Precificação de fatores ESG no mercado de ações brasileiro: uma abordagem sob o escopo dos modelos de Fama-French

Abstract

The growing adoption of ESG criteria – designation for environmental, social and governance – in the management practices of companies raises the question whether such aspects are relevant for investors as a systematic risk metric. The present study aims to verify whether the ESG performance of Brazilian companies traded on the stock exchange represents a significant risk factor in the pricing process of the respective shares. For this, the Fama and French (1993, 2015) factor models methodology was applied, with necessary adaptations to the Brazilian case, such as the use of a liquidity filter for stocks, construction of portfolios with a higher level of diversification, treatment of outliers and elaboration of factors neutral to the size effect. Portfolios were analyzed with monthly data, consisting of publicly traded Brazilian companies with shares traded on the B3 (Brasil, Bolsa, Balcão), between September 2010 and February 2023, including those that went private during this period, aiming to minimize problems caused by survival bias. The results indicate that the inclusion of a green factor – derived from the performance in the ESG dimension, in aggregate, or E, S and G, separately – provides, on average, a more adequate representation of the expected returns of the shares. Compared to the Fama-French three-factor model, the inclusion of a green factor enabled an average reduction of 4.12% and a maximum of 12.50% in the GRS test statistic. Regarding the five-factor model, the inclusion of a green factor provided an average reduction of 0.17% and a maximum of 13.22% in the statistics. The green risk factor with the highest level of contribution to the models was ESG (aggregate dimension), which provided an average reduction in the GRS statistic of 4.95% and 5.09%, compared to the models with three and five factors of Fame- French, respectively. The results indicate that ESG information is priced by investors in the Brazilian stock market, at least modestly, and that the marginal contribution of the green factor is greater compared to the three-factor model than compared to the five-factor model. Furthermore, it was possible to conclude that the Fama-French three-factor and five-factor models, as well as the models that include a green factor, in general, are adequate and sufficient representations of the expected returns of assets traded on the Brazilian stock exchange. The results of the green factor coefficients were mixed, and it was not possible to identify positive or negative premiums associated with the companies' ESG performance.