Relação entre sustentabilidade e risco financeiro: lacunas na literatura e evidências empíricas no mercado brasileiro

Abstract

In recent decades, sustainability has become a widely discussed topic, prompting companies to adopt ESG practices not only to comply with regulatory requirements but also as part of their business strategies. This dissertation, structured in two articles, aims to evaluate whether the adoption of such practices influences financial risks in the Brazilian market. The first article presents a Systematic Literature Review based on the PRISMA protocol methodology, which enabled a thorough analysis of the existing literature and revealed a significant lack of studies on the topic in Latin America — less than 1% of the publications found. Addressing this gap, the second article empirically tests, through Panel Data Regression, the relationship between financial risk — represented by the Z”-Score and Beta proxies — and three Brazilian sustainability indices (ISE, ICO2, and IGC-NM), operationalized as dummy variables. The study analyzed 225 publicly traded Brazilian companies between 2017 and 2023, using three distinct estimation methods: Fixed Effects, Generalized Least Squares (XTGLS), and Generalized Method of Moments (GMM). The results indicated that companies listed in the ISE and ICO2 indices tend to exhibit higher Z”-Scores, suggesting lower financial risk, while those in the IGC-NM index showed higher financial risk. Regarding Beta, the effects of ESG practices were less consistent, with a notable result for ICO2 companies, which demonstrated lower financial risk under one estimation method. Overall, the findings suggest that companies included in the ISE and ICO2 sustainability indices are associated with lower financial risk, whereas the IGC-NM index yielded inconclusive results. Together, the studies underscore the importance of expanding the understanding of ESG effects both in international and Brazilian contexts, and encourage managers and researchers to further explore the relationship between ESG practices and financial risk.