Online Appendix of 'New Stories From Old Data? Evidence From a Novel KLD Measure of Relative Environmental Responsibility'

24 Pages Posted: 10 Mar 2020 Last revised: 4 Nov 2021

See all articles by Gabriele Lattanzio

Gabriele Lattanzio

The University of Melbourne, Faculty of Business and Economics, Department of Economics

Lubomir P. Litov

University of Oklahoma - Michael F. Price College of Business; University of Pennsylvania - Wharton Financial Institutions Center

Date Written: September 25, 2021

Abstract

This appendix contains supplementary material to the analyses reported in the paper. Appendix Section I presents the variation in the principal KLD-based measures of corporate social responsibility. Appendix Section II defines the key variables. Appendix Section III reports a summary of the most commonly-used KLD-based measures of corporate social responsibility engagements. Appendix Section IV documents that the commonly used definition of Toxic and Green firms based on KLD data is unlikely to capture a size effect, exclusively. Appendix Section V reports a detailed description of the mathematical derivation of the Relative Social Responsibility Score (RSR Score hereinafter). Appendix Section VI reports an augmented version of Table III in which firm-year observations not included in the TRI dataset are assumed to have zero toxic-emissions. Appendix Section VII reports a replication of Table III, Panel C, in the paper, in which we orthogonalize commonly-used CSR scores against the RSR score, and we regress firms’ toxic emissions on the former and the resulting residuals. Appendix Section VIII replicates our Tobin’s Q results in Table VI by using the Total Q measure developed in Peters and Taylor (2017). Appendix Section IX reports a replication of Table VI in which we orthogonalize commonly-used CSR scores against the RSR score, and we regress Tobin’s Q on the former and the relevant residuals. Finally, Section X includes an orthogonalization test for the materiality-based RSR score and other commonly-used CSR scores in the framework of our baseline Tobin’s Q regression

Keywords: Corporate Social Responsibility; ESG (Environmental, Social, Governance) Performance; KLD Data; Ratings; Performance Measurement; Competitive Advantage; Reputational Capital; Sustainability

JEL Classification: M14; G30; G32

Suggested Citation

Lattanzio, Gabriele and Litov, Lubomir P., Online Appendix of 'New Stories From Old Data? Evidence From a Novel KLD Measure of Relative Environmental Responsibility' (September 25, 2021). Available at SSRN: https://ssrn.com/abstract=3531448 or http://dx.doi.org/10.2139/ssrn.3531448

Gabriele Lattanzio

The University of Melbourne, Faculty of Business and Economics, Department of Economics ( email )

Level 4, Faculty of Business and Economics
111 Barry Street
Carlton, VIC 3010
Australia

Lubomir P. Litov (Contact Author)

University of Oklahoma - Michael F. Price College of Business ( email )

307 West Brooks
Norman, OK 73019-4004
United States

University of Pennsylvania - Wharton Financial Institutions Center

2306 Steinberg Hall-Dietrich Hall
3620 Locust Walk
Philadelphia, PA 19104
United States

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