SÜRDÜRÜLEBİLİRLİK PERFORMANSININ PAY GETİRİLERİ İLE OYNAKLIK ÜZERİNDEKİ ETKİSİ: BORSA İSTANBUL’DAN KANITLAR

Abstract

Sürdürülebilirlik performansı, paydaşlarının da baskısı ile firmaların yakından izlediği ve gerekli stratejiler geliştirdiği bir konu haline gelmiştir. Küresel ısınmanın yaşandığı bilgi çağında bu konuda paydaşlarda oluşan farkındalık bu sonucun en önemli nedenlerinden birisidir. Bundan dolayı iklim krizinin eşiğinde, yeşil ekonomiye geçiş sürecinde yüksek sürdürülebilirlik performansı yadsınamaz bir öneme sahiptir. Bu çalışma düşük risk ve yüksek getiri hedefleyen firma sahipleri ve yatırımcıları için sürdürülebilirlik performansının önemini ortaya koymayı amaçlamaktadır. Bunun için sürdürülebilirlik performansını temsilen Refinitiv tarafından yayımlanan ESG skorlarının firma pay getirileri ile pay fiyatlarında görülen oynaklık üzerindeki etkisi araştırılmıştır. Borsa İstanbul’da işlem gören firmaların incelendiği çalışmada panel veri ekonometrisinden faydalanılmıştır. Birleşik ESG skoru ve üç boyutun yanında nakit akışları, finansal kaldıraç ve firma büyüklüğünün de etkisi incelenmiştir. Kurulan sekiz farklı modelden elde edilen bulgular yüksek sürdürülebilirlik performansının getirileri pozitif etkilerken, oynaklığı negatif etkilediğini göstermektedir.

Keywords

• Sürdürülebilirlik
• ESG
• getiriler
• oynaklık
• panel veri ekonometrisi
• Borsa İstanbul

THE IMPACT OF SUSTAINABILITY PERFORMANCE ON STOCK RETURNS AND VOLATILITY: EVIDENCE FROM BORSA ISTANBUL

Abstract

Sustainability performance has become an issue that companies closely monitor and develop strategies to address under pressure from their stakeholders. One of the most important reasons for this result is the awareness among stakeholders about global warming in the age of information. For this reason, sustainability performance plays an undeniable role in the transition to a green economy at the brink of the climate crisis. The purpose of this study is to highlight sustainability performance's importance to investors and owners of companies seeking low risk and high returns. It was examined whether ESG scores retrieved from Refinitiv, representing sustainability performance, affected stock price volatility and stock returns. The study examined companies traded on Borsa Istanbul using panel data econometrics. In addition to the combined ESG score and its three dimensions, the effects of cash flows, financial leverage and firm size are also examined. Findings obtained from eight different models that have been established show that high sustainability performance affects returns positively, while affects volatility negatively.

Keywords

• Sustainability
• ESG
• returns
• volatility
• panel data econometrics
• Borsa Istanbul

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