S&P EGX/ESG指数上場企業のESGパフォーマンスが財務リスクに与える影響を測定するための、第一階差、前方直交偏差、システムGMM手法の利用
Using the First Difference, Forward Orthogonal Deviations, and System GMM Techniques to Measure the Impact of Environmental, Social and Governance Performance on Financial Risks for Companies listed on the S&P EGX/ESG index (原題)
Hanaa Hussein Ali
🤖 gxceed AI 要約
日本語
本研究は、エジプトのS&P EGX/ESG指数に含まれる非金融17社を対象に、ESGスコアが財務リスク（AltmanのZスコア）に与える影響を、FD-GMM、FOD-GMM、Sys-GMMの3つのGMM手法を用いて分析した。結果、小標本に適したFOD-GMMが最も有効で、ESGスコアとガバナンススコアが財務リスクに有意な影響を与えることを示した。
English
This study analyzes the impact of ESG scores on financial risk (Altman's Z-score) for 17 non-financial firms in Egypt's S&P EGX/ESG index using FD-GMM, FOD-GMM, and Sys-GMM. The FOD-GMM model proved most effective for small samples, showing significant effects of ESG and governance scores on financial risk.
Unofficial AI-generated summary based on the public title and abstract. Not an official translation.
📝 gxceed 編集解説 — Why this matters
日本のGX文脈において
日本ではSSBJ開示が始まり、ESG情報と財務リスクの関連性が注目される。本稿のGMM手法は、日本企業のESGデータを用いた財務リスク分析に応用可能で、投資家対応や統合報告書の裏付けとなる。
In the global GX context
Globally, this paper contributes to the growing literature on ESG-financial risk nexus, particularly in emerging markets. It offers methodological insights for researchers using GMM in small samples, relevant for markets adopting ISSB standards.
👥 読者別の含意
🔬研究者:GMM手法の選択がESG-財務リスク研究に与える示唆を提供。
🏢実務担当者:ESGスコアが財務リスクに与える影響を理解し、リスク管理に活用可能。
🏛政策担当者:新興市場におけるESG開示の重要性を裏付ける実証根拠。
📄 Abstract（原文）
This paper proposes the use of the first difference generalized method of moments (FD-GMM),forward orthogonal deviations generalized method of moments (FOD-GMM), and system generalized method of moments (Sys-GMM) techniques to measure the impact of environmental, social, and governance (ESG) performance criteria as independent variables and return on total assets (ROA), leverage (LEV), liquidity (LIQ), firm growth rate (FGR), and size of enterprise (SIZE) as control variables on financial risks as dependent variables, which can be measured by Altman's Z-score index. This study applied to seventeen companies of non-financial institutions which comply with sustainability standards and there are in S \& P EGX / ESG index in Egypt that include various sectors in the period from 2020 to 2024. The study used consistent, valid instruments and coefficient bounds tests to select the best model. The results showed that the two step FOD-GMM model was the most effective model to estimate the relationship between ESG-score, G-score, and control variables on financial risks compared to the FD-GMM and System-GMM models .It was more suitable and safer for small sample that used in this study, in addition they have valid instruments and consistent estimators. It has also a higher predictability compared to other models.
🔗 Provenance — このレコードを発見したソース
- semanticscholar https://doi.org/10.19139/soic-2310-5070-3636first seen 2026-09-08 05:31:52 · last seen 2026-09-22 05:21:04
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