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Impacto do desempenho ESG no custo de capital próprio e risco sistemático
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A investigação acerca da integração dos fatores ambientais, sociais e de gestão na estratégia empresarial tem suscitado um debate intenso sobre o seu impacto. Neste contexto, o presente estudo investiga a influência das classificações ESG no custo do capital próprio das empresas, explorando se a adoção de práticas sustentáveis se traduz numa perceção de menor risco por parte dos investidores e, consequentemente, num menor custo de financiamento. Para tal, a análise incide sobre as empresas do índice Euronext 100, no período de 2014 a 2023, recorrendo a um modelo de regressão múltipla com base na abordagem Pooled OLS. Os resultados obtidos demonstram que, de forma agregada, as classificações ESG não apresentam um impacto estatisticamente significativo na redução do custo do capital próprio. Contudo, ao decompor o ESG nos seus três pilares fundamentais – ambiental, social e de gestão –, apenas o pilar social revelou impacto significativo, associando-se, contrariamente ao esperado, a um aumento do custo de capital. Estes resultados sugerem que a relação entre ESG e custo do capital próprio não é uniforme nem linear, sendo influenciada por fatores setoriais, macroeconómicos e pela perceção dos investidores sobre os desafios e benefícios associados à sustentabilidade empresarial (Eccles et al., 2014; El Ghoul et al., 2011). Adicionalmente, os resultados levantam questões relevantes quanto à efetividade da integração dos critérios ESG como mecanismo de mitigação do risco sistemático, sugerindo-se que investigações futuras explorem abordagens metodológicas alternativas, bem como uma análise diferenciada em distintos setores de atividade e em mercados emergentes.
Research on the integration of environmental, social and managerial factors into business strategy has sparked intense debate about its impact. In this context, the present study investigates the influence of ESG ratings on companies' cost of equity, exploring whether the adoption of sustainable practices translates into a perception of lower risk by investors and, consequently, a lower cost of financing. To this end, the analysis focuses on companies in the Euronext 100 index, from 2014 to 2023, using a multiple regression model based on the Pooled OLS approach. The results obtained demonstrate that, in aggregate, ESG ratings do not have a statistically significant impact on reducing the cost of equity. However, when breaking down ESG into its three fundamental pillars – environmental, social and management – only the social pillar revealed a significant impact, being associated, contrary to expectations, with an increase in the cost of capital. These results suggest that the relationship between ESG and cost of equity is neither uniform nor linear, being influenced by sectoral and macroeconomic factors and by investors' perception of the challenges and benefits associated with corporate sustainability (Eccles et al., 2014; El Ghoul et al., 2011). Additionally, the results raise relevant questions regarding the effectiveness of integrating ESG criteria as a mechanism for mitigating systematic risk, suggesting that future research explore alternative methodological approaches, as well as a differentiated analysis in different sectors of activity and in emerging markets.
Research on the integration of environmental, social and managerial factors into business strategy has sparked intense debate about its impact. In this context, the present study investigates the influence of ESG ratings on companies' cost of equity, exploring whether the adoption of sustainable practices translates into a perception of lower risk by investors and, consequently, a lower cost of financing. To this end, the analysis focuses on companies in the Euronext 100 index, from 2014 to 2023, using a multiple regression model based on the Pooled OLS approach. The results obtained demonstrate that, in aggregate, ESG ratings do not have a statistically significant impact on reducing the cost of equity. However, when breaking down ESG into its three fundamental pillars – environmental, social and management – only the social pillar revealed a significant impact, being associated, contrary to expectations, with an increase in the cost of capital. These results suggest that the relationship between ESG and cost of equity is neither uniform nor linear, being influenced by sectoral and macroeconomic factors and by investors' perception of the challenges and benefits associated with corporate sustainability (Eccles et al., 2014; El Ghoul et al., 2011). Additionally, the results raise relevant questions regarding the effectiveness of integrating ESG criteria as a mechanism for mitigating systematic risk, suggesting that future research explore alternative methodological approaches, as well as a differentiated analysis in different sectors of activity and in emerging markets.
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Sustentabilidade Custo do capital próprio Risco sistemático Mercado europeu Regressão linear múltipla Sustainability Cost of equity Systematic risk European market Multiple linear regression
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