THE EFFECTS OF ESG AND FINANCIAL DATA ON STOCK VALUE: THE NORDIC AND LATIN EUROPEAN SAMPLE

Abstract

The term Environmental, Social and Governance (ESG) is a relatively new concept in the financial industry. This study analyzed the relationship between the annual ESG score and financial ratios of firms and the change in stock prices by using panel data regression analysis. As financial ratios, return on assets (ROA), return on equity (ROE), price earning ratio (P/E), market capitalization (MCAP) and the rate of change in total assets are used. In the period between 2010-2020, 42 from Sweden, Norway, Finland and Denmark in the north 63 companies from France, Italy, Spain, Portugal and Greece in the south by using the Hofstede method. As a result of the study, no statistically significant relationship was found between the independent variables of ESG score, ROA, ROE and P/E change and the dependent variable of the stock price change. A strong, significant and positive relationship has been identified with total assets and MCAP.

Keywords

• ESG
• Stock Price
• Nordic and Latin Europe

ESG VE FİNANSAL VERİLERİN PAY DEĞERİNE ETKİSİ: KUZEY VE LATİN AVRUPA ÜLKELERİ ÜZERİNE BİR ÇALIŞMA

Abstract

Çevresel, Sosyal ve Yönetişim (Environmental-Social-Governence) (ESG) terimi, finans sektöründe nispeten yeni bir kavramdır. Sürdürülebilirlik kavramının sosyo-ekonomik hayatın içerisine giderek yerleşmesi, firmaların sürdürülebilirlik performansı ile ekonomik performansının ilişkili olup olmadığı sorusunu akıllara getirmektedir. Bu çalışma, firmaların yıllık ESG skoru ve finansal verilerinin değişiminin pay senedi fiyat değişimi ile ilişkisini panel veri regresyon analizi yöntemiyle analiz etmiştir. Finansal veri olarak aktif karlılığı (ROA), özkaynak karlılığı (ROE), fiyat kazanç oranı (P/E), piyasa kapitalizasyonu (MCAP) ve toplam varlıklarındaki değişim oranı kullanılmıştır. 2010-2020 yılları arasındaki dönemde Hofstede metodundan yararlanılarak kuzeyde İsveç, Norveç, Finlandiya ve Danimarka’dan 42; güneyde Fransa, İtalya, İspanya, Portekiz ve Yunanistan’dan 63 firmanın verisi Thomson Reuters Eikon veri tabanından elde edilmiştir. Çalışma sonucunda ESG skoru, ROA, ROE ve P/E değişimi bağımsız değişkenleri ile pay senedi fiyat değişimi bağımlı değişkeni arasında istatistiksel açıdan anlamlı bir ilişki tespit edilememiştir. Toplam varlıklar ve piyasa kapitalizasyonu ile güçlü, anlamlı ve pozitif bir ilişki tespit edilmiştir.

Keywords

• ESG
• Pay Senedi Fiyatı
• Kuzey ve Latin Avrupa

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