Financial firm’s performance: a comparative analysis based on ESG metrics and net zero legislation

Figures & data

Figure 1. UCITS ETF’s historical returns.

Figure 2. ZPAB:TH ETF’s historical returns.

Figure 3. Green countries firm’s vs benchmark performance: utilities sector.

Table 1. Green countries vs Benchmark complying the HP1.

Sector	Best green country	Benchmark	Comply the HP1
Energy	Denmark: Vestas Wind Systems A/S	USA: Exxon Mobil Corp	Yes
Basic materials	Sweden: Svenska Cellulosa SCA AB	Uk: Linde PLC	Yes
Real estate	Uk: SEGRO PLC	USA: American Tower Corp	Yes
Utilities	Sweden: Minesto AB	USA: Nextera Energy Inc	Yes
Health care	New Zealand: Fisher & Paykel Healthcare Corporation Ltd	USA: Johnson & Johnson	Yes
Industrials	Denmark: DSV Panalpina A/S	USA: Boeing Co	Yes
Consumer cyclicals	Denmark: Rockwool International A/S	USA: Amazon	Yes
Consumer non cyclicals	France: L’Oreal SA	USA: Berkshire Hathaway Inc	Yes
Financials	Sweden: Investor AB	USA: JPMorgan Chase & Co	Yes
Technology	Sweden: Telefonaktiebolaget LM Ericsson	USA: Apple Inc	Yes

Source: Authoŕs own from Refinitiv database, 2021.

Table 2. Descriptive statistics data for variables.

	Mean	Standard deviation	Minimum	Maximum
Total annual return	15.99%	32.51%	- 76.13%	278.44%
Market Cap USD	$ 82,933,367,618	$ 189,561,532,886	$ 25,529,704	$ 1.205 E12
ESG Combined Score	55.39	18.18	7.04	93.51
ESG Controversies Score	73.23	35.99	0.67	100
Environmental Pillar Score	61.55	27.43	0.00	92.72
Social Pillar Score	64.57	22.58	2.37	97.24
Governance Pillar Score	62.07	22.08	6.79	99.25

Source: Authoŕs own from Refinitiv database, 2021.

Figure 4. Histogram of ESG combined scores: green countries vs Benchmark.

Table 3. Correlations at 95% confidence interval.

	ESG Combined Score	ESG Controversies Score	Environmental Pillar Score	Social Pillar Score
ESG Controversies Score	0.341
Environmental Pillar Score	0.679	−0.224
Social Pillar Score	0.688	−0.268	0.735
Governance Pillar Score	0.396	−0.261	0.295	0.339

Source: Authoŕs own from Refinitiv database, 2021.

Figure 5. Interval and mean plot of ESG combined score.

Table 4. Pooled OLS Model.

Coefficient	Estimate	Std. Error	t-value	p-value
Intercept (Denmark)	−27.4002	1.1645	−23.5281	2.16 × 10^−16
ESGC	0.3336	0.0064	51.6906	2.16 × 10^−16
ENV	0.2601	0.0104	24.8499	2.16 × 10^−16
SOC	0.4236	0.0125	33.773	2.16 × 10^−16
GOV	0.2605	0.0091	28.4836	2.16 × 10^−16
France	−1.2779	0.5906	−2.1636	0.0308
Hungary	−1.0416	0.8096	−1.2865	0.1987
New Zeeland	−1.2654	0.7114	−1.7786	0.0757
Sweeden	−2.1035	0.6367	−3.3039	0.001
UK	−2.5908	0.6296	−4.1145	4.398 × 10-5
Adj. R sqrd	0.9297
F-stat (p-value)	2.22 × 10^−16

Source: Authoŕs own from database, 2021.

Table 5. First difference model.

Coefficient	Estimate	Std. Error	t-value	p-value
Intercept	−0.1739	0.2314	−0.7514	0.4527
ESGC	0.2895	0.0077	37.4228	2.16 × 10^−16
ENV	0.2543	0.0243	10.4524	2.16 × 10^−16
SOC	0.41	0.0251	16.3228	2.16 × 10^−16
GOV	0.2619	0.0166	15.6846	2.16 × 10^−16
Adj. R sqrd	0.7844
F-stat (p-value)	2.22 × 10^−16

Source: Author’s own from database, 2021.

Table 6. Fixed effects model.

Coefficient	Estimate	Std. Error	t-value	p-value
ESGC	0.3089	0.0077	39.759	2.16 × 10^−16
ENV	0.2314	0.0153	15.071	2.16 × 10^−16
SOC	0.3996	0.0142	28.121	2.16 × 10^−16
GOV	0.288	0.013	22.04	2.16 × 10^−16
Adj. R sqrd	0.8793
F-stat (p-value)	2.22 × 10^−16

Source: Author’s own from database, 2021.

Table 7. Random effects model.

Coefficient	Estimate	Std. Error	t-value	p-value
Intercept (Denmark)	−24.735	1.4357	−17.2285	2.16 × 10^−16
ESGC	0.3168	0.0072	43.9952	2.16 × 10^−16
ENV	0.2453	0.013	18.7502	2.16 × 10^−16
SOC	0.4063	0.0133	30.466	2.16 × 10^−16
GOV	0.2775	0.0112	24.5947	2.16 × 10^−16
France	−1.4941	1.1535	−1.2952	0.1952
Hungary	−1.6489	1.466	−1.1248	0.2606
New Zeeland	−2.2844	1.2414	−1.8401	0.0657
Sweeden	−2.5099	1.209	−2.0761	0.0378
UK	−3.0182	1.2017	−2.5115	0.012
Adj. R sqrd	90
F-stat (p-value)	2.22 × 10^−16

Source: Authoŕs own from database, 2021.