Global Business and Finance Review | 2026
Authors: Saha D.
DOI: 10.17549/gbfr.2026.31.5.79
Journal: Global Business and Finance Review
Year: 2026
Publisher: People and Global Business Association
Document Type: Article
Open Access: All Open Access; Gold Open Access
Cited by: 0
Purpose: Assess how ESG performance and macroeconomic variables (GDP growth, inflation, unemployment) relate to stock returns in Germany, 2010-2024. Design/methodology/approach: Annual ESG scores, stock return and macroeconomic indicators are analyzed using regression and dynamic panel techniques, including OLS, Fixed Effects, and GMM, supported by causality and impulse response analysis. Findings: ESG performance is positively and significantly linked to stock returns across models, highlighting that firms with stronger ESG scores achieve superior financial outcomes. OLS estimates show β ≈ 0.88 (p = 0.014) and GMM β ≈ 1.07 (p = 0.040). By contrast, GDP growth, inflation, and unemployment exert weak or statistically insignificant effects on returns. Granger causality tests reveal bidirectional dynamics: returns → ESG (p = 0.027) and ESG → returns (p = 0.057), suggesting mutually reinforcing effects. VAR and IRF analyses further confirm ESG shocks generate persistent, resilient positive impacts on market performance, underscoring ESG's financial relevance. Research limitations/implications: Germany-only sample; annual frequency may miss short-term dynamics; some qualitative drivers (e.g., investor sentiment) are not modeled. In Germany's sustainability-oriented market, ESG appears more informative for equity performance than traditional macro indicators. The findings highlight the need for policymakers to promote harmonized ESG disclosure standards and consider incentives for firms investing in sustainability, ensuring transparency and comparability that can further enhance market efficiency. Originality/value: By integrating ESG and macroeconomic variables within a single, dynamic framework in a developed market context, the study provides robust evidence of ESG's financial relevance and practical insights for investors, policymakers, and corporate leaders. © The Author(s).
ESG Performance; Financial Performance; Granger Causality; Macroeconomic Factors; Stock Returns