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

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