Publicação
Do ESG ratings affect stock return? Evidence from the Bolsa de Valores de Colombia
| Resumo: | ESG refers to "the consideration of environmental, social, and governance factors in the evaluation of companies and investments" (Clark et al. 2014, p. 3). ESG policies of a company are composed by the environmental (E), social (S) and governance (G) dimensions, however it is possible for a company to participate in individual E, S and G activities at different levels (Humphrey et al. 2012). ESG factors have gained traction among investors during the last years due to their potential impact on financial performance. This document seeks to investigate how ESG components affect stock returns in Colombian stock market, replicating previous studies from the European Union and the United States stock market, based on a data panel drawn from the Thomson Reuters Eikon software, composed by 26 companies traded on the Bolsa de Valores de Colombia between 2011 and 2020. For this report it was used a two-step methodology (a data panel and multiple linear regressions) to analyze the performance of the companies included in the sample. First, it was combined several ESG indicators with macroeconomic variables collected monthly, to evaluate the general effects of ESG index variations on companies’ returns. Given the results from the previous analysis, a multiple regression for each company in the sample was run. Based on the results found, this paper found a weak but positive relation between the ESG scores and the stock returns in Colombian stock market, it also revealed the shortcomings of implementation of ESG policies in the country and proposed a focus for ESG research in the future to provide a reference for academic research and the practice of ESG within Colombian context. |
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| Autores principais: | Mayorga, Sergio Andrés Redondo |
| Assunto: | ESG index sustainability stock returns |
| Ano: | 2023 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório da Universidade de Lisboa |
| Resumo: | ESG refers to "the consideration of environmental, social, and governance factors in the evaluation of companies and investments" (Clark et al. 2014, p. 3). ESG policies of a company are composed by the environmental (E), social (S) and governance (G) dimensions, however it is possible for a company to participate in individual E, S and G activities at different levels (Humphrey et al. 2012). ESG factors have gained traction among investors during the last years due to their potential impact on financial performance. This document seeks to investigate how ESG components affect stock returns in Colombian stock market, replicating previous studies from the European Union and the United States stock market, based on a data panel drawn from the Thomson Reuters Eikon software, composed by 26 companies traded on the Bolsa de Valores de Colombia between 2011 and 2020. For this report it was used a two-step methodology (a data panel and multiple linear regressions) to analyze the performance of the companies included in the sample. First, it was combined several ESG indicators with macroeconomic variables collected monthly, to evaluate the general effects of ESG index variations on companies’ returns. Given the results from the previous analysis, a multiple regression for each company in the sample was run. Based on the results found, this paper found a weak but positive relation between the ESG scores and the stock returns in Colombian stock market, it also revealed the shortcomings of implementation of ESG policies in the country and proposed a focus for ESG research in the future to provide a reference for academic research and the practice of ESG within Colombian context. |
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