Práticas ESG e o retorno de mercado das empresas

Abstract

Based on previous studies that present the increasing relevance of ESG in organizations for investors, it becomes important to analyze the relationship between the market return of companies and the adoption of ESG practices. Thus, the objective of this research is to evaluate whether publicly traded companies with their activities based on ESG practices were valued with greater market return compared to companies that do not adhere to ESG practices. The expected return was estimated based on the application of the Fama and French model of 3 (three) factors, with data collected in the Refinitiv database from 2015 to 2021, in the 19 (nineteen) countries that are part of the G20. Thus, an average of 22,000 observations was obtained, after the regression analysis, it was found, with regard to ESG practices and market return, a low ESG Score with an overall average of 0.130 (D +) which indicates poor ESG performance, or low transparency in reporting ESG data. The environmental pillar had an overall average of 0.100 (D), the social pillar an overall average of 0.0140 (D - ), the governance pillar an overall average of 0.025 (D - ). Regarding the research objective, the market return has little significance with ESG practices in relation to the researched sample. Other important results found is the relationship between Cost of Capital and ESG practices. It was found that countries with ESG practices have a lower cost of capital. Of the total sample, 70% of the countries have companies with a lower cost of capital as a result of being aligned with ESG practices.