Corporate cash value and ESG management: Panel data analyses of stock indices across countries

By conducting international panel-data regressions to investigate the determinants of listed companies’ average qs in 18 countries’ representative stock market indices over the period 2009–2019 in consideration of the companies’ market capitalization differences, I find that better social and governance management levels were associated with higher qs, and that corporate cash value was positively priced across the countries. This positive pricing of corporate cash was strengthened in countries with better environment, social, and governance management levels, and in those with higher R&D investments. Pricing was more positive in the United Kingdom than in the United States (U.S.) or Japan. It was weakened as national indices with greater market capitalization were downplayed more in the regression analysis. It was strengthened in the U.S. index in response to increasing passive index funds.