IMPACT OF ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CRITERIA ON THE VALUATION OF THE MEXICAN STOCK EXCHANGE IPC: A MULTIVARIATE REGRESSION ANALYSIS

Abstract

Objective: This study examines the relationship between Environmental, Social, and Governance (ESG) performance and Price-to-Earnings (P/E) valuation multiples among 31 leading issuers listed on the Mexican Stock Exchange (BMV) IPC Index. Methods: A cross-sectional Ordinary Least Squares (OLS) regression was employed, incorporating winsorization at the 5th and 95th percentiles and excluding observations with negative P/E ratios to enhance econometric robustness. The model controls for operational scale (log of revenue), market capitalization, and systematic risk (β). Results: The model yielded a coefficient of determination (R²) of 0.2526. Although ESG performance exhibits a positive association with valuation (0.181), market capitalization represents the strongest predictor (0.451). Notably, the β coefficient (5.9594) challenges conventional interpretations of the Capital Asset Pricing Model (CAPM), suggesting the presence of a high-growth or cyclicality premium. Significant valuation deviations were identified for Banorte (-55.16%) and Grupo Carso (+111.05%). Conclusion: The findings suggest that the Mexican market is undergoing a gradual maturation process in which a sustainability premium is emerging but remains secondary to financial scale and traditional risk factors. The following sections provide a detailed analysis of the research objective, methodological framework, empirical results, and their implications for market efficiency..