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ESG risk rating disagreement: implications on portfolio performance

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  • Diana-Mihaela SANDU

    (Bucharest University of Economic Studies, Romania)

Abstract

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.

Suggested Citation

  • Diana-Mihaela SANDU, 2024. "ESG risk rating disagreement: implications on portfolio performance," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(1(638), S), pages 161-168, Spring.
    • Handle: RePEc:agr:journl:v:1(638):y:2024:i:1(638):p:161-168
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    References listed on IDEAS

    as
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    5. Amal Aouadi & Sylvain Marsat, 2018. "Do ESG Controversies Matter for Firm Value? Evidence from International Data," Journal of Business Ethics, Springer, vol. 151(4), pages 1027-1047, September.
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