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Prediction of market value of firms with corporate sustainability performance data using machine learning models

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  • Doğan, Murat
  • Sayılır, Özlem
  • Komath, Muhammed Aslam Chelery
  • Çimen, Emre

Abstract

This study attempts to build models for prediction of market value of firms with Corporate Sustainability Performance data using machine learning models. We analyze a comprehensive global dataset of 5,450 firms operating in 10 sectors. Machine learning models of Random Forest, XGBoost, SVM, and Nearest Neighbor models were constructed with E,S,G,C scores (Environmental, Social, Governance, and ESG Controversies) and financial ratios obtained from the Refinitiv (LSEG) Database. The most suitable model (Random Forest Model) built for Market Capitalization prediction shows that Environmental (E) and ESG Controversies (C) scores stand out as important predictors of market value. The findings of the study emphasize the importance of integrating ESGC factors into market value prediction models. Moreover, our findings suggest that the importance of corporate sustainability performance factors (E, S, G, C) is more pronounced in Europe and America compared to other regions. This study may provide insights for companies, investors, and analysts to achieve a more sophisticated assessment of market value.

Suggested Citation

  • Doğan, Murat & Sayılır, Özlem & Komath, Muhammed Aslam Chelery & Çimen, Emre, 2025. "Prediction of market value of firms with corporate sustainability performance data using machine learning models," Finance Research Letters, Elsevier, vol. 77(C).
    • Handle: RePEc:eee:finlet:v:77:y:2025:i:c:s1544612325003484
    DOI: 10.1016/j.frl.2025.107085
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    More about this item

    Keywords

    Market value; ESG performance; ESG controversies performance; Machine learning models; Market capitalization;
    All these keywords.

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • M14 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility
    • 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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