The relationship between ESG scores and financial performance : a bi-directional analysis : evidence form the UK

Detalhes bibliográficos
Autor(a) principal: Santos, André Grácio
Data de Publicação: 2023
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.14/43529
Resumo: This thesis investigates the relationship between Environmental, Social, and Governance (ESG) performance and financial performance (FP). Specifically, we aim to analyse a potential bi-directional causality between a firm’s ESG performance and financial performance. A dataset of 472 firms listed on the London Stock Exchange (LSE) and Alternative Investment Market (AIM) from 2010 to 2021 (11-year period) is used (2,914 firm-year observations). Both accounting and market-based measures measure financial performance, Return on Assets (ROA) and Price to Book Value Ratio (PBV), respectively. ESG performance scores are obtained from Thomson Reuters’ Refinitiv DataStream. Conducting Ordinary Least Squares (OLS) and Fixed-Effects (FE) regression models, the findings suggest that there is no significant impact of ESG performance on ROA and PBV, both at one-year and two-year lags. We find one-year lagged ROA to negatively affect ESG performance, while no significant causal effect of lagged PBV on subsequent ESG performance is observed, which reveals mixed results. Regarding the control variables, we find strong evidence indicating a positive impact of risk and firm size on subsequent ESG performance. This study furthers understanding of the interaction between ESG performance and financial performance of firms within the UK context over a long-term period.
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spelling The relationship between ESG scores and financial performance : a bi-directional analysis : evidence form the UKESGESG performanceESG scoresFinancial performanceCorporate social responsabilityFirm valueSustainabilityProfitabilityDesempenho ESGPontuações ESGDesempenho financeiroResponsabilidade social corporativaValor corporativoSustentabilidadeLucratividadeDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis thesis investigates the relationship between Environmental, Social, and Governance (ESG) performance and financial performance (FP). Specifically, we aim to analyse a potential bi-directional causality between a firm’s ESG performance and financial performance. A dataset of 472 firms listed on the London Stock Exchange (LSE) and Alternative Investment Market (AIM) from 2010 to 2021 (11-year period) is used (2,914 firm-year observations). Both accounting and market-based measures measure financial performance, Return on Assets (ROA) and Price to Book Value Ratio (PBV), respectively. ESG performance scores are obtained from Thomson Reuters’ Refinitiv DataStream. Conducting Ordinary Least Squares (OLS) and Fixed-Effects (FE) regression models, the findings suggest that there is no significant impact of ESG performance on ROA and PBV, both at one-year and two-year lags. We find one-year lagged ROA to negatively affect ESG performance, while no significant causal effect of lagged PBV on subsequent ESG performance is observed, which reveals mixed results. Regarding the control variables, we find strong evidence indicating a positive impact of risk and firm size on subsequent ESG performance. This study furthers understanding of the interaction between ESG performance and financial performance of firms within the UK context over a long-term period.Esta tese investiga a relação entre o desempenho ambiental, social e governativo (ESG) e o desempenho financeiro (FP). Especificamente, o nosso objetivo é analisar a potencial causalidade bidirecional entre o desempenho ESG e o desempenho financeiro de uma empresa. É utilizado um conjunto de dados de 472 empresas cotadas na London Stock Exchange (LSE) e no Alternative Investment Market (AIM) entre 2010-2021 (período de 11 anos) (2.914 observações empresa-ano). O desempenho financeiro é medido através de medidas contabilísticas e de mercado, o Retorno sobre os Ativos (ROA) e o rácio Preço/Valor Contabilístico (PBV), respetivamente. As pontuações de desempenho ESG são obtidas a partir da base de dados Refinitiv DataStream da Thomson Reuters. Aplicando modelos de regressão de Ordinary Least Squares (OLS) e de Fixed-Effects (FE), os resultados sugerem que não existe um impacto significativo do desempenho ESG no ROA e no PBV, tanto com desfasamentos de 1 ano, como de 2 anos. Verificamos que o ROA tem um efeito negativo no desempenho ESG com 1 ano de desfasamento, enquanto não se observa qualquer impacto significativo do PBV no desempenho ESG subsequente, o que revela resultados mistos. Relativamente às variáveis de controlo, encontramos fortes evidências que indicam um impacto positivo do risco e da dimensão da empresa no desempenho ESG subsequente. Este estudo aprofunda a compreensão da interação entre o desempenho ESG e o desempenho financeiro das empresas no contexto do Reino Unido, durante um longo período temporal.Alves, Paulo Alexandre PimentaVeritati - Repositório Institucional da Universidade Católica PortuguesaSantos, André Grácio2024-01-09T17:18:51Z2023-10-272023-072023-10-27T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/43529TID:203438876enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-01-16T01:45:49Zoai:repositorio.ucp.pt:10400.14/43529Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T01:44:38.475730Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv The relationship between ESG scores and financial performance : a bi-directional analysis : evidence form the UK
title The relationship between ESG scores and financial performance : a bi-directional analysis : evidence form the UK
spellingShingle The relationship between ESG scores and financial performance : a bi-directional analysis : evidence form the UK
Santos, André Grácio
ESG
ESG performance
ESG scores
Financial performance
Corporate social responsability
Firm value
Sustainability
Profitability
Desempenho ESG
Pontuações ESG
Desempenho financeiro
Responsabilidade social corporativa
Valor corporativo
Sustentabilidade
Lucratividade
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short The relationship between ESG scores and financial performance : a bi-directional analysis : evidence form the UK
title_full The relationship between ESG scores and financial performance : a bi-directional analysis : evidence form the UK
title_fullStr The relationship between ESG scores and financial performance : a bi-directional analysis : evidence form the UK
title_full_unstemmed The relationship between ESG scores and financial performance : a bi-directional analysis : evidence form the UK
title_sort The relationship between ESG scores and financial performance : a bi-directional analysis : evidence form the UK
author Santos, André Grácio
author_facet Santos, André Grácio
author_role author
dc.contributor.none.fl_str_mv Alves, Paulo Alexandre Pimenta
Veritati - Repositório Institucional da Universidade Católica Portuguesa
dc.contributor.author.fl_str_mv Santos, André Grácio
dc.subject.por.fl_str_mv ESG
ESG performance
ESG scores
Financial performance
Corporate social responsability
Firm value
Sustainability
Profitability
Desempenho ESG
Pontuações ESG
Desempenho financeiro
Responsabilidade social corporativa
Valor corporativo
Sustentabilidade
Lucratividade
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic ESG
ESG performance
ESG scores
Financial performance
Corporate social responsability
Firm value
Sustainability
Profitability
Desempenho ESG
Pontuações ESG
Desempenho financeiro
Responsabilidade social corporativa
Valor corporativo
Sustentabilidade
Lucratividade
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This thesis investigates the relationship between Environmental, Social, and Governance (ESG) performance and financial performance (FP). Specifically, we aim to analyse a potential bi-directional causality between a firm’s ESG performance and financial performance. A dataset of 472 firms listed on the London Stock Exchange (LSE) and Alternative Investment Market (AIM) from 2010 to 2021 (11-year period) is used (2,914 firm-year observations). Both accounting and market-based measures measure financial performance, Return on Assets (ROA) and Price to Book Value Ratio (PBV), respectively. ESG performance scores are obtained from Thomson Reuters’ Refinitiv DataStream. Conducting Ordinary Least Squares (OLS) and Fixed-Effects (FE) regression models, the findings suggest that there is no significant impact of ESG performance on ROA and PBV, both at one-year and two-year lags. We find one-year lagged ROA to negatively affect ESG performance, while no significant causal effect of lagged PBV on subsequent ESG performance is observed, which reveals mixed results. Regarding the control variables, we find strong evidence indicating a positive impact of risk and firm size on subsequent ESG performance. This study furthers understanding of the interaction between ESG performance and financial performance of firms within the UK context over a long-term period.
publishDate 2023
dc.date.none.fl_str_mv 2023-10-27
2023-07
2023-10-27T00:00:00Z
2024-01-09T17:18:51Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.14/43529
TID:203438876
url http://hdl.handle.net/10400.14/43529
identifier_str_mv TID:203438876
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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