Which ESG Factors Have the Largest Impact on a Firm Value? Analysis of Russian Market

Abstract This research investigates the impact of Environmental, Social, and Governance (ESG) factors on the market performance of companies within the Russian market. The ESG and financial data from 66 Russian public companies was collected within the period from 2017 to 2023. This study examines the relationship between ESG performance and firm value, utilizing two distinct ESG rating systems: the Russian RAEX and the international Refinitiv. The overall the ESG performance and market performance is negative for the data based on the RAEX rating while positive for the Refinitiv data. The performance in the environmental pillar demonstrates the largest and negative effect on the market capitalization of the companies for RAEX data. At the same time, the largest and positive coefficient among three pillars is for social pillar when the ESG data based on the Refinitiv rating. For both ratings the governance pillar has the lowest and insignificant effect.