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Effect of Esg Scores on Portfolio Performance: Evidence From Developing (E-7) Countries

Author

Listed:
  • Oğuz Şimşek

    (İstanbul Commerce University)

  • Serkan Çankaya

    (Istanbul Commerce University)

Abstract

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.

Suggested Citation

  • Oğuz Şimşek & Serkan Çankaya, 2025. "Effect of Esg Scores on Portfolio Performance: Evidence From Developing (E-7) Countries," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 40(123), pages 35-63, April.
    • Handle: RePEc:acc:malfin:v:40:y:2025:i:123:p:35-63
    DOI: https://doi.org/10.33203/mfy.1565089
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    References listed on IDEAS

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    Cited by:

    1. Tülay TELLİOĞLU & Banu DEMİRHAN, 2025. "Analyzing The Impact Of Esg Scores On Financial Performance Using Ccep Estimation: Evidence From Borsa Istanbul," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 20(3), pages 261-279, December.

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    Keywords

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    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • Q56 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth

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