Construction and Validation of a 5P–ESG Composite Index for Sustainable Corporate Governance and Financial Analysis in Emerging Markets: Evidence from the MSCI COLCAP

This article proposes and validates a finance-oriented 5P–ESG composite index to provide an integrated assessment of the sustainable, financial, and corporate governance perfor-mance of firms in emerging markets, with application to the MSCI COLCAP universe. The conceptual framework is derived from the “5Ps” approach of the 2030 Agenda (People, Planet, Prosperity, Peace, and Partnerships), which structures sustainable development goals into five operational, comparable dimensions that are relevant for decision-making in corporate governance and capital market contexts. To operationalize the construct, a set of corporate indicators was defined, data cleansing and standardization procedures were applied to ensure comparability across issuers, and pillar-level scores were constructed. Subsequently, the overall index was estimated through weighted aggregation using en-dogenous weights derived from principal component analysis, following methodological recommendations for composite indices aimed at mitigating collinearity and dou-ble-counting issues. The robustness of the instrument is supported by internal consistency tests and measures of sampling adequacy for factor analysis (KMO/Bartlett), providing evidence of the statistical coherence of the measurement framework. From an applied perspective, the index enables the relative classification of issuers (laggards–transition–leaders) using indicator terciles, offering a quantitative tool for screening, coverage priori-tization, and support for investment and sustainable governance decisions within fun-damental analysis. The findings are interpreted in light of the accumulated evidence on the relationship between ESG practices, financial performance, and cost of capital, high-lighting the usefulness of the approach in emerging markets characterized by heteroge-neous regulatory frameworks and ESG disclosure levels.