ESG, Technology, and Financial Performance in Global E-Commerce: A Panel Study

This study investigates the factors influencing the stock excess returns of 13 leading global e-commerce firms between 2015 and 2023 using panel data regression. The analysis integrates financial asset pricing, ESG risk, cultural context, and technological adoption. Expanding the Fama-French framework, a hybrid model was estimated. Specification tests, including a significant Hausman test (χ2 = 32.1, p<0.01), supported the use of the Entity Fixed Effects model to control for firm-specific unobserved heterogeneity. Results indicate that standard Fama-French factors are significant predictors of excess returns. The direct impact of the aggregate ESG risk score was not statistically significant in the preferred model (p=0.12). However, a significant interaction in the pooled analysis (p = 0.05) suggests that improving ESG performance from a low risk level is associated with greater excess returns. While cultural distance and an AI adoption proxy were included, their direct or moderating effects on excess returns were not statistically robust in the preferred model. The findings emphasize that while systematic risks drive e-commerce financial performance, strategic ESG improvement, particularly from a lower baseline, may offer tangible financial benefits.