The Effect of Corporate Sustainability on the Performance of Brazilian Companies: the financial impact of companies participation in [B]3’s sustainability index
econometric’s models; CAPM; five-factor model; sustainability; CSR; TBL; ISE
Sustainability is a poignant argument in society and sustainable development incorporates social and economic criteria to this theme. The Triple Bottom Line (TBL) is one of the theories that best aligns the company's role with sustainable development. The company that decides on the sustainability argument changes its entire strategic and investment positioning and compromises the company's liquidity and profitability in the short term, aiming to generate greater market value in the future. Aware of this change in strategic positioning, the financial market created indexes that act as benchmarks, the Sustainability Indexes. In Brazil, we have the [B]3 Corporate Sustainability Index (ISE). In order to assess whether the listing on it has effects on the stock return, justifying the decision of the companies to seek such certification and the possible anomalies of the return, an adaptation of the Five Factor Model by Fama and French is used. This choice is justified because it is the most modern and robust model for measuring and analyzing financial returns and can generate more consistent responses.