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Table 11 Subperiod portfolios

From: ESG controversies and controversial ESG: about silent saints and small sinners

  Europe USA Global
10% 20% 10% 20% 10% 20%
Alpha Adj. \(R^2\) Alpha Adj. \(R^2\) Alpha Adj. \(R^2\) Alpha Adj. \(R^2\) Alpha Adj. \(R^2\) Alpha Adj. \(R^2\)
TR
 Best
  4/02–3/10 0.0029 0.8772 0.0021 0.8896 0.0053* 0.8049 0.0056** 0.8156 0.0057** 0.8991 0.0051** 0.9044
  4/10–3/18 0.0004 0.8936 0.0009 0.9052 − 0.0009 0.8655 − 0.0010 0.8689 − 0.0008 0.9145 − 0.0005 0.9108
 Worst
  4/02–3/10 0.0068*** 0.8848 0.0066** 0.8886 0.0062** 0.8308 0.00645** 0.8418 0.0098*** 0.8981 0.0089*** 0.8909
  4/10–3/18 0.0029 0.8794 0.0019 0.8916 0.0040** 0.8453 0.0030* 0.8835 0.0043** 0.8232 0.0029* 0.8709
 Best–worst
  4/02–3/10 − 0.0057*** 0.3237 − 0.0064*** 0.4403 − 0.0028* 0.2938 − 0.0027** 0.2843 − 0.0060*** 0.2234 − 0.0057*** 0.2416
  4/10–3/18 − 0.0026 0.4556 − 0.0011 0.5545 − 0.0051*** 0.5220 − 0.0041*** 0.6138 − 0.0052*** 0.2282 − 0.0035*** 0.2776
Controversies
 Best
  4/02–3/10 0.0076*** 0.8817 0.0083*** 0.9039 0.0096*** 0.8036 0.0078*** 0.8066 0.0084*** 0.9047 0.0070*** 0.9068
  4/10–3/18 0.0028 0.8273 0.0019 0.8957 0.0016 0.7811 0.0010 0.8302 0.0035** 0.8420 0.0023 0.8439
 Worst
  4/02–3/10 0.0040 0.8762 0.0030 0.8895 0.0067** 0.8078 0.0056** 0.8233 0.0057** 0.8766 0.0053** 0.8903
  4/10–3/18 − 0.0003 0.8710 0.0002 0.8889 − 0.0019 0.8566 − 0.0013 0.8446 − 0.0014 0.8815 − 0.0013 0.8895
 Best–worst
  4/02–3/10 0.0017 0.3875 0.0034* 0.2931 0.0010 0.1029 − 0.0014 0.0883 0.0008 0.3832 − 0.0002 0.3262
  4/10–3/18 0.0029 0.2537 0.0015 0.2737 0.0033 0.1174 − 0.0029*** 0.2917 0.0047** 0.1271 0.0035* 0.0759
Combined
 Best
  4/02–3/10 0.0004 0.8746 0.0021 0.8819 0.0059** 0.8089 0.0063** 0.8089 0.0046** 0.9044 0.0058** 0.9113
  4/10–3/18 0.0065 0.8946 0.0015 0.8909 − 0.0018 0.8559 − 0.0010 0.8581 − 0.0006 0.8984 − 0.0006 0.9142
 Worst
  4/02–3/10 0.0039 0.8806 0.0048* 0.8843 0.0067** 0.8289 0.0058** 0.8441 0.0088*** 0.8905 0.0084*** 0.8987
  4/10–3/18 0.0021 0.8226 0.0011 0.8954 0.0093** 0.8560 0.0018 0.8834 0.0033* 0.8335 0.0021 0.8737
 Best–worst
  4/02–3/10 − 0.0054*** 0.1895 − 0.0046** 0.1812 − 0.0027* 0.1291 − 0.0014 0.0883 − 0.0060*** 0.2206 − 0.0045*** 0.2128
  4/10–3/18 − 0.0016 0.2368 0.0002 0.3785 − 0.0059*** 0.3071 − 0.0029*** 0.2917 − 0.0041** 0.1694 − 0.0029** 0.1757
  1. This table shows the results of the Fama and French (2015) five-factor regression for portfolios from 2002 to 2018 on a monthly basis divided into two subperiods. The first subperiod dates from April 2002 to March 2010 and the second from April 2010 until April 2018. The regressions are calculated individually for each equally weighted portfolio based on a 10% and 20% cutoff of each score, market and portfolio set. The best (worst) portfolios consist of the 10% and 20% best (worst) rated companies regarding a particular score. The best–worst portfolios are long in the best-performing companies and short in the worst-performing ones. Monthly alphas and adj. \(R^2\) are reported upon. In order to estimate standard errors, we use the Newey and West (1987) procedure
  2. ***, ** and * indicate a significance level of 1%, 5% and 10%