ESG Rating Disagreement and Stock Returns
利用2010至2017年标普500指数成分股的数据，发现ESG评级分歧越大的公司股票收益越高，这主要源于环境维度的分歧，对理解股权资本成本和ESG投资策略有参考价值。
Using environmental, social, and governance (ESG) ratings from seven different data providers for a sample of firms in the S&P 500 Index between 2010 and 2017, we studied the relationship between ESG rating disagreement and stock returns. We found that stock returns are positively related to ESG rating disagreement, suggesting a risk premium for firms with higher ESG rating disagreement. The relationship is primarily driven by disagreement about the environmental dimension. We discuss the practical implications of our findings for firms’ equity cost of capital as well as for investment managers and asset owners who use ESG investment strategies.