Effect of Esg Scores on Portfolio Performance: Evidence From Developing (E-7) Countries

Oğuz Şimşek and Serkan Çankaya
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Oğuz Şimşek: İstanbul Commerce University
Serkan Çankaya: Istanbul Commerce University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2025, vol. 40, issue 123, 35-63

Abstract: This study aims to integrate esg (environmental, social, and governance) scores, a measure of sustainability, into asset pricing models in e-7 countries. To determine whether sustainability has an impact on portfolio performance, all firms with available data were included in the analysis. A new factor created from the esg scores of these firms was integrated into the model based on the five-factor methodology published by fama & french (2015). Our findings indicate that while esg scores have both positive and negative effects in explaining returns, this impact is statistically significant only in türkiye among the E-7 countries.

Keywords: Sustainable Finance; ESG; Asset Pricing Models (search for similar items in EconPapers)
JEL-codes: G10 G11 Q56 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:40:y:2025:i:123:p:35-63

DOI: 10.33203/mfy.1565089

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