TFL Vsebine / Revija SIR*IUS

Sustainability in company valuation: A study on the impact of ESG factors on the cost of equity

Študija o vplivu dejavnikov ESG na strošek lastniškega kapitala predstavlja pregled literature, in sicer najnovejših relevantnih raziskav na področju ESG ali trajnostnosti kot dejavnika, ki določa pričakovani donos na naložbo v lastniški kapital (delnice), ter pregled empirične analize o vplivu dejavnikov ESG na pričakovani donos na naložbo v lastniški kapital družbe, ki je bila pripravljena v okviru magistrske naloge z naslovom »Vpliv ESG dejavnikov na strošek lastniškega kapitala« (Kreslin, 2026). Namen študije je preučiti, kako splošna raven trajnostnosti poslovanja podjetja vpliva na pričakovani donos naložbe v lastniški kapital te družbe, cilj študije pa ugotoviti, ali so ESG ocene, ki so trenutno na voljo, zanesljiv približek splošne ravni trajnostnosti podjetja. Namen študije v pričujočem prispevku je tudi uveljaviti ESG kot premijo za tveganje, ki bi jo lahko upoštevali pri ocenjevanju vrednosti zasebnih podjetij. Pregled literature, predstavljen v drugem poglavju, opredeljuje ESG kot pomembno determinanto pričakovanih donosov, vendar prinaša mešane ugotovitve glede smeri vpliva. Empirična analiza (predstavljena v tretjem poglavju), izvedena na vzorcu 877 evropskih kotirajočih družb, po drugi strani prinaša trdne dokaze o pomembni negativni povezavi med ESG ocenami in pričakovanimi donosi, kar pomeni, da družbe z višjo ravnjo trajnostnosti poslovanja izkazujejo nižji pričakovani donos, tj. nižji strošek lastniškega kapitala. Kljub trdnim dokazom empirične analize ugotavljam, da ESG ocene, ki so trenutno na voljo, niso zanesljiva podlaga za določitev premije za ESG tveganje, ki bi se lahko uporabljala pri ocenjevanju vrednosti podjetij, predvsem zaradi večinoma prostovoljne narave poročanja o trajnostnosti ter metodoloških razlik med agencijami pri ocenjevanju trajnostnosti podjetij oz. oblikovanju ESG ocen. Na podlagi Direktive o poročanju podjetij o trajnostnosti je razumno domnevati, da se bosta obseg in kakovost informacij o trajnostnosti evropskih podjetij v prihodnje izboljšala, kar bo predvidoma znatno povečalo zanesljivost ESG ocen. V magistrski nalogi sem razvil metodološki pristop, preprosto, a elegantno rešitev za izračun premije za ESG tveganje, ki bi se lahko upoštevala pri ocenjevanju vrednosti podjetij, predstavljenem v četrtem poglavju. Predlagani metodološki pristop je le eden od več možnih pristopov.

This study examines the impact of ESG factors on the cost of equity by providing a review of recent literature on ESG and sustainability as determinants of expected equity returns. It also presents an overview of my empirical analysis on the relationship between ESG factors and expected returns, prepared as part of my Master’s thesis titled “The impact of ESG factors on the cost of equity” (Kreslin, 2026). This study sets out to examine how the overall level of sustainability of a company’s business operations (hereinafter referred to as “level of sustainability”) impacts the expected return on an equity investment in the company, with the objective of establishing whether ESG ratings, as currently available, represent a reliable proxy for a company’s overall level of sustainability. The aim of my research was to position ESG as a risk premium to be considered in private company valuations. The literature review presented in chapter 2, identifies ESG as a significant determinant of expected returns although it provides mixed evidence regarding the direction of its impact. In contrast, my empirical analysis (presented in chapter 3), performed on a sample of 877 European listed companies, on the other hand provides strong evidence on the significant negative relation between ESG ratings and expected returns, implying that companies with stronger sustainability of operations tend to exhibit a lower expected return, i.e. lower cost of equity. Despite the strong evidence of my empirical analysis, I have concluded that ESG ratings, as currently available, do not provide a sufficiently reliable basis for establishing an ESG risk premium to be used in private company valuations, primarily due to largely voluntary nature of sustainability reporting, as well as methodological differences between ESG rating agencies. Based on the Corporate Sustainability Reporting Directive, it can be reasonably assumed that the scope and quality of sustainability reporting by European companies will improve in the future, which is expected to significantly improve the reliability of ESG ratings. In my Master’s thesis, I have also developed a methodological approach that offers a simple yet elegant solution for estimating an ESG risk premium to be incorporated into private company valuations, which however represents only one of several possible approaches. My suggested approach is presented in chapter 4 of the study.