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Theoretical and Applied Economics
No. 1 / 2024 (638), Spring

ESG risk rating disagreement: implications on portfolio performance

Diana-Mihaela SANDU
Bucharest University of Economic Studies, Romania

Abstract. This paper examines the ESG risk rating disagreement across two-well established rating providers and its implication on portfolio performance. By deriving a proxy for rating disagreement using the average standard deviation of pairwise percentile ranking across Refinitiv and Sustainalytics, this study examined the risk-adjusted performance of high and low disagreement portfolios. For each portfolio, four risk-adjusted measures (Sharpe ratio, Treynor ratio, Modigliani- Squared and Jensen’s alpha) were calculated. In general, the study found that the best performer was the low-disagreement portfolio, but the results were not favourable for any portfolio.

Keywords: ESG disagreement, portfolio performance, risk-adjusted measures, industry, Europe.

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The Economicity. The Epistemic Landscape, Marin Dinu, 2016

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