Table 4.

Correlated random effects models — ESG and ESG risk and upside reward potential cVoR_0.01.

	Sample period
	2020	2018/19	2020	2018/19
	(1)	(2)	(3)	(4)
ESG (w)	−0.0258**	0.000448
	(−2.02)	(0.09)
ESG (b)	−0.0952***	−0.0978***
	(−16.57)	(−21.53)
ESGR risk rating (w)			0.0475***	−0.0202***
			(4.12)	(−2.88)
ESGR risk rating (b)			0.102***	0.101***
			(14.28)	(16.00)
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	46826	104428	48096	56286
No. stocks	5108	5037	5075	4956
R${}^2$	0.341	0.257	0.336	0.247
rho	0.561	0.769	0.557	0.804

Notes: See Table 2. Full table reported in the supplementary materials, see Table S4.