Oehler, A., Horn, M., 2022, Contemporaneous ESG Ratings and Idiosyncratic Stock Risk: Empirical Evidence on Measures of Market Consensus and Dispersion; 1st CINSC Conference on International Finance; Sustainable and Climate Finance and Growth, June 12-14.

Abstract
We analyze the relation between ESG ratings and idiosyncratic stock risk under consideration of the mean of the ratings of different agencies (market consensus) as well as measures of ESG rating dispersion (market dispersion). We include five ESG ratings and stocks from Asia-Pacific, Europe, Japan, and North America. The findings reveal a mixed picture. The overall tendency is that higher mean ESG ratings are either associated with lower idiosyncratic risk or no significant effect. ESG rating dispersion, if at all, is only sporadically related to idiosyncratic stock risk. We do not find indications that considering ESG ratings harms investor performance.

Keywords

ESG Rating, Idiosyncratic Risk, Rating Dispersion, Differences in Opinion, Sin Stocks

JEL Classifications

G11, G12, G24

Auch:

Horn, M. (2023), The Influence of ESG Ratings on Idiosyncratic Stock Risk: The Unrated, the Good, the Bad, and the Sinners; Schmalenbach Journal of Business Research 75, 415–442.