Constructing stock portfolios by sorting on ESG ratings: Does the rating provider matter?

IF 7.5 1区经济学 Q1 BUSINESS, FINANCE International Review of Financial Analysis Pub Date : 2024-09-19 DOI:10.1016/j.irfa.2024.103568

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Abstract

An interesting and well documented observation is that the same company receives heterogeneous ESG ratings from different rating providers. Consequently, an important question is whether sorting stocks on ESG ratings of different rating providers results in portfolios that are similar or substantially different regarding their constituents, performance, and risk. We employ the ratings of five rating providers on stocks listed in North America, Europe, Asia-Pacific (excluding Japan), and Japan for the period from 2014 until the end of 2019 and analyze whether the corresponding quintile stock portfolios actually have similar or different portfolio constituents as well as Sharpe ratios, alphas, and idiosyncratic risk. Our analysis indicates that the portfolios considerably differ regarding their constituents. In contrast, and most importantly, Sharpe ratios, alphas, and idiosyncratic risk of corresponding portfolios are not significantly different.

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根据环境、社会和公司治理评级分类构建股票投资组合：评级提供商重要吗？

一个有趣且有据可查的现象是，同一家公司从不同评级提供商处获得的 ESG 评级各不相同。因此，一个重要的问题是，根据不同评级提供商的环境、社会和公司治理评级对股票进行排序，是否会导致投资组合的成分、业绩和风险相似或大不相同。我们采用了五家评级提供商对北美、欧洲、亚太地区（日本除外）和日本上市股票在 2014 年至 2019 年底期间的评级，并分析了相应的五分位股票投资组合在投资组合成分以及夏普比率、阿尔法和特异性风险方面究竟是相似还是不同。我们的分析表明，这些投资组合的成分差异很大。相反，最重要的是，相应投资组合的夏普比率、阿尔法值和特异性风险并无显著差异。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Review of Financial Analysis BUSINESS, FINANCE-

CiteScore

10.30

自引率

9.80%

发文量

366

期刊介绍： The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.