclicals | 48.5800 | 49.0200 | 63.4800 | 61.1100 | 55.5475 | |
| Consumer Non-Cyclicals | 39.5450 | 40.6000 | 43.1033 | 47.2967 | 45.8150 | 43.5933 |
| Energy | 58.7300 | 57.4150 | 53.4400 | 55.3900 | 60.0020 | 56.9795 |
| Financial | 54.1429 | 56.7356 | 60.1163 | 60.9841 | 65.2765 | 59.6758 |
| Healthcare | 56.3550 | 53.9500 | 55.8950 | 56.7150 | 67.7500 | 58.1330 |
| Industrials | 43.2300 | 47.7850 | 50.4700 | 43.4567 | 45.6570 | |
| Real Estate | 39.9600 | 39.7000 | 39.8300 | |||
| Retails | 51.1300 | 65.9900 | 65.9800 | 68.5300 | 76.5700 | 65.6400 |
| Technology | 64.8425 | 61.9575 | 64.9875 | 63.8975 | 64.0125 | 63.9395 |
| Utilities | 46.9650 | 45.4575 | 42.6640 | 45.0800 | 50.0300 | 46.0243 |
Descriptive statistics of ESG score for CEE companies
| Number of group | Mean | Median | StandDev | Min | Max |
|---|---|---|---|---|---|
| #1 | |||||
| ROA | 0.04 | 0.03 | 0.05 | −0.08 | 0.19 |
| esg_score | 38.23 | 39.09 | 3.92 | 30.49 | 43.81 |
| size | 7.95 | 7.49 | 1.24 | 5.79 | 10.76 |
| leverage | 3.33 | 2.46 | 2.53 | 1.32 | 11.32 |
| #2 | |||||
| ROA | 0.06 | 0.06 | 0.06 | −0.13 | 0.27 |
| esg_score | 53.35 | 54.18 | 5.13 | 44.36 | 62.37 |
| size | 8.79 | 9.06 | 1.45 | 5.80 | 11.52 |
| leverage | 4.97 | 2.53 | 3.86 | 1.15 | 15.52 |
| #3 | |||||
| ROA | 0.03 | 0.02 | 0.04 | −0.14 | 0.17 |
| esg_score | 71.82 | 71.73 | 6.12 | 63.10 | 87.15 |
| size | 9.89 | 10.05 | 1.22 | 7.49 | 11.55 |
| leverage | 8.02 | 7.80 | 6.56 | 1.25 | 36.58 |
| Total | |||||
| ROA | 0.04 | 0.03 | 0.05 | −0.14 | 0.27 |
| esg_score | 55.00 | 54.72 | 14.06 | 30.49 | 87.15 |
| size | 8.91 | 9.06 | 1.52 | 5.79 | 11.55 |
| leverage | 5.48 | 2.65 | 4.97 | 1.15 | 36.58 |
Model variables description
| Variable | Description |
|---|---|
| ROA | Return on assets before taxes (expressed as a percentage) |
| esg_score | Value of ESG Score according to Refinitiv |
| env_score | Value of Environmental Pillar Score according to Refinitiv |
| social_score | Value of Social Pillar Score according to Refinitiv |
| gov_score | Value of Governance Pillar Score according to Refinitiv |
| size | Natural logarithm of the total asset value |
| leverage | The ratio of the total asset value to the total equity value (expressed as a percentage) |
| GDP_growth | Annual GDP growth rate at market prices based on constant local currency (expressed as a percentage) |
| Bank | Binary variable; takes a value of 1 if the company belongs to the financial sector, 0 otherwise |
Descriptive statistics
| Variable | Obs | Mean | Std. dev. | Min | Max |
|---|---|---|---|---|---|
| ROA | 207 | 4.3198 | 5.3402 | −14.0000 | 26.5000 |
| esg_score | 207 | 55.0022 | 14.0555 | 30.4900 | 87.1500 |
| env_score | 207 | 48.3430 | 23.0429 | 0.0000 | 91.0000 |
| social_score | 207 | 57.1449 | 18.2235 | 13.0000 | 92.0000 |
| gov_score | 207 | 54.4638 | 19.5224 | 15.0000 | 95.0000 |
| size | 207 | 8.9057 | 1.5177 | 5.7854 | 11.5493 |
| leverage | 207 | 5.4819 | 4.9737 | 1.1500 | 36.5800 |
| GDP_growth | 207 | 3.6447 | 3.5834 | −5.5030 | 8.2111 |
| Bank | 207 | 0.3865 | 0.4881 | 0.0000 | 1.0000 |
| log_env_score | 205 | 3.7084 | 0.7397 | 0.0000 | 4.5109 |
| log_gov_score | 207 | 3.9202 | 0.4190 | 2.7081 | 4.5539 |
| log_social_score | 207 | 3.9837 | 0.3744 | 2.5649 | 4.5218 |
| log_esg_score | 207 | 3.9738 | 0.2627 | 3.4174 | 4.4676 |