Useche, Alejand o J.; Ma ínez-Fe e o, Jenni e ; Reyes, Gio anni E.
A icle
Taking ESG s a egies o achie ing p o i s: A dynamic
panel da a analysis
Jou nal o Economics, Finance and Adminis a i e Science
P o ided in Coope a ion wi h:
Uni e sidad ESAN, Lima
Sugges ed Ci a ion: Useche, Alejand o J.; Ma ínez-Fe e o, Jenni e ; Reyes, Gio anni E. (2025) :
Taking ESG s a egies o achie ing p o i s: A dynamic panel da a analysis, Jou nal o Economics,
Finance and Adminis a i e Science, ISSN 2218-0648, Eme ald Publishing Limi ed, Leeds, Vol. 30,
Iss. 59, pp. 61-78,
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Taking ESG s a egies o
achie ing p o i s: a dynamic panel
da a analysis
Alejand o J. Useche
School o Managemen , Uni e sidad del Rosa io, Bogo a, Colombia
Jenni e Ma �
ınez-Fe e o
Accoun ing and Finance Depa men , Ins i u o Mul idisciplina de Emp esa (IME),
Uni e sidad de Salamanca, Salamanca, Spain, and
Gio anni E. Reyes
School o Managemen , Uni e sidad del Rosa io, Bogo a, Colombia
Abs ac
Pu pose –The goal is o in es iga e he ela ionship be ween inancial pe o mance and en i onmen al,
social and go e nance (ESG) indica o s and disclosu es o a sample o La in Ame ican i ms.
Design/me hodology/app oach –Dynamic panel da a eg essions a e used o analyze a sample o 114
companies lis ed on he La in Ame ican In eg a ed Ma ke , MILA (Chile, Colombia, Mexico and Pe u) o he
pe iod 2011–2020. The Al man Z-sco e and Pio oski F-sco e a e used as indica o s o he p obabili y o de aul
and comp ehensi e inancial s eng h. Models a e de eloped in which he ela ionship be ween economic
alue added (EVA) and Jensen’s alpha a e e alua ed agains i ms’ ESG p ac ices.
Findings –A di ec ela ionship be ween ESG s a egies and inancial pe o mance was ound. Be e
p ac ices and anspa ency in ESG a e ela ed o lowe p obabili y o bank up cy, g ea e inancial s eng h,
g ea e EVA and supe io isk-adjus ed e u ns.
Resea ch limi a ions/implica ions –ESG da a we e ob ained om he Bloombe g sys em based on a
me hodology ha may di e om o he sou ces. The sample co e s ou La in Ame ican coun ies and la ge
co po a ions. Independen a iables we e selec ed o hei pe cei ed alidi y, gi en hei equen use in
p e ious s udies.
P ac ical implica ions –E idence o company managemen ega ding he impo ance o s eng hening
ESG p ac ices and epo ing should be pa o hei balanced sco eca ds. Fo in es o s, he esul s suppo he
impo ance o e alua ing ESG p ac ices in asse selec ion.
O iginali y/ alue –The p esen s udy is he i s esea ch o p esen empi ical e idence on he ela ionship
be ween ESG sco es and disclosu es o MILA coun ies, using a comp ehensi e se o inancial pe o mance
indica o s (Al man Z-sco es, Pio oski F-sco es, EVA and Jensen’s alpha).
Keywo ds ESG, Co po a e social esponsibili y, Financial pe o mance, Dynamic da a panel,
De eloping ma ke s
Pape ype Resea ch pape
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Finance and
Adminis a i e
Science
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© Alejand o J. Useche, Jenni e Ma �
ınez-Fe e o and Gio anni E. Reyes. Published in Jou nal o
Economics, Finance and Adminis a i e Science. Published by Eme ald Publishing Limi ed. This a icle
is published unde he C ea i e Commons A ibu ion (CC BY 4.0) licence. Anyone may ep oduce,
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on and he Eu opean Regional De elopmen Fund (No:
CLU-2019-03) o unding he Resea ch Uni o Excellence “Economic Managemen o Sus ainabili y”
(GECOS) and he Mul idisciplina Ins i u e o En e p ise and also g a e ul o he MICIU/AEI/10.13039/
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Recei ed 6 Feb ua y 2023
Re ised 2 Feb ua y 2024
29 May 2024
2 Augus 2024
Accep ed 5 Sep embe 2024
Jou nal o Economics, Finance and
Adminis a i e Science
Vol. 30 No. 59, 2025
pp. 61-78
Eme ald Publishing Limi ed
2077-1886
DOI 10.1108/JEFAS-02-2023-0030
1. In oduc ion
A cen al ene o neoclassical inancial heo y is ha a business should maximize alue o
i s sha eholde s, and any conce n o he in e es s o , and impac s on di e en g oups and
communi ies (s akeholde s) is implici ; an in es men is wo hwhile only as long as i
gene a es posi i e ee cash lows (Bol on, 2015). Howe e , managemen s a egies ha e
e ol ed in ecen decades o include he en i onmen al, social and go e nance (ESG) aspec s
o a business. This change has also pe mea ed he iew o in es o s, who a e inc easingly
awa e o he ele ance o including ESG conside a ions in analyzing he pe o mance o he
companies in which hey in es (Hy ske e al., 2022;She wood and Polla d, 2023).
Al hough he e a e deba es abou he ela ionship be ween ESG p ac ices and inancial
esul s, mos empi ical s udies ha e ound a di ec ela ionship be ween hem (De wall e al.,
2005;Ma �
ınez-Fe e o and F �
ıas-Acei uno, 2015). Al hough he impo ance o aking ESG
c i e ia in o accoun in de ining a business s a egy is concep ually clea , he e idence shows
ha e o s o include ESG c i e ia a e insu icien , pa icula ly in La in Ame ica (Global
Sus ainable In es men Alliance, 2021). A he same ime, esea ch on he ESG p ac ices o
companies in he egion and i s inancial impac is sca ce.
Mo i a ed by his backd op, he cen al objec i e o his esea ch is o s udy he
ela ionship be ween ESG p ac ices and a ious inancial indica o s o companies in La in
Ame ica. We ocus on membe coun ies o he La in Ame ican In eg a ed Ma ke (MILA)
(Chile, Colombia, Mexico and Pe u), he la ges ansna ional s ock ma ke in eg a ion in his
pa o he Ame icas. Thus, he s udy sample includes 114 companies ac oss a ious sec o s,
co e ing he 10-yea pe iod om 2011 o 2020. Using a dynamic panel da a analysis, we ind
a di ec ela ionship be ween ESG p ac ices and disclosu es and inancial sol ency as
measu ed by Al man’s Z-sco e, as well as e idence o supe io o e all inancial s eng h
based on he Pio oski F-sco e. Addi ionally, we ind ha s onge ESG esul s a e ela ed o
g ea e economic alue c ea ion and supe io s ock pe o mance based on isk-adjus ed
e u ns.
The emainde o his s udy is o ganized as ollows: Sec ion 2 p esen s ou heo e ical
amewo k and hypo heses. Sec ion 3 explains he me hodology, including he da a and
sample selec ion p ocess, he empi ical measu es used and he p oposed eg ession models.
Sec ion 4 p esen s desc ip i e s a is ics o he sample and he esul s ob ained om he
eg ession models, along wi h a discussion o he esul s. Finally, he conclusions, main
indings, con ibu ions and limi a ions o he s udy a e p esen ed in Sec ion 5.
2. Li e a u e e iew and hypo heses de elopmen
Many s udies, bo h heo e ical and empi ical, examine he ela ionship be ween an
o ganiza ion’s ESG pe o mance and i s inancial esul s, gene a ing mixed a gumen s,
e idence and conclusions (Wood, 2010). On he one hand, s udies such as Le i (1958) and
F iedman (1970) a gue ha a company’s only esponsibili y is o maximize he weal h o i s
owne s. F om his pe spec i e, in es ing in ac i i ies wi h socie al bene i s ep esen s a cos
ha in e e es wi h he goal o op imizing co po a e p o i s. This a gumen is consis en wi h
an in e se ela ionship be ween co po a e social in es men and inancial pe o mance, as
p oposed by Waddock and G a es (1997), who a gue ha some manage s end o educe
spending on ESG ac i i ies when inancial esul s a e adequa e o imp o e epo ed p o i s in
he sho e m and, he e o e, o ecei e highe bonuses.
An opposing poin o iew is p esen ed by heo ies in he ield o co po a e social
esponsibili y (CSR), which ecognize ha businesses ha e a commi men o he socie ies
in which hey ope a e (Ca oll, 1979). In his s eam o he li e a u e, Jones (1980) and
F eeman (1984) lay he ounda ions o s akeholde heo y, a i ming ha manage s mus
conside a i m’s mo al du y o consume s, employees, supplie s, communi ies and socie y
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in gene al, including he en i onmen . A g owing body o li e a u e p esen s ecen
e idence o a posi i e co ela ion be ween ESG a ings and supe io inancial pe o mance
in e ms o ope a ing esul s, isk/ e u n p o iles and s ock e u ns (F iede e al., 2015;
Valo , 2005;Che kaso a e al., 2023), lowe ing he cos o capi al and boos ing a company’s
b and o o e all epu a ion (Ma �
ınez-Fe e o, 2014;Villa �
on-Pe ama o e al., 2018;Wei
e al., 2018).
Howe e , i is impo an ha companies no only ecei e accep able ESG sco es om
hi d-pa y p o ide s bu also supply adequa e and imely disclosu es o sus ainabili y
epo s. The e a e opposing a gumen s on his issue. On he one hand, he cos o capi al
pe spec i e (Buallay, 2019) a gues ha in es ing in ESG ac i i ies inc eases ope a ional
cos s and educes p o i s, hus educing ma ke alue, a leas in he sho e m (Dalal and
Thake , 2019).
On he o he hand, a second app oach, known as he alue c ea ion pe spec i e, posi s
ha in es ing in ESG ini ia i es can help companies o c ea e compe i i e ad an ages and
s eng hen inancial pe o mance (Eccles e al., 2014;Goss and Robe s, 2011). F om his
pe spec i e, mo e comple e disclosu es ega ding ESG ac i i ies and ou comes end o
inc ease e enue and educe cos s, p omo ing inancial s abili y and imp o ing s a egic
decision-making (Eccles e al., 2015;Eccles and Sal zman, 2011). Beyond con ibu ing o
be e inancial pe o mance in he sho e m, ESG disclosu es con ibu e o alue
c ea ion in he long e m (Jensen, 2000,2001). S udies such as Fa emi e al. (2018) and Li
e al. (2018) e i y ha companies wi h ESG s eng hs and high le els o disclosu e end o
inc ease hei alue and ice e sa; ha is, he e is a wo-way ela ionship be ween hese
aspec s.
Mos s udies on he ela ionship be ween ESG pe o mance and inancial esul s use
e u n on asse s (ROA) o Tobin’s Q as dependen a iables (Ba ne and Salomon, 2012;
Buallay, 2019;Van de Laan e al., 2008). Despi e hei widesp ead use in he li e a u e, hese
adi ional indica o s only pa ially e alua e an o ganiza ion’s inancial pe o mance and
isks o i s book alue ela i e o i s ma ke alue.
The ield o inancial analysis has de eloped o he me ics ha p o ide a mo e
comp ehensi e iew o an o ganiza ion’s inancial condi ion, which is why we de ine he
ollowing as dependen a iables in es ing ou hypo heses: (1) Al man’s Z sco e, a measu e
o a company’s p obabili y o de aul o bank up cy (Al man, 1968,2013;Al man e al., 1977);
(2) Pio oski’s F sco e, which exp esses he deg ee o a company’s inancial s eng h
(Pio oski, 2000); (3) economic alue added (EVA), an indica o o he economic p o i o
weal h c ea ed pe pe iod (S e n and Shiely, 2001), and (4) Jensen’s alpha, a measu e o he
di e ence be ween a s ock capi al asse p icing model (CAPM) expec ed e u n and i s
ealized ma ke e u n (Mayo, 2011;Sha pe, 1964).
Ve y ew empi ical wo ks analyze he ela ionship be ween ESG indica o s and inancial
pe o mance in La in Ame ican ma ke s, and hei scope in e ms o a iables s udied and
ime pe iods is limi ed. Co ea-Ga c�
ıa and V�
asquez-A ango (2020),Duque-G isales and
Aguile a-Ca acuel (2021) and Rod �
ıguez-Ga c�
ıa e al. (2022) use ROA o Tobin’s Q as
dependen a iables, s udying pe iods anging om i e o se en yea s. Ga z�
on-Jim�
enez and
Zo io-G ima (2021) as well as Ram�
ı ez e al. (2022) ocus only on he impac o ESG
pe o mance on he cos o capi al. La in and Mon ecinos-Pea ce (2021) s udy he
ela ionship be ween boa d cha ac e is ics and ESG disclosu e in he con ex o a single
coun y. I is he e o e impo an o ca y ou deepe empi ical esea ch in he con ex o
La in Ame ica, a de eloping egion in which academic con ibu ions on en i onmen al
sus ainabili y and social wel a e can s eng hen awa eness abou co po a e esponsibili y
wi h espec o na u al esou ces, he igh agains po e y and co up ion (Blow ield, 2005)
and socie al and go e nmen commi men s o imp o ing ESG p ac ices ha signi ican ly
impac he socioeconomic en i onmen (Visse , 2008).
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Based on he abo e discussion, he ollowing wo opposi e-sign hypo heses a e p oposed:
H1a. The be e a company’s ESG pe o mance and epo ing, he be e i s inancial
pe o mance in he o m o a lowe p obabili y o bank up cy, g ea e inancial
s eng h, inc eased sha eholde alue and supe io isk/ e u n pe o mance.
H1b. The be e a company’s ESG pe o mance and epo ing, he wo se i s co po a e
inancial pe o mance, exp essed as a highe p obabili y o bank up cy, he weake i s
inancial s eng h and abili y o gene a e sha eholde alue and he wo se i s isk/ e u n
pe o mance.
3. Me hod
3.1 Da a and a iables
To c ea e he s udy sample, we selec ed he companies om he main s ock ma ke indices o
he ou coun ies ha comp ise he MILA (Chile, Colombia, Mexico and Pe u) o he pe iod
2011–2020. These indices a e as ollows: he �
Indice de P ecios Selec i o de Acciones (IPSA)
index o Chile (28 companies), he Colombia In es o Rela ions index (COLIR) o Colombia
(23 companies), he Mexican S ock Exchange P ice and Quo a ion Index (MEXBOL) o
Mexico (35 companies) and he S&P Lima Gene al Index o Pe u (28 companies).
The selec ion c i e ion o hese indices was ep esen a i eness, i.e. an index conside ed he
main e e ence o each coun y was chosen. The da a we e ob ained om he Bloombe g
in o ma ion sys em, consis ing o an a ay o 1,150 obse a ions o e a 10-yea pe iod.
The dis ibu ion o he sample by coun y and sec o is shown in Table 1.
Dependen a iables o his s udy a e (1) Al man Z-sco e, z_al man; (2) Pio oski F-sco e,
_pio oski; (3) EVA, ln_e a and (4) Jensen’s alpha, alpha. To in es iga e ou hypo heses, we
p opose wo explana o y a iables, ESG_sco e and ESG_disc, e e ing o ESG pe o mance
p oxies and disclosu e o ESG in o ma ion, espec i ely. Da a we e ob ained om he
Bloombe g in o ma ion sys em. A de ailed explana ion o Bloombe g ESG pe o mance
me hodology, including he a iables e alua ed in he ESG pilla s (19 hemes and 46
sub opics), is p esen ed in he Online Appendix.
3.2 Resea ch design/model
To es ou hypo hesis, wo basic models a e p oposed below o explo e he ela ionships
be ween ESG pe o mance (Models 1–4A) and anspa ency in ESG disclosu e (Models 1–4B)
Sec o Chile Colombia Mexico Pe u To al Pe cen age %
Communica ions 1 1 3 0 5 4.4
Consume disc e iona y 2 0 3 0 5 4.4
Consume s aples 5 2 8 4 19 16.7
Ene gy 1 3 0 0 4 3.5
Financials 5 8 7 4 24 21.1
Heal h ca e 0 0 1 1 2 1.8
Indus ials 1 2 6 2 11 9.6
Ma e ials 3 3 6 13 25 21.9
Real es a e 3 0 1 1 5 4.4
Technology 1 0 0 0 1 0.9
U ili ies 6 4 0 3 13 11.4
No e(s): Sample: 1,150 i m-yea obse a ions om 2011–2020
Sou ce(s): Au ho s’ own wo k
Table 1.
Sample composi ion by
coun y and sec o
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as well as he p obabili y o insol ency (Model 1), measu ed by he Al man Z-sco e, and
inancial s eng h (Model 2), using he Pio oski F sco e. In complemen a y analyses, EVA and
Jensen’s alpha a e used as dependen a iables in Models 3 and 4, espec i ely:
Model 1A�B:zal man ¼β1ESG sco e=ESG disci þβ2Sizei þβ3Le e agei
þβ4WACCi þβ5Be ai þβ6Coun yiþβ7Sec o i
þβ8Yea þ
η
iþ
ε
i
Model 2A�2B: pio oski ¼β1ESG sco e=ESG disci þβ2Sizei þβ3Le e agei
þβ4WACCi þβ5Be ai þβ6Coun yiþβ7Sec o i
þβ8Yea þ
η
iþ
ε
i
Model 3A�3B:ln e a ¼β1ESG sco e=ESG disci þβ2Sizei þβ3Le e agei
þβ4WACCi þβ5Be ai þβ6Coun yiþβ7Sec o iþβ8Yea
þ
η
iþ
ε
i
Model 4A�4B:alpha ¼β1ESG sco e=ESG disci þβ2Sizei þβ3Le e agei
þβ4WACCi þβ5Be ai þβ6Coun yiþβ7Sec o i
þβ8Yea þ
η
iþ
ε
i
whe e iand ep esen he company and ime pe iod, espec i ely;
η
iis unobse able
he e ogenei y;
ε
i is he e o e m; Size ep esen s he size o he company, exp essed as he
na u al loga i hm o i s asse s; Le e age is he deg ee o le e age measu ed by he a io o
deb o equi y; WACC is he weigh ed a e age cos o capi al and Be a is he sys ema ic isk
o each asse .
3.3 Analy ical p ocedu es
Be o e selec ing he app op ia e es ima o and analysis echnique o he p oposed
eg ession models, i is necessa y o conside he na u e o he dependen a iable. Ini ially,
ei he a ixed- o andom-e ec s es ima o could be used, bu i is necessa y o selec which
one o use. To his end, he Hausman es is used unde he null hypo hesis o he exis ence o
non-sys ema ic di e ences be ween es ima o s. The esul o he Hausman es shows ha
he p- alue does no allow he ejec ion o H0 a 95% con idence (i is no signi ican ), so we
choose andom e ec s.
Howe e , i is also necessa y o examine whe he he model su e s om he classical
econome ic p oblems: he e oscedas ici y, au oco ela ion and endogenei y. In he speci ic
con ex o en e p ises, hei ESG sco es and inancial esul s a e mu ually dependen ; ha
is, be e ESG indica o s o epo s end o p omo e be e inancial esul s, while
o ganiza ions wi h be e inancial indica o s end o encou age s ong ESG p ac ices.
This c ea es he possibili y o endogenei y p oblems, he esul o e e se causali y
be ween he a iables unde s udy (Woold idge, 2010). In addi ion, when p oblems o
he e oscedas ici y and se ial au oco ela ion a e p esen , he o dina y leas squa es (OLS)
eg ession me hod canno be used because i does no ob ain consis en and e icien
coe icien s.
In ela ion o he e oscedas ici y, we eso o he modi ied Wald es unde he null
hypo hesis o homoscedas ici y. The es esul shows ha he null hypo hesis a 99%
con idence is ejec ed; he e is a p oblem o he e oscedas ici y. Rega ding he se ial
au oco ela ion, he Woold idge es is p oposed unde he null hypo hesis o no- i s
au oco ela ion p oblems. I s p- alue allows o ejec he null hypo hesis o a 99%
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con idence le el, suppo ing he exis ence o au oco ela ion p oblems. Finally,
endogenei y could exis as a esul o e e se causali y (Woold idge, 2010) and a ises
when he p oposed esea ch models su e om sel -selec ion bias. To es he exis ence o
endogenei y, Da idson and MacKinnon (1993) sugges an augmen ed eg ession es
(Du bin–Wu–Hausman es ), which can easily be o med by including he esiduals o
each endogenous a iable, as a unc ion o all exogenous a iables, in a eg ession o he
o iginal model. We ob ain he esiduals o his es ima e and subsequen ly pe o m an
augmen ed eg ession whe e he esiduals o he p e ious model a e inco po a ed as an
explana o y a iable in ou basic model. Since he coe icien ob ained in he eg ession is
di e en om 0, he e is an endogenei y p oblem, and despi e he selec ion o andom
e ec s, he OLS es ima e is no consis en , and i is necessa y o use ins umen al
a iables (IV). IV me hods allow o consis en es ima ion when he explana o y a iables
(co a ia es) a e co ela ed wi h he e o e ms in a eg ession model, hus sol ing he sel -
selec ion bias.
Ini ially, in his s ep, he possible use o IV will sol e he endogenei y p oblem.
Howe e , he con en ional IV es ima o (al hough consis en ) is ine icien in he p esence
o he he e oscedas ici y and au oco ela ion p oblems p e iously con i med by he Wald
and Woold idge es s, espec i ely. The solu ion is o employ an IV es ima o ha
gua an ees ha he h ee p oblems a e con olled (endogenei y, he e oskedas ici y and
au oco ela ion). To his end, we use he gene alized me hod o momen s (GMM) (A ellano
and Bond, 1991) and conc e ely he wo-s ep GMM es ima o ha p oduces consis en and
unbiased esul s and elimina es any po en ial unobse ed i m-speci ic e ec s by
exploi ing he dynamic na u e o ela ionship using in e nal ins umen s (Roodman,
2009). In his espec , no e ha al hough he dependen a iable, he i esponsible ESG
indica o , is an index coded om 0 o 100 and he Tobi es ima o should be employed, he
echnique should esol e he endogenei y p oblem ha ou eg ession models su e . To
his aim and ollowing he p ocedu e o Hillie e al. (2011), we employ he dynamic panel
GMM (A ellano and Bond, 1991), which allows us o add ess he abo emen ioned
p oblems and ob ain consis en and unbiased esul s (G eene, 2019), using S a a 17 o
analysis.
The panel da a me hodology allows including obse a ions o a ious companies ac oss
mul iple ime pe iods, iden i ying and measu ing e ec s no de ec able by o he p ocesses
and educing he collinea i y be ween explana o y a iables, he eby inc easing he
e iciency o econome ic indica o s (Biø n, 2017;Pesa an, 2015). Panel da a we e used in
s udies wi h simila objec i es and sample sizes, such as A an e al. (2018),Dalal and Thake
(2019),Fakoya and Mala ji (2020) and Landi and Scia elli (2019).
4. Resul s
4.1 Desc ip i e s a is ics
Table 2 shows desc ip i e s a is ics o he dependen and independen a iables o he o al
sample. Al man Z-sco e allows o quan i a i ely assess a company’s p obabili y o
bank up cy: low i Z> 3.0, medium when 1:8≤Z≤3:0and high in cases whe e Z< 1.8. Gi en
ha he a e age Al man Z-sco e is 3.13, we conclude ha he mean p obabili y o bank up cy
o he companies in he sample is low, al hough he dispe sion o he indica o (5.16) is high.
Rega ding he Pio oski F-sco e, a esul be ween 0 and 2 indica es subs an ial inancial
weakness, a alue be ween 3 and 5 means he i m is ai ly weak, a alue be ween 6 and 7
indica es he i m is ela i ely s ong and a alue be ween 8 and 9 is associa ed wi h good
inancial s eng h. The a e age Pio oski F-sco e o 4.55 wi h a s anda d de ia ion o 1.61
indica es ha he inancial condi ion o he MILA companies is ela i ely weak when a e age
p o i abili y, le e age, liquidi y and ope a ional e iciency a e e alua ed.
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A posi i e Jensen’s alpha alue,
α
i, means ha in es o s ea ned a highe e u n han wha he
CAPM p edic ed, gi en he le el o isk o he asse o po olio and o e all ma ke
condi ions. Al hough he a e age
α
i o he whole sample is posi i e (2.52), indica ing he
companies s udied deli e ed excess e u ns on a e age, he di e ences among he indi idual
esul s a e conside able and include bo h posi i e and nega i e alues.
As o EVA ( he economic p o i ha was c ea ed o des oyed o e he pe iod analyzed), he
esul s a e also mixed; howe e , despi e signi ican dispe sion ac oss he sample, on a e age,
he companies ha e a posi i e EVA, indica ing hey c ea ed alue du ing he pe iod analyzed.
The esul s in Table 2 show ha companies in MILA coun ies s ill ha e a long way o go
in e ms o CSR ac i i ies and esul s, yielding an a e age sco e o 31.64 in e ms o o e all
ESG a ings, which can ange om 0 o 100. The a e age sco es we e 27.69 in he
en i onmen al ca ego y, 34.27 o social and 32.94 o co po a e go e nance. Simila ly, ESG
disclosu e is s ill low in he egion, wi h an a e age sco e o 26.14 ou o 100, wi h a ings o
21.55 o en i onmen al, 27.82 o social and 32.97 o co po a e go e nance. These esul s
show ha , among he h ee ca ego ies, he en i onmen al ca ego y has bo h he lowes
pe o mance and in o ma ion epo ing sco es.
Table 3 and Figu e 1 show a consis en pa e n ac oss he a e age ESG a iables by
coun y o he pe iod s udied. In bo h ESG sco es and in o ma ion epo ing, Colombia is in
i s place, ollowed by Mexico, Chile and Pe u.
Va iable Mean S d. de . Min. Max.
z_al man 3.1336 5.1602 �1.0111 64.7701
_pio oski 4.5545 1.6106 0.0000 8.0000
Alpha 2.5161 28.1203 �135.2719 171.6094
ln_e a 8.3150 3.9864 0.1235 16.3543
ESG_sco e 31.6400 27.2793 0.0000 84.0780
E_sco e 27.6850 32.1226 0.0000 100.0000
S_sco e 34.2736 31.6598 0.0000 95.4546
G_sco e 32.9397 27.6539 0.0000 82.4324
ESG_discl 26.1425 20.8564 0.0000 70.2479
E_discl 21.5505 21.3775 0.0000 84.6572
S_discl 27.8168 23.8473 0.0000 82.4561
G_discl 32.9714 22.8372 0.0000 89.8600
Size 12.7030 3.3701 4.4634 19.5928
Le e age 260.3544 427.6335 2.0776 9650.7030
WACC 8.4405 3.1937 1.2396 24.6047
Be a 0.8124 0.4211 0.0075 2.8907
No e(s): Sample: 1,150 i m-yea obse a ions om 2011–2020
Sou ce(s): Au ho s’ own wo k
Sco e Disclosu e
ESG E S G ESG E S G
Chile 31.96 29.80 35.53 30.54 28.90 25.22 31.67 33.48
Colombia 41.36 36.60 46.61 40.77 34.26 27.41 37.67 41.09
Mexico 39.21 34.79 40.34 42.51 31.44 26.39 31.98 41.19
Pe u 13.89 9.51 15.39 16.77 10.33 7.32 10.98 15.59
No e(s): Sample: 1,150 i m-yea obse a ions om 2011–2020
Sou ce(s): Au ho s’ own wo k
Table 2.
Desc ip i e s a is ics
Table 3.
A e age ESG sco e
and disclosu e by
coun y, 2011–2020
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S udying he da a by indus y, Table 4 and Figu e 2 show ha he highes a e age ESG
sco es a e seen in he consume s aples (40.14) and ene gy (38.29) sec o s, while he lowes a e
in he heal h ca e (0.00) and echnology (0.00) sec o s (on a scale o 0–100). When
disagg ega ing he sco es, he wo highes ou comes in each ca ego y a e (1) consume
s aples (41.51) and inancial se ices (34.34) o en i onmen al opics; (2) ene gy (44.02) and
consume s aples (42.07) o social and (3) consume disc e iona y (40.32) and inancial
se ices (40.18) o co po a e go e nance. In each ca ego y, he lowes sco es we e seen in he
heal h ca e and echnology sec o s, which had sco es o 0.00. In e ms o disclosu e and
epo ing o ESG in o ma ion, Table 4 indica es ha he ene gy and consume s aples sec o s
ha e he highes sco es (39.81 and 30.76, espec i ely), while he echnology and indus ial
sec o s ha e he lowes (17.10 and 17.74, espec i ely). Disagg ega ing he o e all sco es, he
ene gy sec o has he bes disclosu e a ing in he h ee ESG ca ego ies, while consume
s aples is in second place o en i onmen al (28.77), communica ions is in second place o
social (34.04) and heal h ca e is in second place o co po a e go e nance (38.79).
Sou ce(s): Au ho s’ own wo k
Sco e Disclosu e
Indus y ESG E S G ESG E S G
Communica ions 21.31 11.67 24.02 28.24 28.58 21.19 34.04 37.95
Consume disc e iona y 29.10 19.61 27.35 40.32 22.06 16.12 21.74 32.96
Consume s aples 40.14 41.51 42.07 36.85 30.76 28.77 31.57 34.36
Ene gy 38.29 34.30 44.02 36.54 39.81 34.30 44.47 47.43
Financials 37.53 34.34 37.98 40.18 24.21 16.96 23.66 34.67
Heal h ca e 0.00 0.00 0.00 0.00 28.69 22.53 29.61 38.79
Indus ials 22.14 12.98 21.74 31.71 17.74 11.92 18.00 29.52
Ma e ials 31.97 28.02 36.44 31.44 26.45 23.76 28.67 30.13
Real es a e 15.02 15.83 17.71 11.53 21.25 15.47 26.22 28.69
Technology 0.00 0.00 0.00 0.00 17.10 8.40 17.67 34.28
U ili ies 29.79 23.35 37.83 28.18 27.35 23.99 32.39 29.80
No e(s): Sample: 1,150 i m-yea obse a ions om 2011–2020
Sou ce(s): Au ho s’ own wo k
Figu e 1.
A e age ESG sco e
and disclosu e by
coun y, 2011–2020
Table 4.
A e age ESG sco e
and disclosu e by
indus y, 2011–2020
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F-sco e is egula ly applied o all indus ies, he Al man Z-sco e may ha e g ea e ele ance o
non inancial companies. Six h, a cha ac e is ic o he s udy is ha he s ock ma ke index o
each ma ke (IPSA, COLIR, MEXBOL and S&P Lima) was selec ed ollowing a c i e ion o
ep esen a i eness, i.e. an index conside ed a gene al e e ence o each coun y was aken, wi h
ano he al e na i e being he use o c i e ia o secu i iza ion, capi aliza ion o social
esponsibili y. Fu u e esea ch could include mo e coun ies and companies om elsewhe e
in La in Ame ica as well as o he de eloping egions, and he esul s could be disagg ega ed by
economic sec o . I would also be in e es ing o include o he independen a iables and analyze
hei media ing e ec s. Including da a om small and medium-sized companies would shed
ligh on he b oad na u e o ESG phenomena, hei in e ela ionships and impac s, al hough
ESG in o ma ion on such companies is cu en ly e y limi ed and di icul o ob ain.
6. Conclusions
The dynamic panel da a analysis in his esea ch, applied o 114 companies lis ed on MILA
exchanges (Chile, Colombia, Mexico and Pe u) o he pe iod 2011–2020, allowed us o e i y
a di ec ela ionship be ween ESG p ac ices and a company’s inancial s eng h. The esul s
ob ained co obo a e ou hypo hesis ega ding how be e ESG sco es and anspa ency a e
ela ed o a lowe p obabili y o bank up cy, g ea e o e all inancial s eng h, g ea e
economic alue c ea ed and supe io isk-adjus ed pe o mance. The e idence ound allows
us o conclude ha , in gene al, La in Ame ican companies (mainly in heal h ca e, echnology,
eal es a e, communica ions and indus ial sec o s) s ill ha e a long way o go in e ms o
ESG pe o mance and disclosu e, which will allow hem o imp o e hei inancial esul s
and inc ease hei con ibu ions o socie y o e ime.
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