- Published
- 2021-09-23
- Venue
- Financial Analysts Journal, vol. 77, no. 4, pp. 104-127
- Cited by
- 783
- Open access
- Yes, gold
- DOI
- 10.1080/0015198x.2021.1963186
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.
Cite this paper
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- APA 7
Brandon, R. G., Krueger, P., & Schmidt, P. S. (2021). ESG Rating Disagreement and Stock Returns. Financial Analysts Journal, 77(4), 104–127. https://doi.org/10.1080/0015198x.2021.1963186
- MLA 9
Brandon, Rajna Gibson, et al. "ESG Rating Disagreement and Stock Returns." Financial Analysts Journal, vol. 77, no. 4, 2021, pp. 104–127, https://doi.org/10.1080/0015198x.2021.1963186.
- Chicago
Brandon, Rajna Gibson, Philipp Krueger, and Peter Steffen Schmidt. "ESG Rating Disagreement and Stock Returns." Financial Analysts Journal 77, no. 4 (2021): 104–127. https://doi.org/10.1080/0015198x.2021.1963186.
- GOST
Brandon R. G., Krueger P., Schmidt P. S. ESG Rating Disagreement and Stock Returns // Financial Analysts Journal. — 2021. — Vol. 77, № 4. — P. 104–127. — URL: https://doi.org/10.1080/0015198x.2021.1963186
- BibTeX
@article{brandon2021rating, title = {{ESG Rating Disagreement and Stock Returns}}, author = {Rajna Gibson Brandon and Philipp Krueger and Peter Steffen Schmidt}, journal = {Financial Analysts Journal}, year = {2021}, volume = {77}, number = {4}, pages = {104--127}, doi = {10.1080/0015198x.2021.1963186}, url = {https://doi.org/10.1080/0015198x.2021.1963186} }- RIS
TY - JOUR AU - Brandon, Rajna Gibson AU - Krueger, Philipp AU - Schmidt, Peter Steffen TI - ESG Rating Disagreement and Stock Returns JO - Financial Analysts Journal VL - 77 IS - 4 SP - 104 EP - 127 PY - 2021 DA - 2021/09/23 DO - 10.1080/0015198x.2021.1963186 UR - https://doi.org/10.1080/0015198x.2021.1963186 ER -