Table 6.

Robustness test sample splits: ESG risk 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 risk (w)	−0.0440***	−0.0385***	−0.0490***	−0.0280**	−0.0235	−0.0457***	−0.0328**	−0.0525***
	(−3.00)	(−2.92)	(−3.47)	(−2.08)	(−1.62)	(−3.46)	(−2.29)	(−3.74)
ESG risk (b)	−0.0193*	−0.0572***	−0.0701***	−0.0637***	−0.0730***	−0.0490***	−0.0541***	−0.0661***
	(−1.94)	(−7.30)	(−10.04)	(−7.08)	(−7.98)	(−6.82)	(−6.34)	(−8.15)
Constant	−8.357***	−3.839***	−2.687***	−5.563***	−4.527***	−4.105***	−4.465***	−3.348***
	(−8.78)	(−6.86)	(−5.12)	(−8.35)	(−6.65)	(−4.55)	(−5.29)	(−6.15)
Observations	22336	23693	23195	22535	22625	23160	20744	20382
No. stocks	2416	2462	2427	2418	2421	2431	2199	2129
R${}^2$	0.393	0.418	0.389	0.418	0.361	0.432	0.441	0.373
rho	0.483	0.474	0.488	0.465	0.552	0.419	0.431	0.489
$p_{50}$	7.060	9.927	0.779	1.436	0.150	3.390	10.62	30.13

Notes: See Table 5.