SÜRDÜRÜLEBİLİRLİK PERFORMANSININ PAY GETİRİLERİ İLE OYNAKLIK ÜZERİNDEKİ ETKİSİ: BORSA İSTANBUL’DAN KANITLAR
THE IMPACT OF SUSTAINABILITY PERFORMANCE ON STOCK RETURNS AND VOLATILITY: EVIDENCE FROM BORSA ISTANBUL

Summary/Abstract: Sustainability performance has become an issue that companies closely monitor and develop strategies to address under pressure from their stakeholders. One of the most important reasons for this result is the awareness among stakeholders about global warming in the age of information. For this reason, sustainability performance plays an undeniable role in the transition to a green economy at the brink of the climate crisis. The purpose of this study is to highlight sustainability performance's importance to investors and owners of companies seeking low risk and high returns. It was examined whether ESG scores retrieved from Refinitiv, representing sustainability performance, affected stock price volatility and stock returns. The study examined companies traded on Borsa Istanbul using panel data econometrics. In addition to the combined ESG score and its three dimensions, the effects of cash flows, financial leverage and firm size are also examined. Findings obtained from eight different models that have been established show that high sustainability performance affects returns positively, while affects volatility negatively.

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