Beyond ESG Pillars: The Impact of the Sustainability Uncertainty Index on Tobin’s Q

We analyze how uncertainty related to sustainability and ESG performance influences Tobin’s Q for a sample of 2,575 listed companies from 25 countries for which the Sustainability Uncertainty Index is calculated, between 2018 and 2024. Using quantile regression, the analysis shows that ESGUI has a negative effect on firm value, with the effect being smaller for poorly rated firms. In contrast, performance on ESG pillars generates value: the Environmental and Social components have a positive impact, while Governance contributes significantly more to stronger companies. On average, the interaction between ESGUI and the COVID period shows that uncertainty becomes more visible in times of crisis. The results indicate an asymmetric structure of effects: uncertainty penalizes companies, while ESG performance adds value, highlighting the importance of integrating both macroeconomic and microeconomic factors in assessing corporate sustainability.