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Table 6 Alphas of equally and value-weighted 10% portfolios: regression based on high and low market capitalization

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

  Europe USA Global
High MC Low MC High MC Low MC High MC Low MC
EW VW EW VW EW VW EW VW EW VW EW VW
TR
 Best 0.0014 − 0.0017 0.0032 0.0021 0.0023* 0.0007 0.0050* 0.0035 0.0013 − 0.0016 0.0058** 0.0046**
 Worst 0.0003 − 0.0043 0.0079*** 0.0047*** 0.0005 − 0.0013 0.0064*** 0.0034* 0.0016 − 0.0011 0.0107*** 0.0057***
 Best–worst 0.0001 0.0016 − 0.0057*** − 0.0036* 0.0008 0.0009 − 0.0024 − 0.0009 − 0.0013 − 0.0016 − 0.0059*** − 0.0021*
Controversies
 Best 0.0020 0.0011 0.0078*** 0.0061*** 0.0007 0.0008 0.0077*** 0.0040* 0.0022** 0.0029* 0.0087*** 0.0061***
 Worst 0.0024 − 0.0011 0.0034 0.0007 0.0013 − 0.0005 0.0031 0.0012 0.0023* − 0.0002 0.0033 0.0019
 Best–worst − 0.0014 0.0012 0.0034 0.0044 − 0.0016 0.0002 0.0035 0.0018 − 0.0011 0.0020 0.0044** 0.0032*
Combined
 Best 0.0001 − 0.0047** 0.0025 0.0021 0.0014 0.0005 0.0047** 0.0030 − 0.0002 − 0.0020 0.0053** 0.0046**
 Worst − 0.0007 − 0.0025 0.0055** 0.0036* 0.0010 0.0015 0.0050* 0.0023 0.0016 − 0.0008 0.0085*** 0.0042***
 Best–worst − 0.0002 − 0.0032 − 0.0039** − 0.0025 − 0.0006 − 0.0021 − 0.0013 − 0.0003 − 0.0028** − 0.0022 − 0.0042** − 0.0007
  1. This table shows the alphas of the Fama and French (2015) five-factor regression for portfolios from 2002 to 2018 on a monthly basis. The regressions are calculated individually for each equally and value-weighted portfolio based on a 10% cutoff of each score, market and portfolio. The calculations are performed on the basis of our dataset divided by the median of the market capitalization. The best (worst) portfolios consist of the 10% 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 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%