Sustentabilidade: estado da arte e um estudo de evento sobre o índice de sustentabilidade empresarial

Abstract

Sustainability has become an appealing theme in studies of several areas. The main focus of those studies is the definition of sustainability as well as the development of tools in order to get it into practice and therefore add value. Given the interdisciplinary aspect of the theme, proposed solutions derive from different sources, from distinct areas of knowledge. However, a convergence of results can be verified through the analysis of the scientific production related to the issue: recognition of the natural systems' limits; possibility of creating value concomitant to the preservation of those systems through the adoption of practices and politics called sustainable; relationship between economical, financial and social performance; possibility of the markets to act as sponsors of the sustainable development; and existence of quantitative measures of sustainability, among which the indexes capital markets stand out as measures of the "price" attributed to the sustainability by the agents of the markets. In Brazil, the referred index is the Índice de Sustentabilidade Empresarial, ISE. The present study intends to systematize, through a bibliographical research, the information originating from studies in sustainability stepped on several areas and published in international newspapers, predominantly related to Ecological Economics, Management and Accounting. Through that research, the main premises related to the theme of the sustainability with respect to its definition and consequences in the corporations were identified. Based on the bibliographical research, it was conducted an event study that tried to identify abnormal returns in the prices of the titles of companies published in the first portfolio of ISE, the event in study. The method used in the determination of the abnormal returns is due to the scientific inductive method, which delineates conclusions starting from the related literature, which presents proven hypotheses through empirical tests, but doesn't consolidate in definitive the underlying theory to the tested hypotheses. After the determination of abnormal returns during the event window, data was tested for significant relationship among two corporate variables, size and sensibility to the returns of the market, and the observed abnormal returns. The procedures were accomplished through the method of the ordinary least squares. The results of the estimated returns were significant, however, the daily individual abnormal returns of the companies were not significantly different from zero and only one company returned significant accumulated abnormal return. The portfolio formed with the securities of the observed companies showed significantly different from zero medium daily abnormal return in two moments in the event window: two days before and three days after the event. However, the model that regressed those returns over the corporate variables mentioned returned R2 of 0,5338 and significance of the coefficients at a five percent degree of confidence. The relationship between corporate variables and sustainable performance, contemplated in the prices of titles as divulged by the related literature, appears to be confirmed by the event study now executed, as well as the hypothesis of efficiency of the markets. The main limitation of this study is the size of the sample, due to the unavailability of historical series. For future researches, it is suggested the study of the relationship between disclosure of investments in sustainability and the performance in the capital markets.