Sample Selection Bias and Collinearity in Analyzing ESG Ratings and Stock Returns in Taiwan

Shit-Ti Yu (), Chih-Yi Chi and Yan-Yi Shen
Additional contact information
Shit-Ti Yu: Department of Quantitative Finance, National Tsing Hua University, 101, Section 2, Kuang-Fu Road, Hsinchu 300044, Taiwan
Chih-Yi Chi: Department of Finance, National Chung Hsing University, 145 Xingda Road, South District, Taichung City 402202, Taiwan
Yan-Yi Shen: Department of Quantitative Finance, National Tsing Hua University, 101, Section 2, Kuang-Fu Road, Hsinchu 300044, Taiwan

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2025, vol. 28, issue 02, 1-26

Abstract: The popularity of ESG investing has led to researches on whether the investment brings higher returns. In Taiwan, the CommonWealth Magazine, since 2007, has granted CSR awards to 100 companies each year. We test whether these companies give investors better returns. Since a firm’s participation in the competition is an endogenous variable, we first address the sample selection bias issue using Heckman’s (1979) two-stage regression. Although the coefficient of the inverse Mills’ ratio is insignificant, we find that there is collinearity in the Heckman regression. After removing the collinearity, we conclude that the returns of good ESG company are not higher than other companies.

Keywords: ESG; CSR; CSR awards; sample selection bias; collinearity (search for similar items in EconPapers)
JEL-codes: C21 C31 G11 Q54 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219091525500080
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:rpbfmp:v:28:y:2025:i:02:n:s0219091525500080

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219091525500080

Access Statistics for this article

Review of Pacific Basin Financial Markets and Policies (RPBFMP) is currently edited by Cheng-few Lee

More articles in Review of Pacific Basin Financial Markets and Policies (RPBFMP) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().