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Publication
Sustentabilidade, rendibilidade e liquidez das ações
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Abstract(s)
A relação entre a sustentabilidade e as dimensões financeiras das empresas, nomeadamente
a rendibilidade e a liquidez das ações, tem sido amplamente debatida na literatura, mas sem
consenso. Alguns estudos sugerem que as práticas ESG melhoram a liquidez ao reduzir a
assimetria de informação, enquanto outros indicam efeitos nulos ou negativos, dependendo
da metodologia adotada e do contexto analisado. Quanto à rendibilidade, há evidências de
que o ESG pode ser penalizado pelos investidores devido a preocupações com custos
adicionais e incertezas de curto prazo.
Esta dissertação analisa empiricamente o impacto das práticas ESG na rendibilidade e
liquidez das ações de empresas cotadas no STOXX Europe 600 entre 2013 e 2023. Para tal,
foram utilizados modelos de regressão com dados em painel. A rendibilidade foi medida
através do excedente de rendibilidade (Cheng e Huang, 2024), enquanto a liquidez foi
mensurada através das medidas de Amihud (2002) e Liu (2006), permitindo captar diferentes
dimensões desta variável.
Grande parte da literatura sobre a relação entre ESG e indicadores financeiros foca-se nos
mercados norte-americano, chinês ou global. Assim, este estudo contribui para a literatura
ao analisar o mercado europeu. Além disso, diferencia-se por considerar separadamente os
três pilares do ESG e utilizar duas medidas de liquidez, conferindo ao estudo uma visão mais
ampla.
Os resultados indicam que o ESG tem um impacto negativo e estatisticamente significativo
na rendibilidade das ações, sugerindo que investidores podem penalizar empresas
sustentáveis. No que se refere à liquidez, os efeitos são consensuais quanto à métrica
utilizada, tanto para Amihud (2002) como para Liu (2006), concluiu-se que a
sustentabilidade contribui positivamente para a liquidez das ações
The relationship between sustainability and the financial dimensions of companies, namely stock returns and liquidity, has been widely debated in the literature, but without consensus. Some studies suggest that ESG practices improve liquidity by reducing information asymmetry, while others indicate null or even negative effects, depending on the methodology used and the context analyzed. Regarding stock returns, there is evidence that ESG may be penalized by investors due to concerns about additional costs and short-term uncertainties. This dissertation empirically analyzes the impact of ESG practices on the stock returns and liquidity of companies listed on the STOXX Europe 600 between 2013 and 2023. For this purpose, panel data regression models were used. Stock returns were measured through excess returns (Cheng & Huang, 2024), while liquidity was assessed using the measures proposed by Amihud (2002) and Liu (2006), capturing different dimensions of this variable. Much of the literature on the relationship between ESG and financial indicators focuses on the U.S., Chinese, or global markets. Thus, this study contributes to the literature by analyzing the European market. Additionally, it differentiates itself by separately considering the three ESG pillars and using two liquidity measures, providing a broader perspective. The results indicate that ESG has a negative and statistically significant impact on stock profitability, suggesting that investors may penalize sustainable companies. Regarding liquidity, the effects are consistent across the metrics used: both Amihud and Liu measures confirm that sustainability positively contributes to stock liquidity.
The relationship between sustainability and the financial dimensions of companies, namely stock returns and liquidity, has been widely debated in the literature, but without consensus. Some studies suggest that ESG practices improve liquidity by reducing information asymmetry, while others indicate null or even negative effects, depending on the methodology used and the context analyzed. Regarding stock returns, there is evidence that ESG may be penalized by investors due to concerns about additional costs and short-term uncertainties. This dissertation empirically analyzes the impact of ESG practices on the stock returns and liquidity of companies listed on the STOXX Europe 600 between 2013 and 2023. For this purpose, panel data regression models were used. Stock returns were measured through excess returns (Cheng & Huang, 2024), while liquidity was assessed using the measures proposed by Amihud (2002) and Liu (2006), capturing different dimensions of this variable. Much of the literature on the relationship between ESG and financial indicators focuses on the U.S., Chinese, or global markets. Thus, this study contributes to the literature by analyzing the European market. Additionally, it differentiates itself by separately considering the three ESG pillars and using two liquidity measures, providing a broader perspective. The results indicate that ESG has a negative and statistically significant impact on stock profitability, suggesting that investors may penalize sustainable companies. Regarding liquidity, the effects are consistent across the metrics used: both Amihud and Liu measures confirm that sustainability positively contributes to stock liquidity.
Description
Keywords
ESG Rendibilidade Liquidez Europa