Araştırma Makalesi
BibTex RIS Kaynak Göster

ESG Reytingleri Hisse Fiyatlarını Etkiler Mi? Gelişmiş ve Gelişen Hisse Senedi Piyasaları Örneği

Yıl 2024, Cilt: 32 Sayı: 60, 243 - 258, 28.04.2024

Yavuz Gül Ceren Altuntaş

https://doi.org/10.17233/sosyoekonomi.2024.02.12

Öz

Bu çalışmada, ESG skorlarının hisse senedi getirileri üzerindeki rolü araştırılmaktadır. Gelişmiş ve gelişen hisse senedi piyasasından toplam 347 şirketin 2010-2022 dönemi verileri kullanılmıştır. Aktif kârlılığı, kaldıraç oranı, piyasa değeri / defter değeri ve fiyat / kazanç oranları kontrol değişkenleri olarak belirlenmiş ve panel regresyon analizi uygulanmıştır. Sonuçlar, ESG skorunun ve aktif kârlılığının hisse senedi piyasası performansını istatistiksel olarak anlamlı ve pozitif etkilediklerini ortaya koymuştur. ESG bileşenleri ayrı ayrı test edildiklerinde, E (çevresel) ve S (sosyal) skorlarının hisse fiyatları üzerinde olumlu etkilerinin bulunduğu fakat G (kurumsal yönetişim) skoru ile getiriler arasında anlamlı bir ilişkinin olmadığı gözlemlenmiştir. Sağlanan sonuçlar, yatırımcıların çevresel, sosyal ve yönetişim faaliyetlerine değer veren şirketlerin hisselerine yatırım yaparak portföy performanslarını artırabileceklerini işaret ederken, özellikle gelişen piyasalardaki şirketlerin ESG uygulamalarını ön planda tutarak piyasa değerlerini yükseltebileceklerini göstermektedir.

Anahtar Kelimeler

ESG Sürdürülebilirlik Hisse Senedi Piyasası Portföy Yönetimi Panel Veri Analizi

Kaynakça

  • Alareeni, B.A. & A. Hamdan (2020), “ESG Impact on Performance of US S&P 500-listed Firms”, Corporate Governance, 20(7), 1409-1428.
  • Amel-Zadeh, A. & G. Serafeim (2018), “Why and How Investors Use ESG Information: Evidence from a Global Survey”, Financial Analysts Journal, 74(3), 87-103.
  • Azmi, W. et al. (2021), “ESG Activities and Banking Performance: International Evidence from Emerging Economies”, Journal of International Financial Markets, Institutions & Money, 70, 101277.
  • Blundell, R. & S. Bond (1998), “Initial Conditions and Moment Restrictions in Dynamic Panel Data Models”, Journal of Econometrics, 87(1), 115-143.
  • Brandon, R.G. et al. (2021), “ESG Rating Disagreement and Stock Returns”, Financial Analysts Journal, 77(4), 104-127.
  • Breusch, T.S. & A.R. Pagan (1980), “The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics”, The Review of Economic Studies, 47(1), 239-253.
  • Broadstock, D.C. et al. (2021), “The Role of ESG Performance during Times of Financial Crisis: Evidence from COVID-19 in China”, Finance Research Letters, 38, 101716.
  • Buallay, A. (2019), “Is Sustainability Reporting (ESG) Associated with Performance? Evidence from the European Banking Sector”, Management of Environmental Quality, 30(1), 98-115.
  • Capelle-Blancard, G. & A. Petit (2019), “Every Little Helps? ESG News and Stock Market Reaction”, Journal of Business Ethics, 157, 543-565.
  • Çetenak, E.H. et al. (2022), “ESG (Çevresel, Sosyal ve Kurumsal Yönetim) Skorunun Firma Performansına Etkisi: Türk Bankacılık Sektörü Örneği”, EÜ İİBF Dergisi, 63, 75-82.
  • Deng, X. & X. Cheng (2019), “Can ESG Indices Improve the Enterprises’ Stock Market Performance? - An Empirical Study from China”, Sustainability, 11(17), 1-13.
  • Díaz, V. et al. (2021), “Reconsidering Systematic Factors during the Covid-19 Pandemic - The Rising Importance of ESG”, Finance Research Letters, 38, 101870.
  • Dorfleitner, G. et al. (2015), “Measuring the Level and Risk of Corporate Responsibility - An Empirical Comparison of Different ESG Rating Approaches”, Journal of Asset Management, 16, 450-466.
  • Drempetic, S. et al. (2020), “The Influence of Firm Size on the ESG Score: Corporate Sustainability Ratings Under Review”, Journal of Business Ethics, 167, 333-360.
  • Duque-Grisales, E. & J. Aguilera-Caracuel (2021), “Environmental, Social and Governance (ESG) Scores and Financial Performance of Multilatinas: Moderating Effects of Geographic International Diversification and Financial Slack”, Journal of Business Ethics, 168, 315-334.
  • El Khoury, R. et al. (2023), “ESG and Financial Performance of Banks in the MENAT Region: Concavity-Convexity Patterns”, Journal of Sustainable Finance & Investment, 13(1), 406-430.
  • Eliwa, Y. et al. (2021), “ESG Practices and the Cost of Debt: Evidence from EU Countries”, Critical Perspectives on Accounting, 79, 102097.
  • Engelhardt, N. et al. (2021), “ESG Ratings and Stock Performance during the COVID-19 Crisis”, Sustainability, 13(13), 7133.
  • Feng, J. et al. (2022), “ESG Rating and Stock Price Crash Risk: Evidence from China”, Finance Research Letters, 46, 102476.
  • Halbritter, G. & G. Dorfleitner (2015), “The Wages of Social Responsibility - Where Are They? A Critical Review of ESG Investing”, Review of Financial Economics, 26, 25-35.
  • Hausman, J.A. (1978), “Specification Tests in Econometrics”, Econometrica, 46(6), 1251-1271.
  • Keçeli, B. & S. Çankaya (2020), “ESG ve Finansal Verilerin Pay Değerine Etkisi: Kuzey ve Latin Avrupa Ülkeleri Üzerine Bir Çalışma”, İstanbul Ticaret Üniversitesi Girişimcilik Dergisi, 4(7), 31-49.
  • Kim, S. & Z. Li (2021), “Understanding the Impact of ESG Practices in Corporate Finance”, Sustainability, 13(7), 3746.
  • La Torre, M. et al. (2020), “Does the ESG Index Affect Stock Return? Evidence from the Eurostoxx50”, Sustainability, 12(16), 6387.
  • Lokuwaduge, C.S.D.S. & K. Heenetigala (2017), “Integrating Environmental, Social and Governance (ESG) Disclosure for a Sustainable Development: An Australian Study”, Business Strategy and the Environment, 26(4), 438-450.
  • Luo, D. (2022), “ESG, Liquidity, and Stock Returns”, Journal of International Financial Markets, Institutions & Money, 78, 101526.
  • Mohammad, W.M.W. & S. Wasiuzzaman (2021), “Environmental, Social and Governance (ESG) Disclosure, Competitive Advantage and Performance of Firms in Malaysia”, Cleaner Environmental Systems, 2, 100015.
  • Pesaran, M.H. (2004), “General Diagnostic Tests for Cross Section Dependence in Panels”, IZA Discussion Paper Series, No: 1240.
  • Refinitiv (2022), Environmental, Social and Governance Scores from Refinitiv, <https://www.lseg.com/content/dam/marketing/en_us/documents/methodology/refinitiv-esg-scores-methodology.pdf>, 25.05.2023.
  • Serafeim, G. & A. Yoon (2023), “Stock Price Reactions to ESG News: The Role of ESG Ratings and Disagreement”, Review of Accounting Studies, 28, 1500-1530.
  • Shakil, M.H. (2021), “Environmental, Social and Governance Performance and Financial Risk: Moderating Role of ESG Controversies and Board Gender Diversity”, Resources Policy, 72, 102144.
  • Shanaev, S. & B. Ghimire (2022), “When ESG Meets AAA: The Effect of ESG Rating Changes on Stock Returns”, Finance Research Letters, 46(A), 102302.
  • Shapiro, S.S. & M.B. Wilk (1965), “An Analysis of Variance Test for Normality (Complete Samples)”, Biometrika, 52(3/4), 591-611.
  • Şişman, M.E. & S. Çankaya (2021), “Çevresel, Sosyal ve Kurumsal Yönetişim (ESG) Verilerinin Firmaların Finansal Performansına Etkisi: Hava Yolu Sektörü Üzerine Bir Çalışma”, Çukurova Üniversitesi İİBF Dergisi, 25(1), 73-91.
  • Wooldridge, J.M. (2002), Econometric Analysis of Cross Section and Panel Data, Cambridge, MA: MIT Press.

Do ESG Ratings Affect Stock Prices? The Case of Developed and Emerging Stock Markets

Yıl 2024, Cilt: 32 Sayı: 60, 243 - 258, 28.04.2024

Yavuz Gül Ceren Altuntaş

https://doi.org/10.17233/sosyoekonomi.2024.02.12

Öz

This paper examines the role of ESG ratings on stock returns. The sample covers 347 companies from 2010 to 2022 from advanced and emerging stock markets. Return on assets, debt to equity, price-to-book ratio, and price-to-earnings ratio were used as control variables, and panel regression analysis was employed. Results revealed that ESG rating and return on assets statistically positively influence stock market performance. When the components of ESG were tested individually, it was observed that E (environmental) and S (social) ratings positively affect the stock prices. However, no significant relationship was found between G (corporate governance) rating and returns. These findings indicate the importance of investing in stocks and prioritising environmental, social, and governmental concerns regarding portfolio selection decisions. Findings also provide new sights and show that firms, especially in emerging markets, might enhance their market values by paying attention to ESG practices.

Anahtar Kelimeler

ESG Sustainability Stock Market Portfolio Management Panel Data Analysis

Kaynakça

  • Alareeni, B.A. & A. Hamdan (2020), “ESG Impact on Performance of US S&P 500-listed Firms”, Corporate Governance, 20(7), 1409-1428.
  • Amel-Zadeh, A. & G. Serafeim (2018), “Why and How Investors Use ESG Information: Evidence from a Global Survey”, Financial Analysts Journal, 74(3), 87-103.
  • Azmi, W. et al. (2021), “ESG Activities and Banking Performance: International Evidence from Emerging Economies”, Journal of International Financial Markets, Institutions & Money, 70, 101277.
  • Blundell, R. & S. Bond (1998), “Initial Conditions and Moment Restrictions in Dynamic Panel Data Models”, Journal of Econometrics, 87(1), 115-143.
  • Brandon, R.G. et al. (2021), “ESG Rating Disagreement and Stock Returns”, Financial Analysts Journal, 77(4), 104-127.
  • Breusch, T.S. & A.R. Pagan (1980), “The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics”, The Review of Economic Studies, 47(1), 239-253.
  • Broadstock, D.C. et al. (2021), “The Role of ESG Performance during Times of Financial Crisis: Evidence from COVID-19 in China”, Finance Research Letters, 38, 101716.
  • Buallay, A. (2019), “Is Sustainability Reporting (ESG) Associated with Performance? Evidence from the European Banking Sector”, Management of Environmental Quality, 30(1), 98-115.
  • Capelle-Blancard, G. & A. Petit (2019), “Every Little Helps? ESG News and Stock Market Reaction”, Journal of Business Ethics, 157, 543-565.
  • Çetenak, E.H. et al. (2022), “ESG (Çevresel, Sosyal ve Kurumsal Yönetim) Skorunun Firma Performansına Etkisi: Türk Bankacılık Sektörü Örneği”, EÜ İİBF Dergisi, 63, 75-82.
  • Deng, X. & X. Cheng (2019), “Can ESG Indices Improve the Enterprises’ Stock Market Performance? - An Empirical Study from China”, Sustainability, 11(17), 1-13.
  • Díaz, V. et al. (2021), “Reconsidering Systematic Factors during the Covid-19 Pandemic - The Rising Importance of ESG”, Finance Research Letters, 38, 101870.
  • Dorfleitner, G. et al. (2015), “Measuring the Level and Risk of Corporate Responsibility - An Empirical Comparison of Different ESG Rating Approaches”, Journal of Asset Management, 16, 450-466.
  • Drempetic, S. et al. (2020), “The Influence of Firm Size on the ESG Score: Corporate Sustainability Ratings Under Review”, Journal of Business Ethics, 167, 333-360.
  • Duque-Grisales, E. & J. Aguilera-Caracuel (2021), “Environmental, Social and Governance (ESG) Scores and Financial Performance of Multilatinas: Moderating Effects of Geographic International Diversification and Financial Slack”, Journal of Business Ethics, 168, 315-334.
  • El Khoury, R. et al. (2023), “ESG and Financial Performance of Banks in the MENAT Region: Concavity-Convexity Patterns”, Journal of Sustainable Finance & Investment, 13(1), 406-430.
  • Eliwa, Y. et al. (2021), “ESG Practices and the Cost of Debt: Evidence from EU Countries”, Critical Perspectives on Accounting, 79, 102097.
  • Engelhardt, N. et al. (2021), “ESG Ratings and Stock Performance during the COVID-19 Crisis”, Sustainability, 13(13), 7133.
  • Feng, J. et al. (2022), “ESG Rating and Stock Price Crash Risk: Evidence from China”, Finance Research Letters, 46, 102476.
  • Halbritter, G. & G. Dorfleitner (2015), “The Wages of Social Responsibility - Where Are They? A Critical Review of ESG Investing”, Review of Financial Economics, 26, 25-35.
  • Hausman, J.A. (1978), “Specification Tests in Econometrics”, Econometrica, 46(6), 1251-1271.
  • Keçeli, B. & S. Çankaya (2020), “ESG ve Finansal Verilerin Pay Değerine Etkisi: Kuzey ve Latin Avrupa Ülkeleri Üzerine Bir Çalışma”, İstanbul Ticaret Üniversitesi Girişimcilik Dergisi, 4(7), 31-49.
  • Kim, S. & Z. Li (2021), “Understanding the Impact of ESG Practices in Corporate Finance”, Sustainability, 13(7), 3746.
  • La Torre, M. et al. (2020), “Does the ESG Index Affect Stock Return? Evidence from the Eurostoxx50”, Sustainability, 12(16), 6387.
  • Lokuwaduge, C.S.D.S. & K. Heenetigala (2017), “Integrating Environmental, Social and Governance (ESG) Disclosure for a Sustainable Development: An Australian Study”, Business Strategy and the Environment, 26(4), 438-450.
  • Luo, D. (2022), “ESG, Liquidity, and Stock Returns”, Journal of International Financial Markets, Institutions & Money, 78, 101526.
  • Mohammad, W.M.W. & S. Wasiuzzaman (2021), “Environmental, Social and Governance (ESG) Disclosure, Competitive Advantage and Performance of Firms in Malaysia”, Cleaner Environmental Systems, 2, 100015.
  • Pesaran, M.H. (2004), “General Diagnostic Tests for Cross Section Dependence in Panels”, IZA Discussion Paper Series, No: 1240.
  • Refinitiv (2022), Environmental, Social and Governance Scores from Refinitiv, <https://www.lseg.com/content/dam/marketing/en_us/documents/methodology/refinitiv-esg-scores-methodology.pdf>, 25.05.2023.
  • Serafeim, G. & A. Yoon (2023), “Stock Price Reactions to ESG News: The Role of ESG Ratings and Disagreement”, Review of Accounting Studies, 28, 1500-1530.
  • Shakil, M.H. (2021), “Environmental, Social and Governance Performance and Financial Risk: Moderating Role of ESG Controversies and Board Gender Diversity”, Resources Policy, 72, 102144.
  • Shanaev, S. & B. Ghimire (2022), “When ESG Meets AAA: The Effect of ESG Rating Changes on Stock Returns”, Finance Research Letters, 46(A), 102302.
  • Shapiro, S.S. & M.B. Wilk (1965), “An Analysis of Variance Test for Normality (Complete Samples)”, Biometrika, 52(3/4), 591-611.
  • Şişman, M.E. & S. Çankaya (2021), “Çevresel, Sosyal ve Kurumsal Yönetişim (ESG) Verilerinin Firmaların Finansal Performansına Etkisi: Hava Yolu Sektörü Üzerine Bir Çalışma”, Çukurova Üniversitesi İİBF Dergisi, 25(1), 73-91.
  • Wooldridge, J.M. (2002), Econometric Analysis of Cross Section and Panel Data, Cambridge, MA: MIT Press.
Toplam 35 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Uluslararası Finans
Bölüm Makaleler
Yazarlar

Yavuz Gül 0000-0002-0208-6798

Ceren Altuntaş 0000-0002-9071-2807

Erken Görünüm Tarihi 28 Nisan 2024
Yayımlanma Tarihi 28 Nisan 2024
Gönderilme Tarihi 24 Ağustos 2023
Yayımlandığı Sayı Yıl 2024 Cilt: 32 Sayı: 60

Kaynak Göster

APA Gül, Y., & Altuntaş, C. (2024). Do ESG Ratings Affect Stock Prices? The Case of Developed and Emerging Stock Markets. Sosyoekonomi, 32(60), 243-258. https://doi.org/10.17233/sosyoekonomi.2024.02.12
AMA Gül Y, Altuntaş C. Do ESG Ratings Affect Stock Prices? The Case of Developed and Emerging Stock Markets. Sosyoekonomi. Nisan 2024;32(60):243-258. doi:10.17233/sosyoekonomi.2024.02.12
Chicago Gül, Yavuz, ve Ceren Altuntaş. “Do ESG Ratings Affect Stock Prices? The Case of Developed and Emerging Stock Markets”. Sosyoekonomi 32, sy. 60 (Nisan 2024): 243-58. https://doi.org/10.17233/sosyoekonomi.2024.02.12.
EndNote Gül Y, Altuntaş C (01 Nisan 2024) Do ESG Ratings Affect Stock Prices? The Case of Developed and Emerging Stock Markets. Sosyoekonomi 32 60 243–258.
IEEE Y. Gül ve C. Altuntaş, “Do ESG Ratings Affect Stock Prices? The Case of Developed and Emerging Stock Markets”, Sosyoekonomi, c. 32, sy. 60, ss. 243–258, 2024, doi: 10.17233/sosyoekonomi.2024.02.12.
ISNAD Gül, Yavuz - Altuntaş, Ceren. “Do ESG Ratings Affect Stock Prices? The Case of Developed and Emerging Stock Markets”. Sosyoekonomi 32/60 (Nisan 2024), 243-258. https://doi.org/10.17233/sosyoekonomi.2024.02.12.
JAMA Gül Y, Altuntaş C. Do ESG Ratings Affect Stock Prices? The Case of Developed and Emerging Stock Markets. Sosyoekonomi. 2024;32:243–258.
MLA Gül, Yavuz ve Ceren Altuntaş. “Do ESG Ratings Affect Stock Prices? The Case of Developed and Emerging Stock Markets”. Sosyoekonomi, c. 32, sy. 60, 2024, ss. 243-58, doi:10.17233/sosyoekonomi.2024.02.12.
Vancouver Gül Y, Altuntaş C. Do ESG Ratings Affect Stock Prices? The Case of Developed and Emerging Stock Markets. Sosyoekonomi. 2024;32(60):243-58.
 Kapak Resmi İndir