Table 5.

Robustness test sample splits: ESG and cVaR_0.01.

	Market capitalization		$\beta$		Dividend yield		P/E
	low	high	low	high	low	high	low	high
	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)
ESG (w)	0.0628***	0.00391	0.0195	0.0334**	0.0253	0.0284*	−0.00610	0.0413***
	(3.22)	(0.30)	(1.28)	(2.12)	(1.62)	(1.86)	(−0.36)	(2.59)
ESG (b)	−0.0122	0.0343***	0.0722***	0.0526***	0.0641***	0.0420***	0.0291***	0.0673***
	(−1.08)	(6.08)	(12.52)	(7.31)	(8.14)	(7.29)	(4.20)	(10.58)
Constant	−8.605***	−8.160***	−9.757***	−11.25***	−11.25***	−8.558***	−8.323***	−9.833***
	(−8.50)	(−13.54)	(−16.33)	(−14.76)	(−14.67)	(−8.85)	(−9.01)	(−16.58)
Observations	21446	23285	22566	21855	22026	22503	20104	19811
No. stocks	2453	2455	2443	2430	2446	2439	2205	2141
R${}^2$	0.394	0.415	0.394	0.417	0.357	0.435	0.437	0.380
rho	0.483	0.478	0.485	0.473	0.561	0.414	0.431	0.488
$p_{50}$	7.017	9.922	0.777	1.439	0.140	3.400	10.63	30.13

Notes: Sample year 2020. Sample split below and above the median of stock characteristic. Cluster-robust t statistics in parentheses. Random stock effects and Fixed time effects included. Industry and country effects included. (w) denotes the within, (b) denotes the between estimate. rho indicates the fraction of variance due to stock random effects. $p_{50}$ indicates the median values of the split variable in the subsample. * $p<0.10$, ** $p<0.05$, *** $p<0.01$.