The usefulness of the BrF_Score for firms not adherent to the Corporate Sustainability Index (ISE)

Abstract

Este é um artigo de acesso aberto, licenciado por Creative Commons Atribuição 4.0 International (CC BY 4.0), sendo permitidas reprodução, adaptação e distribuição desde que o autor e a fonte originais sejam creditados. Palavras-chave: BrF_Score, governança corporativa, retorno anormal. A UTILIDADE DO BRF_SCORE PARA AS EMPRESAS NÃO PARTICIPANTES ABSTRACTThis study aimed at checking whether there is a relation between abnormal return and the BrF_Score and also at checking the relation between abnormal return and the interaction between high and low BrF_Score and the fact that the company is not included in the ISE. The investment strategy of Lopes and Galdi (2007) was used to separate enterprises in the stock market in high and low Score and to analyze whether they had positive abnormal returns. The study also employed the theoretical framework of Kanagaretnam et al. (2007), Galdi (2008, and Kahyaoglu and Bozkus (2010), who claim that the use of a fundamentalist analysis may bring higher abnormal returns to companies with a low level of governance. This is due to the fact that the information asymmetry is bigger in companies with a lower level of corporate governance than in those with a higher level of corporate governance. 320 companies listed on