Construction and Validation of a 5P–ESG Composite Index for Sustainable Corporate Governance and Financial Analysis in Emerging Markets: Evidence from the MSCI COLCAP

This study develops and validates the 5P–ESG Composite Index as a finance-oriented framework for assessing firm-level sustainable-financial performance in emerging markets. It addresses a persistent limitation in ESG measurement, namely the lack of conceptually integrated and decision-useful metrics capable of incorporating not only environmental, social, and governance dimensions, but also institutional and relational dimensions that are especially relevant in heterogeneous emerging-market settings. Conceptually, the proposed framework is grounded in the 2030 Agenda’s 5Ps (People, Planet, Prosperity, Peace, and Partnerships) and extends conventional ESG approaches by explicitly incorporating Peace and Partnerships into firm-level assessment. Methodologically, the index is constructed through sequential indicator selection, data cleansing, winsorization, normalization, pillar-level scoring, and PCA-based endogenous weighting, while its statistical robustness is assessed through internal consistency tests and factorability diagnostics. Empirically, the framework is applied to issuers in the MSCI COLCAP universe, where it proves operationally feasible and suitable for classifying firms into relative performance groups. In addition, a benchmark comparison against a conventional ESG-3 scheme shows that the broader 5P architecture can modify issuer rankings and tercile classification. Overall, the findings support the proposed index as a transparent, auditable, and context-sensitive tool for investors and decision-makers seeking more comprehensive sustainability metrics in emerging markets.