Is History Repeating Itself? The (Un)Predictable Past of ESG Ratings
59 Pages Posted: 5 Nov 2020 Last revised: 1 Sep 2021
Date Written: August 24, 2021
The explosion in ESG research has led to a strong reliance on ESG rating providers. We document widespread changes to the historical ratings of a key rating provider, Refinitiv ESG (formerly ASSET4). Depending on whether the original or rewritten data are used, ESG-based classifications of firms into ESG quantiles and tests that relate ESG scores to returns change. While there is a positive link between ESG scores and firms’ stock market performance in the rewritten data, we fail to observe such a relationship in the initial data. The ESG data rewriting is an ongoing rather than a one-off phenomenon.
Keywords: ESG ratings, ESG investment, CSR
JEL Classification: G24, G30, G34
Suggested Citation: Suggested Citation