Inside the ESG Ratings: (Dis)agreement and Performance
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Datum
2020-07-31
Autor
Billio, Monica
Costola, Michele
Hristova, Iva
Latino, Carmelo
Pelizzon, Loriana
SAFE No.
284
Metadata
Zur Langanzeige
Zusammenfassung
We analyze the ESG rating criteria used by prominent agencies and show that there is a lack of a commonality in the definition of ESG (i) characteristics, (ii) attributes and (iii) standards in defining E, S and G components. We provide evidence that heterogeneity in rating criteria can lead agencies to have opposite opinions on the same evaluated companies and that agreement across those providers is substantially low. Those alternative definitions of ESG also affect sustainable investments leading to the identification of different investment universes and consequently to the creation of different benchmarks. This implies that in the asset management industry it is extremely difficult to measure the ability of a fund manager if financial performances are strongly conditioned by the chosen ESG benchmark. Finally, we find that the disagreement in the scores provided by the rating agencies disperses the effect of preferences of ESG investors on asset prices, to the point that even when there is agreement, it has no impact on financial performances.
Forschungsbereich
Financial Markets
Schlagworte
corporate social responsibility, esg rating agencies, sustainable investments
JEL-Klassifizierung
M14, G24, G11
Forschungsdaten
Thema
Fiscal Stability
Saving and Borrowing
Corporate Finance
Saving and Borrowing
Corporate Finance
Beziehungen
1
Publikationstyp
Working Paper
Link zur Publikation
Collections
- LIF-SAFE Working Papers [334]