Journal ArticleDOI
Aggregate Confusion: The Divergence of ESG Ratings
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TLDR
In this article, the authors investigated the divergence of environmental, social, and governance (ESG) ratings from six prominent rating agencies, namely, KLD, Sustainalytics, Vigeo Eiris (Moody's), RobecoSAM (SP Global), Asset4 (Refinitiv), and MSCI IVA.Abstract:
This paper investigates the divergence of environmental, social, and governance (ESG) ratings. Based on data from six prominent rating agencies - namely, KLD (MSCI Stats), Sustainalytics, Vigeo Eiris (Moody's), RobecoSAM (SP Global), Asset4 (Refinitiv), and MSCI IVA- we decompose the divergence into three sources: different scope of categories, different measurement of categories, and different weights of categories. We find that scope and measurement divergence are the main drivers, while weights divergence is less important. In addition, we detect a rater effect where a rater's overall view of a firm influences the assessment of specific categories.read more
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Resiliency of Environmental and Social Stocks: An Analysis of the Exogenous COVID-19 Market Crash
TL;DR: This paper showed that stocks with higher ES ratings have significantly higher returns, lower return volatility, and higher operating profit margins during the COVID-19 pandemic and the subsequent lockdown brought about an exogenous and unparalleled stock market crash The crisis thus provides a unique opportunity to test theories of environmental and social policies.
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Sustainable investing in equilibrium
TL;DR: In this article, the authors model investing that considers environmental, social, and governance (ESG) criteria and find that green assets have low expected returns because investors enjoy holding them and because green assets hedge climate risk.
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Corporate green bonds
TL;DR: The authors examine corporate green bonds, whose proceeds finance climate-friendly projects, and show that investors respond positively to the issuance announcement, a response that is stronger for first-time issuers and bonds certified by third parties.
Journal ArticleDOI
Corporate Green Bonds
TL;DR: The authors examine corporate green bonds, whose proceeds finance climate-friendly projects, and find that investors respond positively to the issuance announcement, a response that is stronger for first-time issuers and bonds certified by third parties.
References
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Journal ArticleDOI
Intraclass correlations: uses in assessing rater reliability.
TL;DR: In this article, the authors present guidelines for choosing among six different forms of the intraclass correlation for reliability studies in which n target are rated by k judges, and the confidence intervals for each of the forms are reviewed.
Journal ArticleDOI
No Contagion, Only Interdependence: Measuring Stock Market Comovements
TL;DR: The authors showed that correlation coefficients are conditional on market volatility, and that there was virtually no increase in unconditional correlation coefficients (i.e., no contagion) during the 1997 Asian crisis, 1994 Mexican devaluation, and 1987 U.S. market crash.
Posted Content
The Impact of Corporate Social Responsibility on Firm Value: The Role of Customer Awareness
TL;DR: It is shown that corporate social responsibility (CSR) and firm value are positively related for firms with high customer awareness, as proxied by advertising expenditures, and this evidence is consistent with the view that CSR activities can add value to the firm but only under certain conditions.
Journal ArticleDOI
The Impact of Corporate Social Responsibility on Firm Value: The Role of Customer Awareness
Henri Servaes,Ane Tamayo +1 more
TL;DR: In this article, the authors show that corporate social responsibility and firm value are positively related for firms with high customer awareness, as proxied by advertising expenditures, and that the effect of awareness on the CSR-value relation is reversed for companies with a poor prior reputation as corporate citizens.
Journal ArticleDOI
How Well Do Social Ratings Actually Measure Corporate Social Responsibility
TL;DR: In this article, the authors examine how well the most widely used ratings, those of Kinder, Lydenberg, Domini Research & Analytics (KLD), provide transparency about past and likely future environmental performance.