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ESG AND SMART BETA: A RESEARCH IN TURKISH CAPITAL MARKET

Year 2024, Issue: 43, 109 - 124, 05.05.2024

Seda Turnacıgil

https://doi.org/10.18092/ulikidince.1416860

Abstract

There is growing evidence that integrating environmental, social and governance (ESG) activities, which include businesses' non-financial information, into investment decisions can increase risk-adjusted returns and contribute to long-term sustainability. This study examined whether portfolios that are compatible not only with financial performance but also with sustainability goals and ethical issues can be created. In addition, this study evaluates ESG and smart beta strategies together in supporting sustainable investment. For this, portfolios were created based on high (low) ESG score, high (low) market value and high (low) return on assets (ROA) in each quarter between January 2021 and September 2023. Then, the excess returns and risk-adjusted (CAPM) returns of these portfolios were examined. Accordingly, it cannot be said that portfolios created based on high ESG scores in Turkiye provide better returns according to risk than low ESG portfolios and smart beta strategies. It can be said that the best investment strategy between the specified periods is investment in high market capitalization or high ROA portfolios.

Keywords

ESG Passive Investment smart beta Portfolio performance Corporate Social Responsibility

References

  • Auer, B.R. and Schuhmacher, F. (2016). Do Socially (Ir)Responsible İnvestments Pay? New Evidence from International ESG Data. The Quarterly Review of Economics and Finance, 59, 51–62.
  • Akyıldırım, E., Coşkun, A., Çelik, İ., ve Höl, A. Ö. (2022). Çevresel, Sosyal ve Yönetişim (ESG) Haberlerinin Firmaların Finansal Performansına Etkisi: Borsa İstanbul’dan Kanıt. Ankara Hacı Bayram Veli Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 24 (2), 598-621.
  • Amenc, N. and Goltz, F. (2013). Smart Beta 2.0. The Journal of Index Investing, 15-23.
  • Atasel, O. Y., ve Güneysu, Y. (2023). ESG Performansı ile Borç Maliyeti Arasındaki İlişki Üzerine bir Araştırma. Muhasebe ve Vergi Uygulamaları Dergisi, 16(2), 185-202.
  • Bender, J., X. Sun, and T. Wang. (2017). Thematic Indexing, Meet Smart Beta! Merging ESG into factor portfolios. The Journal of Index Investing 8 (3), 89–101.
  • Callahan, C. (2019). ESG Investing: Sector, Industry and Stock Impact on ESG Performance. Advisor Perspectives.
  • Clark, G. L., Feiner, A., and Viehs, M. (2015). From the Stockholder to the Stakeholder: How Sustainability Can Drive Financial Outperformance. University of Oxford, Smith School of Enterprise and the Environment.
  • Çek, K. (2023). Relationship between Environmental, Social and Corporate Governance Performance and Financial Performance. Maliye ve Finans Yazıları, 37 (119), 1-20.
  • Dai, Y. (2021). Can ESG Investing Beat the Market and Improve Portfolio Diversification? Evidence from China, The Chinese Economy, 54:4, 272-285, DOI: 10.1080/10971475.2020.1857063
  • Fiorillo, P., Meles, A., Pellegrino, L. R., and Verdoliva, V. (2024). Geopolitical Risk And Stock Price Crash Risk: The Mitigating Role Of ESG Performance. International Review of Financial Analysis, 91, 102958.
  • Finra (2023). Erişim Adresi: https://www.finra.org/investors/insights/smart-beta-what-you-need-know
  • Giese, G.; Ossen, A.; and Bacon, S. (2016). ESG as a Performance Factor for Smart Beta Indexes. The Journal of Index Investing, 7(3), 7-20.
  • Grabenwarter, U., and Liechtenstein, H., (2012). In Search Of Gamma-An Unconventional Perspective on Impact Investing. University of Navarra.
  • Global Reporting Initiative (GRI). (2023). Sustainability Reporting Standards. Erişim Adresi: https://www.globalreporting.org/standards/
  • Glushkov., D. (2015), How Smart are “Smart Beta” ETFs? Analysis of Relative Performance and Factor Exposure. Wharton Research Data Services (WRDS) University of Pennsylvania, 1-49
  • He, F., Feng, Y. and Hao, J. (2023). Corporate ESG Rating and Stock Market Liquidity: Evidence from China. Economic Modelling, 129, 106511.
  • Ielasi, F., P. Ceccherini, and P., Zito. (2020). Integrating ESG Analysis into Smart Beta Strategies. Sustainability 12 (22), 1–22.
  • Jiang, C., Du, J., An, Y. and Zhang, J. (2021). Factor tracking: A New Smart Beta Strategy that Outperforms Naïve Diversification. Economic Modelling, (96) ,396–408.
  • Kulalı, G. (2022). Çevresel, Sosyal ve Kurumsal Yönetim (ESG) Performansının Piyasa Değeri Üzerindeki Etkisi: Firma Büyüklüğünün Rolü. Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 17(3), 787 – 809
  • Lee, D. D., Fan, J., and Wong, V. (2020). No More Excuses! Performance of ESG-integrated portfolios in Australia. Accounting & Finance, 61, 2407-2450.
  • Lintner, J., (1965). The Valuation Of Risk Assets And The Selection of Risky Investments in Stock Portfolios and Capital Budgets. Rev. Econ. Stat. 47 (1), 13.
  • Luo, D., Shan, X., Yan, Z. and Yan, Q. (2023). Sustainable Investment Under ESG Volatility And Ambiguity. Economic Modelling,128, 106471.
  • Mohammad, W. and Wasiuzzaman, S. (2021). Environmental, Social and Governance (ESG) Disclosure, Competitive Advantage and Performance of Firms in Malaysia. Cleaner Environmental Systems, 2, 2666-7894. https://doi.org/10.1016/j.cesys.2021.100015
  • Mollet, J.C. and Ziegler, A. (2014), Socially Responsible Investing And Stock Performance: New Empirical, Review Of Financial Economics, 23(4), 208-216.
  • Maiti, M. (2020), Is ESG the Succeeding Risk Factor?. Journal of Sustainable Finance and Investment 11 (3), 199–213
  • Matos, P. (2020). ESG and Responsıble Institutional Investing Around The World: A Critical Review CFA Instıtute Research Foundatıon
  • Narula, R., Rao, P., Kumar, S. and Matta, R. (2024). ESG Scores And Firm Performance- Evidence From Emerging Market. International Review of Economics and Finance. 89, 1170-1184.
  • Özer, G., Aktaş, N. ve Çam, İ. (2023). Environmental, Social, and Governance (ESG) Scores and Financial Performance of Publicly Listed Companies in Turkey. Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 18(2), 337 –353.
  • Prol, J. L. and Kim, K. (2022). Risk-Return Performance of Optimized ESG Equity Portfolios In The NYSE, Finance Research Letters 50,
  • Rahman, H. U., Zahid, M. and Al-Faryan, A.S. (2023). Esg And Firm Performance: The Rarely Explored Moderation Of Sustainability Strategy And Top Management Commitment. Journal of Cleaner Production, 50, 136859
  • Saygılı, E., Arslan, Ş. ve Birkan, A.Ö. (2022). ESG Practices and Corporate Financial Performance: Evidence From Borsa Istanbul. Borsa Istanbul Review, 22(3), 525-533
  • Sharpe, W., (1964). Capital asset prices: A Theory Of Market Equilibrium Under Conditions Of Risk. Journal of Finance, 29 (3), 425–442.
  • Stempler, B., (2021). ESG Investing: The Use of ESG Ratings in a Smart Beta Strategy. Financial and Economic Review, 20 (2), 91–116.
  • Şişman, M.E. ve Çankaya, S. (2021). Çevresel, Sosyal ve Kurumsal Yönetişim (ESG) Verilerinin Firmaların Finansal Performansına Etkisi: Hava Yolu Sektörü Üzerine Bir Çalışma. Çukurova Üniversitesi İİBF Dergisi, 25(1), 73-91.
  • Tan, Y-M., Szulczyk, K. and Sii, Y-H. (2023). Performance of ESG-integrated Smart Beta Strategies in Asia-Pacific Stock Markets. Research in International Business and Finance, (66),1-15.
  • United Nations Principles for Responsible Investment (UN PRI). (2023). Erişim adresi: https://www.unpri.org/pri/about-the-pri
  • Yasmin, B. and Kooli, M. (2022). Smart Beta ESG Disclosure. Journal of Asset Management, (23),567–580
  • Wu, Y. and Borovkova, S. (2021). Sustaınable Factor Investıng: ESG Considerations in Your Factor Strategies.https://probability.nl/wp-content/uploads/2021/09/ESG-multifactor-RE1437068_IA_Whitepaper.pdf
  • Yıldız, B., S. (2020). Risk Tabanlı Smart Beta Stratejilerin Borsa İstanbul’da Uygulanması. Yönetim ve Ekonomi, 27(2), 353-367.
  • Yu, H., Liang, C., Liu, Z. and Wang, H. (2023). News-based ESG Sentiment And Stock Price Crash Risk. International Review of Financial Analysis, 88, 102646
  • Yoo, S., Keeley, A. R. and Managi, S. (2021). Does Sustainability Activities Performance Matter During Financial Crises? Investigating The Case Of COVID-19. Energy Policy. 155,112330.
  • Zehir E., Aybars A. (2020). Is There Any Effect Of ESG Scores On Portfolio Performance? Evidence From Europe And Turkey. Journal of Capital Markets Studies, 129-143

ESG VE AKILLI BETA: TÜRK SERMAYE PİYASASINDA BİR ARAŞTIRMA

Year 2024, Issue: 43, 109 - 124, 05.05.2024

Seda Turnacıgil

https://doi.org/10.18092/ulikidince.1416860

Abstract

İşletmelerin finansal olmayan bilgilerini içeren çevresel sosyal ve yönetişim (ESG) faaliyetlerini yatırım kararlarına eklemenin uzun vadeli sürdürülebilirliği desteklediği ve portföyün riske göre düzenlenmiş getirilerini arttırdığına dair araştırmalar mevcuttur. Bu çalışmada Türkiye’de işletmelerin sürdürülebilirlik faaliyetlerinin yatırım kararlarında bir faktör olarak ele alınıp alınamayacağı incelenmiştir. Bu amaçla, yatırım stratejilerinde sıklıkla başvurulan ve büyüklük, değer, momentum gibi kriterlere göre portföy oluşturmayı hedefleyen akıllı beta stratejilerine, işletmelerin sürdürülebilirlik faaliyetlerini ölçen ESG puanı kriterini eklemenin faydası ölçülmüştür. Çalışmada Ocak 2021-Eylül 2023 tarihleri arasındaki her çeyrek dönemde yüksek (düşük) ESG puanı, yüksek (düşük) piyasa değeri ve yüksek (düşük) aktif karlılığı baz alınarak portföyler oluşturulmuş, bu portföylerin normal-üstü getiri ve riske göre ayarlanmış (CAPM) getirileri ölçülerek portföyler arasında kıyaslama yapılmıştır. Buna göre Türkiye’de yüksek ESG puanları baz alınarak oluşturulan portföylerin düşük ESG portföylerinden ve akıllı beta stratejilerinden daha iyi riske göre getiri sağladığı söylenememektedir. Belirtilen dönemler arasında en faydalı yatırım stratejisinin yüksek piyasa değerine göre veya yüksek aktif karlılığına göre oluşturulan portföylere yatırım olduğu görülmektedir.

Keywords

ESG PASİF YATIRIM AKILLI BETA PORTFÖY PERFORMANSI KURUMSAL SOSYAL SORUMLULUK

References

  • Auer, B.R. and Schuhmacher, F. (2016). Do Socially (Ir)Responsible İnvestments Pay? New Evidence from International ESG Data. The Quarterly Review of Economics and Finance, 59, 51–62.
  • Akyıldırım, E., Coşkun, A., Çelik, İ., ve Höl, A. Ö. (2022). Çevresel, Sosyal ve Yönetişim (ESG) Haberlerinin Firmaların Finansal Performansına Etkisi: Borsa İstanbul’dan Kanıt. Ankara Hacı Bayram Veli Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 24 (2), 598-621.
  • Amenc, N. and Goltz, F. (2013). Smart Beta 2.0. The Journal of Index Investing, 15-23.
  • Atasel, O. Y., ve Güneysu, Y. (2023). ESG Performansı ile Borç Maliyeti Arasındaki İlişki Üzerine bir Araştırma. Muhasebe ve Vergi Uygulamaları Dergisi, 16(2), 185-202.
  • Bender, J., X. Sun, and T. Wang. (2017). Thematic Indexing, Meet Smart Beta! Merging ESG into factor portfolios. The Journal of Index Investing 8 (3), 89–101.
  • Callahan, C. (2019). ESG Investing: Sector, Industry and Stock Impact on ESG Performance. Advisor Perspectives.
  • Clark, G. L., Feiner, A., and Viehs, M. (2015). From the Stockholder to the Stakeholder: How Sustainability Can Drive Financial Outperformance. University of Oxford, Smith School of Enterprise and the Environment.
  • Çek, K. (2023). Relationship between Environmental, Social and Corporate Governance Performance and Financial Performance. Maliye ve Finans Yazıları, 37 (119), 1-20.
  • Dai, Y. (2021). Can ESG Investing Beat the Market and Improve Portfolio Diversification? Evidence from China, The Chinese Economy, 54:4, 272-285, DOI: 10.1080/10971475.2020.1857063
  • Fiorillo, P., Meles, A., Pellegrino, L. R., and Verdoliva, V. (2024). Geopolitical Risk And Stock Price Crash Risk: The Mitigating Role Of ESG Performance. International Review of Financial Analysis, 91, 102958.
  • Finra (2023). Erişim Adresi: https://www.finra.org/investors/insights/smart-beta-what-you-need-know
  • Giese, G.; Ossen, A.; and Bacon, S. (2016). ESG as a Performance Factor for Smart Beta Indexes. The Journal of Index Investing, 7(3), 7-20.
  • Grabenwarter, U., and Liechtenstein, H., (2012). In Search Of Gamma-An Unconventional Perspective on Impact Investing. University of Navarra.
  • Global Reporting Initiative (GRI). (2023). Sustainability Reporting Standards. Erişim Adresi: https://www.globalreporting.org/standards/
  • Glushkov., D. (2015), How Smart are “Smart Beta” ETFs? Analysis of Relative Performance and Factor Exposure. Wharton Research Data Services (WRDS) University of Pennsylvania, 1-49
  • He, F., Feng, Y. and Hao, J. (2023). Corporate ESG Rating and Stock Market Liquidity: Evidence from China. Economic Modelling, 129, 106511.
  • Ielasi, F., P. Ceccherini, and P., Zito. (2020). Integrating ESG Analysis into Smart Beta Strategies. Sustainability 12 (22), 1–22.
  • Jiang, C., Du, J., An, Y. and Zhang, J. (2021). Factor tracking: A New Smart Beta Strategy that Outperforms Naïve Diversification. Economic Modelling, (96) ,396–408.
  • Kulalı, G. (2022). Çevresel, Sosyal ve Kurumsal Yönetim (ESG) Performansının Piyasa Değeri Üzerindeki Etkisi: Firma Büyüklüğünün Rolü. Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 17(3), 787 – 809
  • Lee, D. D., Fan, J., and Wong, V. (2020). No More Excuses! Performance of ESG-integrated portfolios in Australia. Accounting & Finance, 61, 2407-2450.
  • Lintner, J., (1965). The Valuation Of Risk Assets And The Selection of Risky Investments in Stock Portfolios and Capital Budgets. Rev. Econ. Stat. 47 (1), 13.
  • Luo, D., Shan, X., Yan, Z. and Yan, Q. (2023). Sustainable Investment Under ESG Volatility And Ambiguity. Economic Modelling,128, 106471.
  • Mohammad, W. and Wasiuzzaman, S. (2021). Environmental, Social and Governance (ESG) Disclosure, Competitive Advantage and Performance of Firms in Malaysia. Cleaner Environmental Systems, 2, 2666-7894. https://doi.org/10.1016/j.cesys.2021.100015
  • Mollet, J.C. and Ziegler, A. (2014), Socially Responsible Investing And Stock Performance: New Empirical, Review Of Financial Economics, 23(4), 208-216.
  • Maiti, M. (2020), Is ESG the Succeeding Risk Factor?. Journal of Sustainable Finance and Investment 11 (3), 199–213
  • Matos, P. (2020). ESG and Responsıble Institutional Investing Around The World: A Critical Review CFA Instıtute Research Foundatıon
  • Narula, R., Rao, P., Kumar, S. and Matta, R. (2024). ESG Scores And Firm Performance- Evidence From Emerging Market. International Review of Economics and Finance. 89, 1170-1184.
  • Özer, G., Aktaş, N. ve Çam, İ. (2023). Environmental, Social, and Governance (ESG) Scores and Financial Performance of Publicly Listed Companies in Turkey. Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 18(2), 337 –353.
  • Prol, J. L. and Kim, K. (2022). Risk-Return Performance of Optimized ESG Equity Portfolios In The NYSE, Finance Research Letters 50,
  • Rahman, H. U., Zahid, M. and Al-Faryan, A.S. (2023). Esg And Firm Performance: The Rarely Explored Moderation Of Sustainability Strategy And Top Management Commitment. Journal of Cleaner Production, 50, 136859
  • Saygılı, E., Arslan, Ş. ve Birkan, A.Ö. (2022). ESG Practices and Corporate Financial Performance: Evidence From Borsa Istanbul. Borsa Istanbul Review, 22(3), 525-533
  • Sharpe, W., (1964). Capital asset prices: A Theory Of Market Equilibrium Under Conditions Of Risk. Journal of Finance, 29 (3), 425–442.
  • Stempler, B., (2021). ESG Investing: The Use of ESG Ratings in a Smart Beta Strategy. Financial and Economic Review, 20 (2), 91–116.
  • Şişman, M.E. ve Çankaya, S. (2021). Çevresel, Sosyal ve Kurumsal Yönetişim (ESG) Verilerinin Firmaların Finansal Performansına Etkisi: Hava Yolu Sektörü Üzerine Bir Çalışma. Çukurova Üniversitesi İİBF Dergisi, 25(1), 73-91.
  • Tan, Y-M., Szulczyk, K. and Sii, Y-H. (2023). Performance of ESG-integrated Smart Beta Strategies in Asia-Pacific Stock Markets. Research in International Business and Finance, (66),1-15.
  • United Nations Principles for Responsible Investment (UN PRI). (2023). Erişim adresi: https://www.unpri.org/pri/about-the-pri
  • Yasmin, B. and Kooli, M. (2022). Smart Beta ESG Disclosure. Journal of Asset Management, (23),567–580
  • Wu, Y. and Borovkova, S. (2021). Sustaınable Factor Investıng: ESG Considerations in Your Factor Strategies.https://probability.nl/wp-content/uploads/2021/09/ESG-multifactor-RE1437068_IA_Whitepaper.pdf
  • Yıldız, B., S. (2020). Risk Tabanlı Smart Beta Stratejilerin Borsa İstanbul’da Uygulanması. Yönetim ve Ekonomi, 27(2), 353-367.
  • Yu, H., Liang, C., Liu, Z. and Wang, H. (2023). News-based ESG Sentiment And Stock Price Crash Risk. International Review of Financial Analysis, 88, 102646
  • Yoo, S., Keeley, A. R. and Managi, S. (2021). Does Sustainability Activities Performance Matter During Financial Crises? Investigating The Case Of COVID-19. Energy Policy. 155,112330.
  • Zehir E., Aybars A. (2020). Is There Any Effect Of ESG Scores On Portfolio Performance? Evidence From Europe And Turkey. Journal of Capital Markets Studies, 129-143
There are 42 citations in total.

Details

Primary Language Turkish
Subjects Capital Market, Environment and Climate Finance, Finance
Journal Section Articles
Authors

Seda Turnacıgil 0000-0002-8573-8412

Publication Date May 5, 2024
Submission Date January 9, 2024
Acceptance Date March 18, 2024
Published in Issue Year 2024 Issue: 43

Cite

APA Turnacıgil, S. (2024). ESG VE AKILLI BETA: TÜRK SERMAYE PİYASASINDA BİR ARAŞTIRMA. Uluslararası İktisadi Ve İdari İncelemeler Dergisi(43), 109-124. https://doi.org/10.18092/ulikidince.1416860

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