The impact of ESG scores on stock performance: the case of borsa İstanbul

Date

2024-03

Editor(s)

Advisor

Şensoy, Ahmet

Supervisor

Co-Advisor

Co-Supervisor

Instructor

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Abstract

This thesis investigates the impact of Environmental, Social, and Governance (ESG) scores on the returns of stocks listed on Borsa Istanbul (BIST). The analysis incorporates yearly di↵erences and percentage changes in ESG scores, along with ESG ratings. The sample consists of 62 Turkish companies from 2007 to 2022. Despite ongoing debates in the literature regarding the relevance of sustainability metrics on stock performance, this study provides robust evidence supporting a negative relationship between changes in ESG scores and stock returns. This relationship is more pronounced in yearly diferences in ESG scores compared to percentage changes. The findings remain consistent after accounting for firm and industry characteristics, and conducting various robustness checks. The negative impact of changes in ESG scores on stock returns suggests that these changes in scores indicate stock riskiness. Specifically, a decline in yearly diference in ESG scores corresponds to an increase in stock risk, leading to an increased premium demanded by investors and impacting stock returns.

Source Title

Publisher

Course

Other identifiers

Book Title

Degree Discipline

Business Administration

Degree Level

Master's

Degree Name

MBA (Master of Business Administration)

Citation

Published Version (Please cite this version)

Language

English

Type