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Table 7 Rank-weighted 10% portfolios: regressions based on the three observed markets

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

  Europe USA Global
Alpha Adj. \(R^{2}\) Alpha Adj. \(R^{2}\) Alpha Adj. \(R^{2}\)
TR
 Best 0.0020 0.8718 0.0017 0.7899 0.0022 0.8918
 Worst 0.0057*** 0.8716 0.0047** 0.8189 0.0077*** 0.8502
 Best–worst − 0.0047*** 0.3329 − 0.0040*** 0.3344 − 0.0065*** 0.1627
Controversies
 Best 0.0064*** 0.8575 0.0062*** 0.7957 0.0079*** 0.8777
 Worst 0.0031* 0.8541 0.0014 0.8216 0.0027 0.8667
 Best–worst 0.0023 0.3216 0.0038** 0.2049 0.0042*** 0.2429
Combined
 Best 0.0010 0.8761 0.0017 0.8177 0.0018 0.9021
 Worst 0.0046** 0.8436 0.0040* 0.8163 0.0063*** 0.8515
 Best–worst − 0.0045** 0.2231 − 0.0033*** 0.1522 − 0.0056*** 0.0992
  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. The regressions are calculated individually for each rank-weighted portfolio based on a 10% cutoff of each score, market and portfolio set. 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 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%