ESG Rating Disagreement and Stock Returns

被引：431

作者：

Gibson Brandon, Rajna ^{[1
,2
,3
]}

Krueger, Philipp ^{[1
,2
,4
]}

Schmidt, Peter Steffen ^{[5
]}

机构：

[1] Univ Geneva, Geneva Sch Econ Management, Geneva, Switzerland

[2] Univ Geneva, Geneva Finance Res Inst, Geneva, Switzerland

[3] European Corp Governance Inst, Geneva, Switzerland

[4] Swiss Finance Inst, Geneva, Switzerland

[5] Univ Zurich, Dept Business Adm, Zurich, Switzerland

来源：

FINANCIAL ANALYSTS JOURNAL | 2021年 / 77卷 / 04期

关键词：

CORPORATE SOCIAL-RESPONSIBILITY; CROSS-SECTION; ANOMALIES; RISK;

D O I：

10.1080/0015198X.2021.1963186

中图分类号：

F8 [财政、金融];

学科分类号：

020219 [财政学（含：税收学）];

摘要：

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.

引用

页码：104 / 127

页数：24

共 53 条

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