Table 2.

Correlated random effects model — ESG and downside risk (cVaR_0.01).

	Sample period
	2020	2018/19	2020	2018/19
	(1)	(2)	(3)	(4)
ESG (w)	0.0247**	0.00374
	(2.27)	(0.88)
ESG (b)	0.0616***	0.0711***
	(12.40)	(18.32)
Env (w)			−0.00261	0.00393
			(−0.24)	(1.14)
Soc (w)			0.00695	−0.000178
			(0.61)	(−0.05)
Gov (w)			−0.00548	0.00161
			(−0.39)	(0.34)
Env (b)			0.0230***	0.0198***
			(4.00)	(4.62)
Soc (b)			0.00827	0.00561
			(1.07)	(0.94)
Gov (b)			−0.0150*	0.0170**
			(−1.87)	(2.43)
Random stock effects	yes	yes	yes	yes
Fixed period effects	yes	yes	yes	yes
Fixed industry effects	yes	yes	yes	yes
Fixed country effects	yes	yes	yes	yes
Observations	45299	101719	21021	49212
No. stocks	4970	4899	2229	2342
R${}^2$	0.378	0.247	0.419	0.222
rho	0.516	0.737	0.498	0.702

Notes: Full table reported in the supplementary materials, see Table S2. Cluster-robust t statistics in parentheses. (w) denotes the within, (b) denotes the between estimate. rho indicates the fraction of variance due to stock random effects. * $p<0.10$, ** $p<0.05$, *** $p<0.01$.