Are Investors Being Misled? Testing for Bubble Behavior in ESG Scores

Year 2025, Volume: 40 Issue: 3, 638 - 651, 16.07.2025

Berna Doğan Başar , Mert Baran Tunçel , Samet Gürsoy , İbrahim Ekşi

https://doi.org/10.24988/ije.1600574

Abstract

In recent years, environmental and social sustainability, supported by strong corporate governance, appears to have been reshaping behaviors of firms, investors, and consumers. The growing public interest in these issues raises questions regarding the extent to which disclosed information and sustainability ratings accurately reflect reality. The primary objective of this study is to empirically investigate whether environmental, social, and governance (ESG) scores have been overvalued over time at a level that may potentially mislead investor behavior. In this context, the study analyzes the presence of speculative bubble behavior in the ESG scores of G-7 countries (United Kingdom, France, Japan, United States, Italy, and Germany) over the period from February 28, 2018 to December 30, 2022, utilizing the Generalized Sup ADF (GSADF) test developed by Phillips et al. (2015). The findings indicate that, despite periodic fluctuations, ESG scores do not generally exhibit bubble behavior. A sharp decline was observed across all countries on March 31, 2020, which is considered to be associated with the World Health Organization's declaration of COVID-19 as a global pandemic on March 11, 2020. Furthermore, the results suggest a high degree of synchronization in ESG score movements among G-7 countries.

Keywords

Sustainability , Bubble Movements , ESG , GSADF

Yatırımcılar Yanıltılıyor mu? ESG Puanlarında Balon Davranışının Testi

Abstract

Günümüzde çevresel ve sosyal sürdürülebilirlik, sağlam yönetimin gücüyle firmaların, yatırımcıların ve tüketicilerin davranışlarını yeniden şekillendiriyor gibi görünüyor. Kamuoyunun konuya olan ilgisi, açıklanan bilgi ve derecelendirmelerin gerçeği yansıtıp yansıtmadığı sorusunu beraberinde getiriyor. Bu çalışmanın temel amacı, çevresel, sosyal ve yönetişim (ESG) puanlarının zaman içinde yatırımcı davranışlarını yanıltabilecek düzeyde aşırı değerlenme içerip içermediğini ampirik olarak incelemektir. Bu kapsamda, 28.02.2018 - 30.12.2022 tarihleri arasındaki dönemi kapsayan çalışmada, G-7 ülkelerine (Birleşik Krallık, Fransa, Japonya, ABD, İtalya ve Almanya) ait ESG puanlarında spekülatif balon davranışının varlığı, Phillips vd. (2015) tarafından geliştirilen GSADF testi ile analiz edilmiştir. Elde edilen bulgular, dönemsel dalgalanmalara rağmen ESG puanlarının genel olarak balon davranışı sergilemediğini göstermektedir. Özellikle 31.03.2020 tarihinde tüm ülkelerde keskin bir düşüş gözlemlenmiş olup, bunun Dünya Sağlık Örgütü’nün 11.03.2020 tarihinde COVID-19’u küresel salgın ilan etmesiyle ilişkili olduğu değerlendirilmiştir. Ayrıca, G-7 ülkelerinin ESG puanlarının büyük ölçüde eşgüdümlü hareket ettiği sonucuna ulaşılmıştır.

Keywords

Sürdürülebilirlik , Balon Hareketleri , ESG , GSADF

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