ESG ratings: Disagreement across providers and effects on stock returns
研究了2010至2020年欧洲和美国公司ESG评级随时间的变化、不同评级机构间的分歧，以及ESG评分是否影响股票收益，发现考虑风险因素后ESG评分不影响股票收益，且评级分歧在扩大。
• ESG scores strongly increased over time in Europe and the US. • Once risk factors are considered the ESG score does not affect stock returns. • The divergence of opinions in ESG scores is stable in Europe and increasing in the US. • Disagreement is wide but constant for the governance pillar and growing for the social pillar. This paper examines the ESG ratings assigned by two providers, LSEG and Bloomberg, to companies listed in Europe and the United States from 2010 to 2020. The objective is to document the path of the ESG ratings over time, the divergence of opinions across providers, and whether the ESG dimension affects stock returns. The ESG scores have increased significantly over time, both in Europe and the United States, and higher scores are common for larger firms with low credit risk and lower equity returns. Once risk factors have been considered, the ESG dimension does not affect stock returns. The divergence of opinions across rating providers is vast and mainly increasing, especially in the US and for the social component. A wide divergence of opinions on the ESG score does not favour the correct pricing of the ESG risks and weakens the link between investors’ ESG preferences and the performance of stocks with better ESG metrics. However, disagreement across providers should not be considered only negatively as it can enrich the information set and avoid rating over-reliance (which proved to be a vital issue in the 2007–2009 financial crisis).