ESG risk rating disagreement: implications on portfolio performance
This paper examines the ESG risk rating disagreement across two-well established rating providers and its implication on portfolio performance. By deriving a proxy for rating disagreement using the average standard deviation of pairwise percentile ranking across Refinitiv and Sustainalytics, this st...
| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
General Association of Economists from Romania
2024-03-01
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| Series: | Theoretical and Applied Economics |
| Subjects: | |
| Online Access: |
http://store.ectap.ro/articole/1728.pdf
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| _version_ | 1797205489416667136 |
|---|---|
| author | Diana-Mihaela SANDU |
| author_facet | Diana-Mihaela SANDU |
| author_sort | Diana-Mihaela SANDU |
| collection | DOAJ |
| description | This paper examines the ESG risk rating disagreement across two-well established rating
providers and its implication on portfolio performance. By deriving a proxy for rating disagreement
using the average standard deviation of pairwise percentile ranking across Refinitiv and
Sustainalytics, this study examined the risk-adjusted performance of high and low disagreement
portfolios. For each portfolio, four risk-adjusted measures (Sharpe ratio, Treynor ratio, Modigliani-
Squared and Jensen’s alpha) were calculated. In general, the study found that the best performer
was the low-disagreement portfolio, but the results were not favourable for any portfolio. |
| first_indexed | 2024-04-24T08:51:56Z |
| format | Article |
| id | doaj.art-55067454c43f492690bfb379aa62d827 |
| institution | Directory Open Access Journal |
| issn | 1841-8678 1844-0029 |
| language | English |
| last_indexed | 2024-04-24T08:51:56Z |
| publishDate | 2024-03-01 |
| publisher | General Association of Economists from Romania |
| record_format | Article |
| series | Theoretical and Applied Economics |
| spelling | doaj.art-55067454c43f492690bfb379aa62d8272024-04-16T09:19:13ZengGeneral Association of Economists from RomaniaTheoretical and Applied Economics1841-86781844-00292024-03-01XXXI116116818418678ESG risk rating disagreement: implications on portfolio performanceDiana-Mihaela SANDU0 Bucharest University of Economic Studies, Romania This paper examines the ESG risk rating disagreement across two-well established rating providers and its implication on portfolio performance. By deriving a proxy for rating disagreement using the average standard deviation of pairwise percentile ranking across Refinitiv and Sustainalytics, this study examined the risk-adjusted performance of high and low disagreement portfolios. For each portfolio, four risk-adjusted measures (Sharpe ratio, Treynor ratio, Modigliani- Squared and Jensen’s alpha) were calculated. In general, the study found that the best performer was the low-disagreement portfolio, but the results were not favourable for any portfolio. http://store.ectap.ro/articole/1728.pdf esg disagreementportfolio performancerisk-adjusted measuresindustryeurope |
| spellingShingle | Diana-Mihaela SANDU ESG risk rating disagreement: implications on portfolio performance Theoretical and Applied Economics esg disagreement portfolio performance risk-adjusted measures industry europe |
| title | ESG risk rating disagreement: implications on portfolio performance |
| title_full | ESG risk rating disagreement: implications on portfolio performance |
| title_fullStr | ESG risk rating disagreement: implications on portfolio performance |
| title_full_unstemmed | ESG risk rating disagreement: implications on portfolio performance |
| title_short | ESG risk rating disagreement: implications on portfolio performance |
| title_sort | esg risk rating disagreement implications on portfolio performance |
| topic | esg disagreement portfolio performance risk-adjusted measures industry europe |
| url |
http://store.ectap.ro/articole/1728.pdf
|
| work_keys_str_mv | AT dianamihaelasandu esgriskratingdisagreementimplicationsonportfolioperformance |