Effect of ESG Scores on Portfolio Performance: Evidence from Developing (E-7) Countries
MALİYE FİNANS YAZILARI, sa.123, ss.35-63, 2025 (TRDizin)
- Yayın Türü: Makale / Tam Makale
- Basım Tarihi: 2025
- Doi Numarası: 10.33203/mfy.1596994
- Dergi Adı: MALİYE FİNANS YAZILARI
- Derginin Tarandığı İndeksler: TR DİZİN (ULAKBİM)
- Sayfa Sayıları: ss.35-63
- Açık Arşiv Koleksiyonu: AVESİS Açık Erişim Koleksiyonu
- İstanbul Ticaret Üniversitesi Adresli: Evet
Özet
This study aims to integrate ESG (Environmental, Social, and Governance) scores, a measure of sustainability, into asset pricing models in E-7 countries. To determine whether sustainability has an impact on portfolio performance, all firms with available data were included in the analysis. A new factor created from the ESG scores of these firms was integrated into the model based on the five-factor methodology published by Fama & French (2015). Our findings indicate that while ESG scores have both positive and negative effects in explaining returns, this impact is statistically significant only in Türkiye among the E-7 countries.