Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/222553
Authors: 
Billio, Monica
Costola, Michele
Hristova, Iva
Latino, Carmelo
Pelizzon, Loriana
Year of Publication: 
2020
Series/Report no.: 
SAFE Working Paper No. 284
Abstract: 
We analyze the ESG rating criteria used by prominent agencies and show that there is a lack of a commonality in the definition of ESG (i) characteristics, (ii) attributes and (iii) standards in defining E, S and G components. We provide evidence that heterogeneity in rating criteria can lead agencies to have opposite opinions on the same evaluated companies and that agreement across those providers is substantially low. Those alternative definitions of ESG also affect sustainable investments leading to the identification of different investment universes and consequently to the creation of different benchmarks. This implies that in the asset management industry it is extremely dicult to measure the ability of a fund manager if financial performances are strongly conditioned by the chosen ESG benchmark. Finally, we find that the disagreement in the scores provided by the rating agencies disperses the effect of preferences of ESG investors on asset prices, to the point that even when there is agreement, it has no impact on financial performances.
Subjects: 
Corporate Social Responsibility
ESG Rating Agencies
Sustainable Investments
JEL: 
M14
G24
G11
Document Type: 
Working Paper

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