Do investors care for sustainability?

Abstract

This study verifies the relevance of sustainability in Brazilian companies listed in Brasil, Bolsa, Balcão (B3). A sample of 279 B3 listed companies is investigated from 2006 to 2018. Sustainability was analyzed based on two proxies: Sustainability Reports (RS) and participation in the Corporate Sustainability Index (ISE). In addition, the companies environmental impact was verified, classified by the main activity according to Brazilian Law 10.165 / 2000. The Ohlson (1995) model, adapted by Collins et al. (1997), was used to verify the relevance of sustainability. In all, 1,303 RS was published, of which 28 companies published the RS in the entire period, while 116 did not present it. As for the relevance of sustainability to investors, the company belonging to the ISE portfolio or having an environmental impact activity has a lower price than that of companies not participating in the ISE or without environmental impact activity, while the RS publication was not significant. However, by associating the sustainability proxies with the environmental impact, the stock price is higher. Finally, if the company is on ISE, publishes RS, and having an environmental impact activity, the costs outweigh the benefits, indicating that the share price is lower than companies without these characteristics. Thus, there is evidence that investors care about sustainability for decision-making.