Impacto no desempenho de índices ESG: um estudo comparativo no Brasil e em mercados internacionais

• Ano de defesa: 2023
• Autor(a) principal: Pinheiro, Rodrigo da Gama
• Orientador(a): Figueirêdo Júnior, Hugo Santana
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: ESG; Governança corporativa; CSR; Sustentabilidade; Responsabilidade social
• Link de acesso: http://www.repositorio.ufc.br/handle/riufc/72581

The frequent use of Socially Responsible Investment (SRI) indices in more developed markets has motivated the investigation of the performance of these portfolios. In Brazil, most studies have investigated concepts of environment, social responsibility and corporate governance (ESG) related to the Corporate Sustainability Index (ISE ). However, no studies were identified that deal with the comparison of the relative performance of portfolios composed of companies with and without properly documented ESG practices. Therefore, with the objective of analyzing possible performance differences between ESG and Traditional indices, a comparative study was carried out on the performance of ESG and traditional indices series in Brazil and in reference international markets (United States, Europe and Asia) in the period from May 2014 to June 2021. Additionally, in order to identify the factors that could influence the performance of the ESG index portfolio in Brazil, metrics for scoring ESG practices, leverage, size and sector were used through analysis of panel data, with additive and interactive models. The results indicated that there was no significant difference in performance between the traditional and ESG indices in the analyzed markets. More specifically for Brazil, it was found that the performance of the ESG index was not significantly influenced by the ESG practices of the companies that make up the portfolio of this index, but rather by the size of these companies. The interactive models ESG x size, ESG x leverage and ESG x industry also indicated that company size (SIZE) is the only significant variable. In this sense, the influence of the ESG variable on the performance of the portfolio of companies in the S&P B3 ESG index was not observed in any of the models. However, robustness tests indicated that ESG is significant in the model with the ESG x size ratio. The study thus contributes to a greater understanding of the performance of ESG indices, and draws the attention of investors in their capital allocation decisions.