Bayram, Ekin2024-03-152024-03-152024-032024-032024-03-14https://hdl.handle.net/11693/114811Cataloged from PDF version of article.Thesis (Master's): Bilkent University, Department of Management, İhsan Doğramacı Bilkent University, 2024.Includes bibliographical references (leaves 42-46).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.ix, 54 leaves : illustrations, charts ; 30 cmEnglishinfo:eu-repo/semantics/openAccessSustainabilityESGBorsa İstanbulEmerging marketsStock returnsThesisB159211