Forecasting the Environmental, Social, and Governance Rating of Firms by Using Corporate Financial Performance Variables: A Rough Set Approach
Abstract
:1. Introduction
2. Materials and Methods
2.1. Rough Sets
2.2. Data
- ROA: Return on assets
- EPS: Earnings per share
- Size: Market capitalization (in euros)
- D/E: Debt to equity ratio
- Beta: Coefficient Beta, which measures the stock’s volatility in relation to the market
- Vol: Trading volume, the amount of securities that were traded during the year
- Sector: Variable that indicates the firm sector
3. Results
4. Conclusions
Author Contributions
Funding
Conflicts of Interest
Abbreviations
ESG | Environmental, social, and governance |
CFP | Corporate financial performance |
CSP | Corporate social performance |
CSR | Corporate social responsibility |
ROA | Return on assets |
ROE | Return on equity |
ROS | Return on sales |
Appendix A
- = logarithm of the market capitalization of the firm (in euros)
- .
- , with return of the firm i, with return of the market, covariance between the return of the firm i and the return of the market, and the variance of the returns of the market.
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Attribute | Mean | St. Deviation | Min | Max |
---|---|---|---|---|
ROA | 0.041 | 0.055 | −0.401 | 0.480 |
Ln(SIZE) | 22.59 | 1.337 | 15.79 | 26.18 |
EPS | 5.325 | 76.125 | −128.543 | 3121.872 |
D/E | 0.439 | 2.600 | 0.000 | 104.875 |
Beta | 0.883 | 0.350 | −0.081 | 2.438 |
Vol | 27.10 | 13.22 | 8.53 | 213.50 |
Materials | 0.115 | 0.319 | 0 | 1 |
Consumer | 0.227 | 0.419 | 0 | 1 |
Financial | 0.165 | 0.371 | 0 | 1 |
Healthcare | 0.069 | 0.254 | 0 | 1 |
Industrial | 0.195 | 0.397 | 0 | 1 |
Technology | 0.068 | 0.252 | 0 | 1 |
Others | 0.165 | 0.367 | 0 | 1 |
Attribute | ||||
---|---|---|---|---|
ROA | −0.401 | 0.022 | 0.054 | 0.480 |
Ln(SIZE) | 15.791 | 22.046 | 23.134 | 26.177 |
EPS | −14.885 | 1.420 | 3.732 | 3,121.872 |
D/E | 0.000 | 0.199 | 0.426 | 104.875 |
Beta | −0.081 | 0.731 | 0.967 | 2.438 |
Vol | 8.529 | 20.866 | 28.801 | 213.500 |
Attribute | Rule 1 | Rule 2 | Rule 3 | Rule 4 |
---|---|---|---|---|
ROA | [−0.401, 0.022) | [−0.401, 0.022) | [−0.401, 0.022) | [0.022, 0.054) |
Ln(SIZE) | [15.791, 22.046) | [15.791, 22.046) | [15.791, 22.046) | [15.791, 22.046) |
EPS | [−14.885, 1.420) | [−14.885, 1.420) | [−14.885, 1.420) | [−14.885, 1.420) |
D/E | [0.000, 0.199) | [0.000, 0.199) | [0.000, 0.199) | [0.000, 0.199) |
Beta | [0.731, 0.967) | [0.731, 0.967) | [0.967, 2.438] | [0.967, 2.438] |
Vol | [20.866, 28.801) | [28.801, 213.500] | [28.801, 213.500] | [28.801, 213.500] |
Materials | [0,1) | [0,1) | [0,1) | [1,1] |
Consumer | [0,1) | [0,1) | [0,1) | [0,1) |
Financials | [0,1) | [0,1) | [0,1) | [0,1) |
Industrials | [0,1) | [0,1) | [0,1) | [0,1) |
Technology | [0,1) | [0,1) | [0,1) | [0,1) |
Others | [0,1) | [0,1) | [0,1) | [0,1) |
ESG group | 2 | 2 | 2 | 1 |
Estimate | Std. Error | t Value | p-Value | |
---|---|---|---|---|
(Intercept) | −65.649527 | 6.819537 | −9.627 | < *** |
ROA | −46.243597 | 6.506146 | −7.108 | *** |
‘LN(SIZE)’ | 5.657986 | 0.285209 | 19.838 | < *** |
EPS | 0.004602 | 0.004368 | 1.054 | 0.2922 |
‘D/EV’ | 0.188848 | 0.128607 | 1.468 | 0.1422 |
BETA | 6.346268 | 1.066307 | 5.952 | *** |
VOL | −0.060161 | 0.030450 | −1.976 | 0.0483 * |
MAT | −0.990511 | 1.620322 | −0.611 | 0.5411 |
CONS | 0.807097 | 1.452881 | 0.556 | 0.5786 |
FINANC | −1.325852 | 1.525423 | −0.869 | 0.3849 |
INDU | −1.075244 | 1.475448 | −0.729 | 0.4663 |
TECH | 0.342110 | 1.815740 | 0.188 | 0.8506 |
OTHERS | −1.845143 | 1.513648 | −1.219 | 0.2230 |
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García, F.; González-Bueno, J.; Guijarro, F.; Oliver, J. Forecasting the Environmental, Social, and Governance Rating of Firms by Using Corporate Financial Performance Variables: A Rough Set Approach. Sustainability 2020, 12, 3324. https://doi.org/10.3390/su12083324
García F, González-Bueno J, Guijarro F, Oliver J. Forecasting the Environmental, Social, and Governance Rating of Firms by Using Corporate Financial Performance Variables: A Rough Set Approach. Sustainability. 2020; 12(8):3324. https://doi.org/10.3390/su12083324
Chicago/Turabian StyleGarcía, Fernando, Jairo González-Bueno, Francisco Guijarro, and Javier Oliver. 2020. "Forecasting the Environmental, Social, and Governance Rating of Firms by Using Corporate Financial Performance Variables: A Rough Set Approach" Sustainability 12, no. 8: 3324. https://doi.org/10.3390/su12083324
APA StyleGarcía, F., González-Bueno, J., Guijarro, F., & Oliver, J. (2020). Forecasting the Environmental, Social, and Governance Rating of Firms by Using Corporate Financial Performance Variables: A Rough Set Approach. Sustainability, 12(8), 3324. https://doi.org/10.3390/su12083324