Are ESG Ratings of Different Agencies Similar?——A Comparative Study Based on Achievement-Oriented and Risk-Oriented Ratings
Attention to ESG rating is increasing,however,there are large differences in the rating results of different agencies,which has attracted the attention of capital market and academia.Based on the rating methodology,we divide ESG ratings into achievement-oriented and risk-oriented,and make a comparative analysis from the perspective of financial performance and market performance.We find that ESG ratings of different agencies are not similar.Achievement-oriented ESG ratings have a significant positive impact on short-term financial performance and individual stock annual returns,but the impact on long-term financial performance is unstable,and there is no significant impact on stock price crash risk.Risk-oriented ESG ratings only have a significant negative impact on stock price crash risk,but this relationship exhibits institutional heterogeneity.The analysis of the reasons shows that the differences in the index adopted by the rating agencies,the different orientations of weight distribution and data integration,and the differences in the underlying data sources and coverage are important factors that lead to the divergence of ESG ratings.There is interference effect between different oriented ESG ratings.The greatest impact is caused by differences in environmental dimensions.This paper enriches the research on ESG ratings differences,and it is of great significance for the construction of a good ESG rating ecosystem.
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