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Table 9 Rank-weighted 20% 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 0.0018 0.8884 0.0016 0.8214 0.0024* 0.9012
 Worst 0.0049*** 0.8853 0.0041** 0.8455 0.0069*** 0.8728
 Best–worst − 0.0042*** 0.4182 − 0.0035*** 0.4105 − 0.0056*** 0.1868
Controversies
 Best 0.0053*** 0.8838 0.0046** 0.8128 0.0057*** 0.8789
 Worst 0.0022 0.8772 0.0016 0.8311 0.0022 0.8804
 Best–worst 0.0021* 0.3409 0.0020 0.1333 0.0025** 0.2523
Combined
 Best 0.0015 0.8831 0.0022 0.8184 0.0023* 0.9056
 Worst 0.0041** 0.8738 0.0036** 0.8416 0.0058*** 0.8729
 Best–worst − 0.0036*** 0.2667 − 0.0025*** 0.1275 − 0.0045*** 0.1019
  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 20% cutoff of each score, market and portfolio set. The best (worst) portfolios consist of the 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%