Índice de sustentabilidade empresarial (ISE) e geração de valor para os investidores.
Keywords:
ISE, CAPM, Qui-Quadrado, Sustentabilidade, Valor Econômico AdicionalAbstract
O objetivo deste estudo foi averiguar se houve criação de valor para os investidores por meio da performance observada do Índice de Sustentabilidade Empresarial (ISE), em relação ao desempenho esperado do modelo CAPM (Capital Asset Pricing Model), pelo mercado de Bolsa de Valores associado ao Tripé da Sustentabilidade, no período de 2006 até 2012; ou seja: procurou-se responder se o desempenho observado do ISE, nesse período, foi superior àquele esperado pelo CAPM e, consequentemente, se haveria criação de valor para os acionistas. A performance esperada pelo mercado bursátil para um ativo é verificada mediante a precificação de ativos pelo mercado de capitais, ou CAPM. Para testar a superioridade da exuberância dos retornos observados do ISE, quando comparados aos esperados pelo CAPM, utilizou-se a metodologia da estatística inferencial Qui-Quadrado (). Os resultados encontrados evidenciaram que houve ganhos excessivos ou exuberantes do ISE, indicando que ocorreu geração de valor para os investidores. Essa geração de valor não se resume a um fato econômico-financeiro, mas à multidimensão da sustentabilidade, assim definida por Elkington (2012), por meio do Tripé da Sustentabilidade: social, ambiental e econômico-financeiro. Portanto, os resultados sugerem que o ISE gerou valor aos investidores por estar comprometido com a multidimensão da sustentabilidade.
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