News and Insights

ESG Rating Disagreement and Stock Returns - New Publication by Prof. Rajna Gibson-Brandon and Prof. Philipp Krueger

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, GFRI's professors Rajna Gibson-Brandon and Philipp Krueger, and their co-author Peter Steffen Schmidt, studied the relationship between ESG rating disagreement and stock returns. They 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. They discuss the practical implications of their findings for firms’ equity cost of capital as well as for investment managers and asset owners who use ESG investment strategies.

 

The paper will be published in the forthcoming issue of the Financial Analysts Journal, and can be found here.

September 25, 2021
  News and Insights