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"In partnership for the goals"? The (dis)agreement of SDG ratings

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  • Bauckloh, Michael Tobias
  • Dobrick, Juris
  • Höck, André
  • Utz, Sebastian
  • Wagner, Marcus

Abstract

This paper analyzes the (dis)agreement of Sustainable Development Goals (SDGs) ratings across different rating providers and implications for portfolio management. It documents a considerable level of disagreement that is particularly high for large companies and for companies from the Healthcare and the Basic Materials sector. In general, the sector in which the companies are mainly active explains a large part of the variation in disagreement measures of the SDG ratings. Moreover, we document different return characteristics and risk factor exposures of portfolios sorted according to SDG ratings of different rating providers. Overall, our analyses show that the selection of a specific SDG rating for portfolio allocation can have a crucial impact on financial and non-financial outcomes of portfolios, which bears significant implications for sustainability transitions and their financing.

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  • Bauckloh, Michael Tobias & Dobrick, Juris & Höck, André & Utz, Sebastian & Wagner, Marcus, 2023. ""In partnership for the goals"? The (dis)agreement of SDG ratings," CFR Working Papers 23-02, University of Cologne, Centre for Financial Research (CFR).
    • Handle: RePEc:zbw:cfrwps:2302
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