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

Öz

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.

Anahtar Kelimeler

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

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

Öz

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.

Anahtar Kelimeler

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

Kaynakça

1. Abdelmotaal, H., & Abdel-Kader, M. (2016). The use of sustainability incentives in executive remuneration contracts: Firm characteristics and impact on the shareholders’ returns. Journal of Applied Accounting Research.
2. Ahmad, N., Mobarek, A., & Roni, N. N. (2021). Revisiting the impact of ESG on financial performance of FTSE350 UK firms: Static and dynamic panel data analysis. Cogent Business Management, 8(1), 1900500.
3. Albuquerque, R., Koskinen, Y., & Zhang, C. (2019). Corporate social responsibility and firm risk: Theory and empirical evidence. Management Science, 65(10), 4451-4469.
4. Ararat, M., Suel, E., & Yurtoglu, B. B. (2014). Sustainable investment in Turkey: the case in context-an update. Available at SSRN 2447937.
5. Asteriou, D., & Hall, S. G. (2016). Applied econometrics. Palgrave MacMillan.
6. Aybars, A., Ataünal, L., & Gürbüz, A. O. (2019). ESG and financial performance: impact of environmental, social, and governance issues on corporate performance. In Handbook of research on managerial thinking in global business economics (pp. 520-536). IGI Global.
7. Baltagi, B. H., & Li, Q. (1995). Testing AR (1) against MA (1) disturbances in an error component model. Journal of econometrics, 68(1), 133-151.
8. Borak, M., & DOĞUKANLI, H. (2022). Kurumsal Sosyal Sorumluluk ve Firma Riski: Borsa İstanbul’da Bir Uygulama. BDDK Bankacılık ve Finansal Piyasalar Dergisi, 16(1), 87-106.

9. Bouslah, K., Kryzanowski, L., & M’zali, B. (2013). The impact of the dimensions of social performance on firm risk. Journal of banking finance, 37(4), 1258-1273.
10. Breusch, T. S., & Pagan, A. R. (1979). A simple test for heteroscedasticity and random coefficient variation. Econometrica, 1287-1294.
11. Brigham, E. F., & Ehrhardt, M. C. (2013). Financial management: Theory & practice. Cengage Learning.
12. Broadstock, D. C., Chan, K., Cheng, L. T., & Wang, X. (2021). The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China. Finance research letters, 38, 101716.
13. Burger, E., Grba, F., & Heidorn, T. (2022). The impact of ESG ratings on implied and historical volatility.
14. Dalal, K. K., & Thaker, N. (2019). ESG and corporate financial performance: A panel study of Indian companies. IUP Journal of Corporate Governance, 18(1), 44-59.
15. de Villiers, C., Jia, J., & Li, Z. (2022). Corporate social responsibility: A review of empirical research using Thomson Reuters Asset4 data. Accounting Finance.
16. Deegan, C. (2002). Introduction: The legitimising effect of social and environmental disclosures–a theoretical foundation. Accounting, auditing accountability journal.
17. Driscoll, J. C., & Kraay, A. C. (1998). Consistent covariance matrix estimation with spatially dependent panel data. Review of economics and statistics, 80(4), 549-560.
18. Eliwa, Y., Aboud, A., & Saleh, A. (2021). ESG practices and the cost of debt: Evidence from EU countries. Critical Perspectives on Accounting, 79, 102097.
19. Erragragui, E. (2018). Do creditors price firms’ environmental, social and governance risks? Research in International Business Finance, 45, 197-207.
20. Feng, G. F., Long, H., Wang, H. J., & Chang, C. P. (2022). Environmental, social and governance, corporate social responsibility, and stock returns: What are the short‐and long‐Run relationships? Corporate Social Responsibility Environmental Management, 29(5), 1884-1895.
21. Freeman, R. E. (2010). Managing for stakeholders: Trade-offs or value creation. Journal of business ethics, 96(1), 7-9.
22. Friede, G., Busch, T., & Bassen, A. (2015). ESG and financial performance: aggregated evidence from more than 2000 empirical studies. Journal of sustainable finance investment, 5(4), 210-233.
23. Giannopoulos, G., Kihle Fagernes, R. V., Elmarzouky, M., & Afzal Hossain, K. A. B. M. (2022). The ESG disclosure and the financial performance of Norwegian listed firms. Journal of Risk Financial Management, 15(6), 237.
24. Hoechle, D. (2007). Robust standard errors for panel regressions with cross-sectional dependence. The stata journal, 7(3), 281-312.
25. Honda, Y. (1985). Testing the error components model with non-normal disturbances. The review of economic studies, 52(4), 681-690.
26. Hsiao, C., & Tahmiscioglu, A. K. (2008). Estimation of dynamic panel data models with both individual and time-specific effects. Journal of Statistical Planning and Inference, 138(9), 2698-2721.
27. Jakobsson, R. J. M., & Lundberg, L. (2018). The Effect of ESG Performance on Share Price Volatility. In.
28. Lee, S.-N., Hooy, C.-W., & Taib, F. M. (2019). The effect of corporate governance on firm stock volatility in Asia. Journal of Asia-Pacific Business, 20(1), 25-47.
29. McMillan, M., Pinto, J. E., Pirie, W. L., & Van de Venter, G. (2011). Investments: Principles of portfolio and equity analysis. John Wiley & Sons.
30. Meher, B. K., Hawaldar, I. T., Mohapatra, L., Spulbar, C. M., & Birau, F. R. (2020). The effects of environment, society and governance scores on investment returns and stock market volatility. International Journal of Energy Economics Policy, 10(4), 234-239.
31. Mohamad, N. E. A. B. (2020). Do Environmental, Social, and Governance Practices (ESG) Signify Firm Value? Evidence from FTSE4Good Bursa Malaysia (F4GBM). Global Business Management Research, 12(4).
32. Newey, W. K., & West, K. D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelationconsistent covariance matrix. Econometrica, 55, 703-708.
33. Nirino, N., Santoro, G., Miglietta, N., & Quaglia, R. (2021). Corporate controversies and company's financial performance: Exploring the moderating role of ESG practices. Technological Forecasting Social Change, 162, 120341.
34. Pesaran, M. H. (2004). General diagnostic tests for cross section dependence in panels (IZA Discussion Paper No. 1240). Institute for the Study of Labor.
35. Plumlee, M., Brown, D., Hayes, R. M., & Marshall, R. S. (2015). Voluntary environmental disclosure quality and firm value: Further evidence. Journal of accounting public policy, 34(4), 336-361.
36. Sassen, R., Hinze, A.-K., & Hardeck, I. (2016). Impact of ESG factors on firm risk in Europe. Journal of business economics, 86(8), 867-904.
37. Saygili, E., Arslan, S., & Birkan, A. O. (2022). ESG practices and corporate financial performance: Evidence from Borsa Istanbul. Borsa Istanbul Review, 22(3), 525-533.
38. Shakil, M. H. (2022). Environmental, social and governance performance and stock price volatility: A moderating role of firm size. Journal of Public Affairs, 22(3), e2574.
39. Suchman, M. C. (1995). Managing legitimacy: Strategic and institutional approaches. Academy of management review, 20(3), 571-610.
40. Velte, P. (2017). Does ESG performance have an impact on financial performance? Evidence from Germany. Journal of Global Responsibility.
41. Wang, G. Y. (2010). The impacts of free cash flows and agency costs on firm performance. Journal of service science management, 3(04), 408.
42. Westerlund, J. (2007). Testing for error correction in panel data. Oxford Bulletin of Economics Statistics, 69(6), 709-748.
43. Wu, C.-M., & Hu, J.-L. (2019). Can CSR reduce stock price crash risk? Evidence from China's energy industry. Energy Policy, 128, 505-518.
44. Wu, Z., Shih, Y.-C., Wang, Y., & Zhang, C. (2022). ESG, State Ownership, and Stock Returns: Evidence from China. State Ownership, Stock Returns: Evidence from China.
45. Ye, C., Song, X., & Liang, Y. (2022). Corporate sustainability performance, stock returns, and ESG indicators: fresh insights from EU member states. Environmental Science Pollution Research, 1-12.
46. Zhou, D., & Zhou, R. (2021). ESG Performance and Stock Price Volatility in Public Health Crisis: Evidence from COVID-19 Pandemic. International Journal of Environmental Research Public Health, 19(1), 202.