A relevância das práticas de sustentabilidade empresarial para o retorno acionário no mercado de capitais brasileiro: um estudo comparativo entre o ISE e o DJSEMI

Abstract

The goal of the present study is to analyze the relationship between sustainability indices and stock returns, as well as the effectiveness of choice criteria for the inclusion of these stocks in such indices. In this sense, a research was carried out that sought to investigate whether there was a difference between the returns of companies present in two sustainability indices that cover the Brazilian financial and capital market from 2013 to 2022: ISE and DJSEMI, through a panel data regression. The selection of assets was made considering the companies that were part of the ISE in at least one of the years in the period from 2013 to 2022, as well as the companies that were part of the DJSEMI, in at least one of the years in the period. From there, 47 companies were selected that were part of the ISE in at least one of the years. Of these, 22 were also part of the DJSEMI portfolio in at least one of the years. A total of 47 companies were also included in the sample, selected at random, which were not part of any of the índices in any of the years, composing a final sample of 94 companies. Three different approaches to data modeling were tested: Pooled model, fixed effects model and random effects model. Time and sample companies were tested as possible fixed and random effects. The models were estimated using the lme4 package of the R software and the backward procedure was performed to determine the best model. We found that being part of the ISE portfolio during the analyzed period contributed negatively to the return of the companies in the sample. However, the opposite was observed for the Brazilian companies that were part of the DJSEMI portfolio, which could characterize a deficiency in the process of choosing the composition of the ISE portfolio with companies that, in fact, present sustainable practices.