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Table 3C Pearson Correlation H3 (EIR measurement)
EIR ESG SIZE LEV ROE CFO GDP
EIR 1.0000
ESG -0.1550** 1.0000
SIZE -0.2563** 0.2756** 1.0000
LEV -0.0973* 0.0558 0.3257** 1.0000
ROE -0.1366** 0.0872* -0.178** 0.0747 1.0000
CFO -0.0873* 0.1108** -0.2460** -0.1107** 0.5945** 1.0000
GDP 0.2132** -0.136** 0.0293 -0.0159** 0.0001 -0.023 1.0000
**Correlation is significant at the 0.01 level (2-tailed)
*Correlation is significant at the 0.05 level (2-tailed)
Table 4 reports the regression results of the research model H1, H2, and H3 and Table 5 reports the regression results of
country-by-country as explained.
Table 4 Pooled Regressions of ESG disclosure on Cost of Debt
COD it+1 = α+β1 ESGit + β2 Sizeit + β3 Levit + β4 ROE it + β5 CFOit + β6 GDPit + β7Year + β8 Country + ε it
YTM it+1 = α+β1 ESGit + β2 Sizeit + β3 Levit + β4 ROE it + β5 CFOit + β6 GDPit + β7Year + β8 Country + ε it
EIR it+1 = α+β1 ESGit + β2 Sizeit + β3 Levit + β4 ROE it + β5 CFOit + β6 GDPit + β7Year + β8 Country + ε i
Model H1 Model H2 Model H1
COD Expected YTM Expected EIR Expected
Sign Coef. Prob. Sign Coef. Prob. Sign Coef. Prob.
ESG - 0.0100 0.0045 ESG - 0.0287 0.0055 ESG - 0.0095 0.0810
SIZE - 0.000 0.4795 SIZE - -0.0019 0.1145 SIZE - -0.0003 0.3585
LEV + 0.0066 0.0555* LEV + 0.0429 0.0000*** LEV + 0.0051 0.2010
ROE - 0.0124 0.1070 ROE - -0.0151 0.1085 ROE - 0.0041 0.3365
CFO - -0.0210 0.0705* CFO - 0.0033 0.4330 CFO - -0.0320 0.021**
GDP - 0.0487 0.2630 GDP - 0.1649 0.3305 GDP - 0.2750 0.0135
_cons - 0.0671 0.0000*** _cons - 0.0573 0.013*** _cons - 0.0922 0.0000***
Adj 0.6909 Adj 0.7500 Adj R-square 0.6646
R-square 0.0000 R-square 0.0000 Prob. F 0.0000
Prob. F Prob. F
Remark ;
COD: Weighted Average cost of Debt (after tax) of company i in year t+1; YTM: Yield to Maturity of Corporate Bonds of company i in year t+1; EIR: Proxy of Effective Interest
Rate of bank loan of company i in year t+1; ESG: Total ESG Disclosure Score of company i in year t; SIZE: Natural Log of Total Assets of company i in year t in million USD; LEV:
Leverage company i in t in %; ROE: Firm’s profitability i in year t in %; CFO: Ratio of Operating Cash Flow to Totakl Assets of company i in year t; GDP: Country GDP Growth of
company in year t.
***. significant at α = 1% (one-tailed)
**. significant at α = 5% (one-tailed)
*. significant at α = 10% (one-tailed)
Table 5 Pooled Regressions of ESG disclosure on Cost of Debt by country
ID SG MY PH TH
COD Expected Expected Expected Expected Expected
Sign Coef. Prob. Sign Coef. Prob. Sign Coef. Prob. Sign Coef. Prob. Sign Coef. Prob.
ESG - 0.0277 0.175 - 0.0078 0.0105 - -0.0023 0.42 - 0.0235 0.0015 - 0.0021 0.2625
SIZE - 0.0003 0.4330 - -0.0005 0.1875 - 0.0021 0.0530 - -0.0039 0.0025*** - 0.0002 0.3085
LEV + 0.0077 0.1815 + -0.0033 0.2090 + 0.0235 0.0045*** + -0.0038 0.3405 + 0.0033 0.1835
ROE - 0.0268 0.1095 - 0.0103 0.1015 - -0.0113 0.1665 - -0.0225 0.022** - 0.0106 0.0075
CFO - -0.0403 0.1040 - -0.0154 0.0890 - -0.0012 0.4740 - 0.0021 0.4605 - 0.0008 0.4370
_cons - 0.0759 0.0000*** - 0/0278 0.0000*** - 0.0029 0.7830 - 0.0547 0.000*** - 0.0187 0.000***
Adj 0.2320 0.1622 0.1717 0.3029 0.2831
R-square 0.0000 0.0068 0.0023 0.0008 0.0000
Prob. F
Remark ;
COD: Weighted Average cost of Debt (after tax) of company i in year t+1; YTM: Yield to Maturity of Corporate Bonds of company i
in year t+1; EIR: Proxy of Effective Interest Rate of bank loan of company i in year t+1; ESG: Total ESG Disclosure Score of company
i in year t; SIZE: Natural Log of Total Assets of company i in year t in million USD; LEV: Leverage company i in t in %; ROE: Firm’s
profitability i in year t in %; CFO: Ratio of Operating Cash Flow to Totakl Assets of company i in year t; GDP: Country GDP Growth
of company in year t.
***. significant at α = 1% (one-tailed)
**. significant at α = 5% (one-tailed)
*. significant at α = 10% (one-tailed)
International Conference on Sustainability 57
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