ESG and aggregate disagreement
研究了美国、欧盟和英国市场中，ESG评分高的公司因长期盈利增长看法分歧而更易受总体意见分歧影响，在高分歧时做多低ESG、做空高ESG可获利。
This paper investigates the role of aggregate disagreement in the relationship between environmental, social, and governance (ESG) scores and future stock returns in the United States (US), European Union (EU), and United Kingdom (UK). We find that firms with high ESG scores are likely to have higher exposure to aggregate disagreement than firms with low ESG scores because of the divergence of opinions about long-term earnings growth. Consistent with our conjecture, the results suggest that when aggregate disagreement is high, a profitable trading strategy is to long firms with low ESG scores and to short those with higher ESG scores. Our results have clear implications for the growing debate over ESG investment strategies.