Prediction of market value of firms with corporate sustainability performance data using machine learning models

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-02-26 DOI:10.1016/j.frl.2025.107085

Murat Doğan , Özlem Sayılır , Muhammed Aslam Chelery Komath , Emre Çimen

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引用次数: 0

Abstract

This study attempts to build models for prediction of market value of firms with Corporate Sustainability Performance data using machine learning models. We analyze a comprehensive global dataset of 5,450 firms operating in 10 sectors. Machine learning models of Random Forest, XGBoost, SVM, and Nearest Neighbor models were constructed with E,S,G,C scores (Environmental, Social, Governance, and ESG Controversies) and financial ratios obtained from the Refinitiv (LSEG) Database. The most suitable model (Random Forest Model) built for Market Capitalization prediction shows that Environmental (E) and ESG Controversies (C) scores stand out as important predictors of market value. The findings of the study emphasize the importance of integrating ESGC factors into market value prediction models. Moreover, our findings suggest that the importance of corporate sustainability performance factors (E, S, G, C) is more pronounced in Europe and America compared to other regions. This study may provide insights for companies, investors, and analysts to achieve a more sophisticated assessment of market value.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance