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

Yıl 2025, Cilt: 40 Sayı: 3, 638 - 651, 16.07.2025

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

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

Öz

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.

Anahtar Kelimeler

Sustainability , Bubble Movements , ESG , GSADF

Yatırımcılar Yanıltılıyor mu? ESG Puanlarında Balon Davranışının Testi

Öz

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.

Anahtar Kelimeler

Sürdürülebilirlik , Balon Hareketleri , ESG , GSADF

Kaynakça

• Amanda Sanseverino1 · Jimena Gonzalez‑Ramirez1 · Kelly Cwik (2023) Do ESG progress disclosures influence investment decisions?, International Journal of Disclosure and Governance,
• Amina Buallay, Reem Hamdan, Elisabetta Barone and Allam Hamdan (2022) Increasing female participation on boards: Effects on sustainability reporting, Int J Fin Econ. 2022;27:111–124.
• Barko, T., Cremers, M., Renneboog, L., (2018) Shareholder Engagement on Environmental, Social, and Governance Performance (CenteR Discussion Paper Series).
• Dogan Basar, B., Ekşi, İ.H, and Yudaruddin (2025) Is ownership structure effective in the relationship between ESG and bank performance?, Journal of Financial Regulation and Compliance, https://www.emerald.com/insight/content/doi/10.1108/jfrc-10-2024-0194/full/html?skipTracking=true
• Bianchi, R. J., Drew, M. E., and Walk, A. N. (2010). On the responsible investment disclosure practices of the world's largest pension funds. Accounting Research Journal.
• Borghesi, R., Houston, J.F., Naranjo, A., (2014). Corporate socially responsible investments: CEO altruism, reputation, and shareholder interests. J. Corp. Finan. 26, 164–181.
• Boubakri, N., El Ghoul, S., Wang, H., Guedhami, O., Kwok, C.C., (2016) Cross-listing and corporate social responsibility. J. Corp. Finan. 41, 123–138.
• Cai, Y., Pan, C.H., Statman, M., (2016) Why do countries matter so much in corporate social performance? J. Corp. Finan. 41, 591–609.
• Claire Economidou, Dimitrios Gounopoulos, Dimitrios Konstantios and Emmanuel Tsiritakis (2023) Is sustainability ratingmaterial to the market?, FinancialManagement. 2023;52:127–179.
• Clark, G. L., & Viehs, M. (2014). The implications of corporate social responsibility for investors: An overview and evaluation of the existing CSR literature. Available at SSRN 2481877.
• Dyck, A., Lins, K.V., Roth, L., Towner, M., Wagner, H.F., (2023). Renewable governance: Good for the environment? Journal of Accounting ResearchVol. 61 No. 1
• Eichholtz, P., Holtermans, R., Kok, N., & Y¨onder, E. (2019). Environmental performance and the cost of debt: Evidence from commercial mortgages and REIT bonds. Journal of Banking & Finance, 102, 19–32.
• Emma-Sophie Doksæter and Jonas Aarum Bøckmann (2021) Is there a bubble within ESG stocks on Oslo Stock Exchange?, Master’s thesis, Oslo Business School
• Goldstein, I., Kopytov, A., Shen, L., & Xiang, H. (2022). On esg investing: Heterogeneous preferences, information, and asset prices (No. w29839). National Bureau of Economic Research.
• Hill, J. (2020). Environmental, Social, and Governance (ESG) Investing. A Balanced Analysis of the Theory and Practice of a Sustainable Portfolio . Academic Press. ISBN: 978-0-12-818692-3. https://doi.org/10.1016/C2018-0-03866-9
• Jedrzej Białkowski and Anna Sławik (2022) Does Companies’ ESG Performance Make a Difference for New Zealand’ s Stock Market Investors during the COVID-19 Pandemic?, Sustainability 2022, 14, 15841
• Jeongseok Bang, Doojin Ryu and Jinyoung Yu (2023) ESG controversies and investor trading behavior in the Korean market, Finance Research Letters, 54, 103750
• Landi, G. and Sciarelli, M. (2019), “Towards A More Ethical Market: The Impact of ESG Rating on Corporate Financial Performance”, Soc. Responsib, 15, ss. 11–27.
• Leite, B and Uysal, V. (2023) Does ESG matter to investors? ESG scores and the stock price response to new information, Global Finance Journal, Vol. 57, 100851,
• Li, Y., Gong, M., Zhang, X. Y., & Koh, L. (2018). The impact of environmental, social, and governance disclosure on firm value: The role of CEO power. The British Accounting Review, 50(1), 60–75
• Linda Espahbodi, Reza Espahbodi, Norma Juma, Amy Westbrook (2019) (Sustainability priorities, corporate strategy, and investor behavior, Review of Financial Economics, 37-1,
• Mei Liu, Andrew Marshall and Patrick McColgan (2021) Foreign direct investments: The role of corporate socialresponsibility, Journal of Multinational Financial Management, 59, 100663
• Michelle Kamau & Xiaochan Li Michelle Kamau & Xiaochan Li (2023) The Impact of ESG on Foreign Direct Investments in Developing and Emerging Markets, Handelshøyskolen BI GRA 19703 Master Thesis
• Ming-Lang Tseng, Phan Anh Tan, Shiou-Yun Jeng, Chun-Wei Remen Lin, Yeneneh Tamirat Negashand Susilo Nur Aji Cokro Darsono (2019) Sustainable Investment: Interrelated among Corporate Governance, Economic Performance and Market Risks Using Investor Preference Approach, Sustainability 2019, 11,
• Monica Billio, Michele Costola, Iva Hristova, Carmelo Latino and Loriana Pelizzon (2021) Inside the ESG ratings: (Dis)agreement and performance, Corp Soc Responsib Environ Manag. 2021;28:1426–1445.
• MSCI, 2022 https://www.msci.com/end-of-day-data-country (17.12.2022)
• Niranjan Chipalkatti , Quan Vu Le and Meenakshi Rishi (2021) Sustainability and Society: Do Environmental, Social, and Governance Factors Matter for Foreign Direct Investment?, Energies, 14, 6039
• Pérez, L., Hunt, V., Samandari, H., Nuttall, R. and Biniek, K. (2022) Does ESG really matter— and why?, Sustainability reporting in focus, G&A Institute,
• Phillips, P. C., Shi, S., & Yu, J. (2015). Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500. International Economic Review, 56(4), 1043–1078ç
• Polat, O., Demirer, R. and Ekşi, İ.H. (2024) What drives green betas? Climate uncertainty or speculation, Finance Research Letters, 60, 104870
• Rio Murata and Shigeyuki Hamori (2021) ESG Disclosures and Stock Price Crash Risk, J. Risk Financial Manag. 2021, 14, 70
• Şahin, E. E. (2020). Kripto Para Fiyatlarında Balon Varlığının Tespiti: Bitcoin, IOTA ve Ripple Örneği, Selçuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 0(43), 62 – 69.
• Şeker, Y. and Şengür, D. (2022) Environmental Social and Corporate Governence (ESG) Performance: An International Study, Muhasebe ve Vergi Uygulamaları Dergisi, 2,
• Samina Rooh, Hatem El-Gohary, Imran Khan, Sayyam Alam and Syed Mohsin Ali Shah (2023) An Attempt to Understand Stock Market Investors’ Behaviour: The Case of Environmental, Social, and Governance (ESG) Forces in the Pakistani Stock Market, J. Risk Financial Manag. 2023, 16, 500
• Sayema Sultana, Dalilawati Zainal and Norhayah Zulkifli (2017) The Influence of Environmental, Social and Governance (ESG) on Investment Decisions: The Bangladesh Perspective, Pertanika J. Soc. Sci. & Hum. 25 (S): 155 – 174
• So Ra Park and Jae Young Jang (2021) The Impact of ESG Management on Investment Decision: Institutional Investors’ Perceptions of Country-Specific ESG Criteria, Int. J. Financial Stud. 2021, 9, 48
• Stuart L. Gillan, Andrew Koch b, Laura T. Starks (2021) Firms and social responsibility: A review of ESG and CSR research in corporate finance, Journal of Corporate Finance 66 (2021) 101889
• Tunçel, M.B, Doğan Başar, B., Gürsoy, S. and Ekşi, İ.H. (20259 ESG and carbon emissions in energy giants: does a green stance reflect in market value?, Macroeconomics and Finance in Emerging Market Economies, https://www.tandfonline.com/doi/abs/10.1080/17520843.2025.2474837
• Wan Masliza Wan Mohammad and Shaista Wasiuzzaman (2021) Environmental, Social and Governance (ESG) disclosure, competitive advantage and performance of firms in Malaysia, Cleaner Environmental Systems, Volume 2, June 2021, 100015
• Xiong Bai a, Jinmian Han, Yuanzhi Ma and Wenrui Zhang (2022) ESG performance, institutional investors’ preference and financing constraints: Empirical evidence from China, Borsa İstanbul Review, 22-S2, 157-168
• Zeineb Barka, Taher Hamza and Senda Mrad (2023) Corporate ESG scores and equity market misvaluation: Toward ethical investor behavior, Economic Modelling, 127, 106467
• Zerbib, O.D., (2019). The effect of pro-environmental preferences on bond prices: evidence from green bonds. J. Bank. Financ. 98, 39–60.
• Zhongfei Chen, Guanxia Xie (2022) ESG disclosure and financial performance: Moderating role of ESG investors, International Review of Financial Analysis, 83, 102291