Öz
The term Environmental, Social and Governance (ESG) is a relatively new concept in the financial industry. This study analyzed the relationship between the annual ESG score and financial ratios of firms and the change in stock prices by using panel data regression analysis. As financial ratios, return on assets (ROA), return on equity (ROE), price earning ratio (P/E), market capitalization (MCAP) and the rate of change in total assets are used. In the period between 2010-2020, 42 from Sweden, Norway, Finland and Denmark in the north 63 companies from France, Italy, Spain, Portugal and Greece in the south by using the Hofstede method. As a result of the study, no statistically significant relationship was found between the independent variables of ESG score, ROA, ROE and P/E change and the dependent variable of the stock price change. A strong, significant and positive relationship has been identified with total assets and MCAP.
Anahtar Kelimeler
Kaynakça
- Ahlklo, Y., & Lind, C. (2019). E, S or G? A study of ESG score and financial performance.
- Altay, E. (2005). The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework Öneri Dergisi, 6(23), 217-237.
- Baltagi, B. H. (2001). Econometric Analysis of Panel Data (4 b.). İngiltere: John Wiley&Sons Ltd.
- Bran, F. (2015). Globalization of economy – premises and effects. The USV Annals of Economics and Public Administration, 7-11.
- Brigham , E. (2001). Fundamentals Of Financial Management. Harcourt College Publishers.
- Callahan, C. (2019). ESG Investing: Sector, Industry & Stock Impact on ESG Performance. Advisor Perspectives.
- Cristina Araújo Baptista, O. (2019). The impact of ESG criteria on portfolio financial performance.
- Çelik, S., Aktan, B., Tvaronaviciene, M., & Bengitoz, P. (2017). Linkage between company scores andstock returns. Journal of International Studies.
- Damodaran, A. (2012). Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2012 Edition.
- Engström, F., & Martinsson, S. (2020). Environmental, Social and Governance-Ratings and Risk in Sweden. Environmental, Social And Governance (Esg) Scores From Refinitiv. Refinitiv.
- Freeman , R. E., & McVea, J. (2001). A Stakeholder Approach to Strategic Management. SSRN Electronic Journal.
- Gálvez, A., & Kuiper, C. (2020). The effect of ESG on stock prices An event study on the S&P 500.
- Gates, S. (2013). Proactive investor relations: How corporations respond to pressures. Critical Studies on Corporate Responsibility,, 397-423.
- Global Sustainable Investment Review. Global Sustainable Investment Alliance.
- Hedqvist, L., & Larsson, A. (2020). ESG or Financial Performance – Does It Have to Be a Choice?
- Heugh, K., & Fox, M. (2017). ESG and the Sustainability. Morgan Stanley, 2.
- https://www.hofstede-insights.com/.(2020). hofstede-insights.com. adresinden alındı
- Kim, Y., Li, H., & Li, S. (2014). Corporate social responsibility and stock price crash risk. Journal of Banking & Finance.
- Kumar, A., Smith, C., Badis, L., Wang, N., Ambrosy, P., & Tavares, R. (2016). ESG Factors and Risk-Adjusted Performance: a New quantitative Model. Journal of Sustainable Finance & Investment.
- Lööf, H., & Stephan , A. (2019). The Impact of ESG on Stocks’ Downside Risk and Risk Adjusted Return. Centre of Excellence for Science and Innovation Studies.
- Lundin, F., & Olandersson, M. (2019). Sustainability and Profitability in Sweden: A Quantitative Study of Swedish Firms.
- (2015). Paris Konferansı. Paris: Birleşmiş Milletler.
- Sahut, J. M., & Pasquini Descomps, H. (2014). ESG Impact on Market Performance of Firms: International Evidence. Paris: IPAG Business School.
- Schniet, K. E., & Epstein, M. J. (2005). Exploring the Financial Value of a Reputation for Corporate Social Responsibility During a Crisis.
- Soppe, A. (2004). Sustainable Corporate Finance. Journal of Business Ethics.
- Tatoğlu, F. (2013). Panel Veri Ekonometrisi / Stata Uygulamalı. İstanbul: Beta Basım yayım.
- Thomas I., S., & Stickney, C. (1989). The Effects of Business Environment and Strategy on a Firm's Rate of Return on Assets. Financial Analysts Journal.
- UN Global Compact. (2019, Mart 12). unglobalcompact.org: https://www.unglobalcompact.org/what-is-gc/mission/principles adresinden alındı
- Unruh, G., Kiron, D., Kruschwitz, N., & Reeves, M. (2016). Investing For a Sustainable Future. The Boston Consulting Group.
Öz
Çevresel, Sosyal ve Yönetişim (Environmental-Social-Governence) (ESG) terimi, finans sektöründe nispeten yeni bir kavramdır. Sürdürülebilirlik kavramının sosyo-ekonomik hayatın içerisine giderek yerleşmesi, firmaların sürdürülebilirlik performansı ile ekonomik performansının ilişkili olup olmadığı sorusunu akıllara getirmektedir. Bu çalışma, firmaların yıllık ESG skoru ve finansal verilerinin değişiminin pay senedi fiyat değişimi ile ilişkisini panel veri regresyon analizi yöntemiyle analiz etmiştir. Finansal veri olarak aktif karlılığı (ROA), özkaynak karlılığı (ROE), fiyat kazanç oranı (P/E), piyasa kapitalizasyonu (MCAP) ve toplam varlıklarındaki değişim oranı kullanılmıştır. 2010-2020 yılları arasındaki dönemde Hofstede metodundan yararlanılarak kuzeyde İsveç, Norveç, Finlandiya ve Danimarka’dan 42; güneyde Fransa, İtalya, İspanya, Portekiz ve Yunanistan’dan 63 firmanın verisi Thomson Reuters Eikon veri tabanından elde edilmiştir. Çalışma sonucunda ESG skoru, ROA, ROE ve P/E değişimi bağımsız değişkenleri ile pay senedi fiyat değişimi bağımlı değişkeni arasında istatistiksel açıdan anlamlı bir ilişki tespit edilememiştir. Toplam varlıklar ve piyasa kapitalizasyonu ile güçlü, anlamlı ve pozitif bir ilişki tespit edilmiştir.
Anahtar Kelimeler
Kaynakça
- Ahlklo, Y., & Lind, C. (2019). E, S or G? A study of ESG score and financial performance.
- Altay, E. (2005). The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework Öneri Dergisi, 6(23), 217-237.
- Baltagi, B. H. (2001). Econometric Analysis of Panel Data (4 b.). İngiltere: John Wiley&Sons Ltd.
- Bran, F. (2015). Globalization of economy – premises and effects. The USV Annals of Economics and Public Administration, 7-11.
- Brigham , E. (2001). Fundamentals Of Financial Management. Harcourt College Publishers.
- Callahan, C. (2019). ESG Investing: Sector, Industry & Stock Impact on ESG Performance. Advisor Perspectives.
- Cristina Araújo Baptista, O. (2019). The impact of ESG criteria on portfolio financial performance.
- Çelik, S., Aktan, B., Tvaronaviciene, M., & Bengitoz, P. (2017). Linkage between company scores andstock returns. Journal of International Studies.
- Damodaran, A. (2012). Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2012 Edition.
- Engström, F., & Martinsson, S. (2020). Environmental, Social and Governance-Ratings and Risk in Sweden. Environmental, Social And Governance (Esg) Scores From Refinitiv. Refinitiv.
- Freeman , R. E., & McVea, J. (2001). A Stakeholder Approach to Strategic Management. SSRN Electronic Journal.
- Gálvez, A., & Kuiper, C. (2020). The effect of ESG on stock prices An event study on the S&P 500.
- Gates, S. (2013). Proactive investor relations: How corporations respond to pressures. Critical Studies on Corporate Responsibility,, 397-423.
- Global Sustainable Investment Review. Global Sustainable Investment Alliance.
- Hedqvist, L., & Larsson, A. (2020). ESG or Financial Performance – Does It Have to Be a Choice?
- Heugh, K., & Fox, M. (2017). ESG and the Sustainability. Morgan Stanley, 2.
- https://www.hofstede-insights.com/.(2020). hofstede-insights.com. adresinden alındı
- Kim, Y., Li, H., & Li, S. (2014). Corporate social responsibility and stock price crash risk. Journal of Banking & Finance.
- Kumar, A., Smith, C., Badis, L., Wang, N., Ambrosy, P., & Tavares, R. (2016). ESG Factors and Risk-Adjusted Performance: a New quantitative Model. Journal of Sustainable Finance & Investment.
- Lööf, H., & Stephan , A. (2019). The Impact of ESG on Stocks’ Downside Risk and Risk Adjusted Return. Centre of Excellence for Science and Innovation Studies.
- Lundin, F., & Olandersson, M. (2019). Sustainability and Profitability in Sweden: A Quantitative Study of Swedish Firms.
- (2015). Paris Konferansı. Paris: Birleşmiş Milletler.
- Sahut, J. M., & Pasquini Descomps, H. (2014). ESG Impact on Market Performance of Firms: International Evidence. Paris: IPAG Business School.
- Schniet, K. E., & Epstein, M. J. (2005). Exploring the Financial Value of a Reputation for Corporate Social Responsibility During a Crisis.
- Soppe, A. (2004). Sustainable Corporate Finance. Journal of Business Ethics.
- Tatoğlu, F. (2013). Panel Veri Ekonometrisi / Stata Uygulamalı. İstanbul: Beta Basım yayım.
- Thomas I., S., & Stickney, C. (1989). The Effects of Business Environment and Strategy on a Firm's Rate of Return on Assets. Financial Analysts Journal.
- UN Global Compact. (2019, Mart 12). unglobalcompact.org: https://www.unglobalcompact.org/what-is-gc/mission/principles adresinden alındı
- Unruh, G., Kiron, D., Kruschwitz, N., & Reeves, M. (2016). Investing For a Sustainable Future. The Boston Consulting Group.
Ayrıntılar
| Birincil Dil | Türkçe |
|---|---|
| Konular | Ekonomi, Finans |
| Bölüm | Araştırma Makaleleri |
| Yazarlar | |
| Yayımlanma Tarihi | 29 Ekim 2020 |
| Gönderilme Tarihi | 11 Ağustos 2020 |
| Yayımlandığı Sayı | Yıl 2020 Cilt: 4 Sayı: 7 |
