Resumo

Porter and Kramer (2006) define the competitiveness of companies as dependent on the community around them, thanks to the synergy between economic and social objectives. According to the authors, companies are induced to adopt social and sustainable practices for four reasons: moral obligation, sustainability, licenses to operate or reputation. These motives stem from a tension implicitly imposed by society, which views large corporations as more or more influential than the government itself on these issues.

Making use of the ISE as a proxy for social responsibility in the Brazilian stock market, we sought to evaluate if the investor perceives "socially responsible" companies as less risk-prone in Brazil. If the fact that the company belongs to the ISE changes the risk perceived by investors, then these companies should benefit from lower capital cost than the others, in the same way as the companies studied by Ghoul et al. (2011) in the USA. If this relationship is proved, the investment in sustainable practices can be considered an economically advantageous strategy for Brazilian companies.

Sustainability certificates are certifications, usually voluntary, designed to ensure that a particular product or company is in compliance with a set of sustainability criteria. These systems have emerged as a response to market concerns about the socio-environmental impacts of economic activities and are innovative forms of sustainability governance that do not emanate from the state (Kersbergen and Waarden, 2001; Arts, 2006; Take, 2012).

As a way of directing the research, three initial interviews were carried out with specialists in the financial market, two working with portfolio management and one academic. Also, the variables used in this study were collected among Brazilian non-financial companies whose shares are traded on the São Paulo Stock Exchange. The sample was obtained using Bloomberg Database and has a longitudinal dimension, composed of a time series of 12 years, between 2006 and 2017.

What was observed was a significant influence of the companies' participation in the index on their capital costs, although, according to the interviews, this participation does not represent, in fact, a more sustainable business performance. That influence, in opposition to the majority of the previous findings, was not negative, but positive. That means that companies that take part of the ISE at least once tend to have a higher cost of capital. In this sense, the main contribution of this study is to highlight the absence of impact of the sustainability signaling over investors.

What was observed was a significant influence of the companies' participation in the index on their capital costs, although, according to the interviews, this participation does not represent, in fact, a more sustainable business performance. That influence, in opposition to the majority of the previous findings, was not negative, but positive. That means that companies that take part of the ISE at least once tend to have a higher cost of capital. In this sense, the main contribution of this study is to highlight the absence of impact of the sustainability signaling over investors.

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