Resumo

SILVA-NORENA, Raúl; GAVIRA-DURON, Nora  e  ALONSO-RIVERA, Angélica. A Three-Factor Fama and French Model Extension, Market Returns and Corporate Sustainability. Rev. mex. econ. finanz [online]. 2024, vol.19, n.4, e1074.  Epub 25-Abr-2025. ISSN 2448-6795.  https://doi.org/10.21919/remef.v19i4.1074.

Objective: to demonstrate if corporate sustainability represents a factor that impacts the market returns of companies. Methodology: An extension of Fama and French's three-factor linear model, it analyzes the expected excess return over the risk-free rate as a function of sensitivity to three factors (systematic risk premium, firm size factor, and factor capitalization); with a fourth factor (company sustainability), measured by its ESG rating. Monthly historical data on the share price of 505 SP500 companies from 2002 to 2021. Results: Sustainability is not a determining factor in market returns. Recommendation: use lags in future research. Limitation: Does not consider disputes in ESG ratings, which could change results. Originality: the way to measure performance considering its sustainability evaluation. Conclusion: sustainability in companies has an economic cost in the short term that impacts returns, but in the medium or long term, it represents an incentive for investors and clients.

Palavras-chave : C40; D53; G12; Q56; Corporate sustainability; FF3FM; ETFs; Socially Responsible Investing.

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