The effect of corporate sustainability on the stock returns: Analyzing Bist sustainability index in sector base

Within the scope of this thesis, the monthly average stock returns of the companies included in the Borsa Istanbul XUSRD Index and the companies, operating in the same sector but not included in the XUSRD index were compared between November 2014 and April 2019. The main question, which is examined by this study, is testing the companies which are better evaluating ecological, social and economic risks and opportunities by the corporate sustainability practices and provide a benefit in terms of stock profitability, due to the competitive advantage. To ensure that, being a component of XUSRD index was used as a categorical variable and monthly average stock return series of the whole companies operating in 12 sub-sectors of Borsa Istanbul were obtained. For the 5 different index years in the observation period, the related series were examined by Mann-Whitney U test and there is no statistically significant difference was found between the average monthly stock returns of the companies included in the XUSRD index and the companies in the same sector but not included in the index. Corporate Sustainability practices enable companies to create long-term value, instead of directly providing stock profitability.