Abstract
The study investigates the complex relationship between sustainability factors and investment decisions, particularly in a financial landscape that is increasingly veering towards sustainability and ethical considerations in the diverse environment of MENA region. The data use five years (2017-2022) of MENA listed company data. The findings reveal a nuanced picture: while ESG scores, especially those related to Environmental and Governance factors, do not ostensibly pose a risk for investments in the MENA region, the Social score is perceived to carry a discernible risk, thereby providing tangible evidence in support of the Social Capital Theory, particularly in relation to social ethics within the region. A pivotal aspect of the research was the development of an asset pricing model, inspired by the ESG framework proposed by Maiti (2021), which not only held its ground when juxtaposed with the traditional Fama and French model but also showcased its potential in offering fresh perspectives into the asset pricing domain. However, employing support vector regression across a spectrum of kernel functions, the study encountered modest results, with the predictive power of the model for the region appearing limited. This research, therefore, not only contributes to the academic discourse around ESG factors and investment strategies but also navigates through the practical implications and challenges of employing machine learning in financial modelling within the MENA region.