“ESG Rating Disagreement and Stock Returns” (2021), by Rajna Gibson Brandon et al. Business and Management research paper. Original abstract below, unchanged. No free PDF was found.

ESG Rating Disagreement and Stock Returns

Rajna Gibson Brandon, Philipp Krueger, Peter Steffen Schmidt · September 23, 2021 · Business and Management

Abstract

Using ESG ratings from seven different data providers for a sample of S&P 500 firms between 2010 and 2017, we study the relation between ESG rating disagreement and stock returns. We find that stock returns are positively related to ESG rating disagreement, suggesting a risk premium for firms with higher ESG rating disagreement. The relation 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.

Source page DOI: 10.1080/0015198x.2021.1963186