Empirical evidence indicates that Environmental, Social, and Governance (ESG) practices are associated with firm financial performance, but little is known about stock market participants’ behaviour towards ESG practices, especially in unfavourable settings, where the level of shareholders’ protection is relatively weak. In this article, we examine whether ESG performance provides shareholders with value-relevant information to help them in their equity pricing decisions. Using a cross-country sample of non-financial firms drawn from 10 Middle East and North African (MENA) countries between the period from 2013 to 2019, we find evidence, which is based on the price specification of Ohlson (1995) valuation model, that ESG performance practices are positively priced by market participants and add incremental information content to earnings and book value of equity (BVE). However, when we split the aggregate ESG performance into its components, governance practice is found to be more value relevant than social practice, while the environmental pillar is found to be value (ir)relevant to shareholders. Results using the return valuation model complement and validate the price model specification. Our results suggest that social capital and institutional structures prevail on firm environmental impact. These results are robust to a set of additional tests. Overall, our empirical results indicate that market participants incorporate ESG performance when assessing firm value for the MENA region. Our findings could have several implications for managers, stockholders and regulatory bodies.

经验证据表明，环境，社会和治理（ESG）做法与公司的财务绩效有关，但对于股票市场参与者对ESG做法的行为知之甚少，尤其是在不利环境中，股东保护水平相对较弱。在本文中，我们研究了ESG的绩效是否为股东提供了与价值相关的信息，以帮助他们进行股票定价决策。我们使用2013年至2019年期间从中东和北非（MENA）的10个国家中抽取的非金融公司的跨国样本，得出了基于Ohlson（1995）估值模型的价格指标的证据，ESG绩效实践被市场参与者肯定地定价，并将增量信息内容添加到收益和权益账面价值（BVE）中。但是，当我们将ESG的总体绩效划分为各个组成部分时，发现治理实践比社会实践更具价值相关性，而环境支柱与股东的价值（无关）相关。使用收益评估模型的结果补充并验证了价格模型规范。我们的结果表明，社会资本和制度结构在企业对环境的影响上占优势。这些结果对于一组其他测试是可靠的。总体而言，我们的经验结果表明，市场参与者在评估中东和北非地区的公司价值时会考虑ESG绩效。我们的发现可能会对管理人员产生一些影响，