Theoretical and Applied Economics
No. 1 / 2024 (638), Spring
ESG risk rating disagreement: implications on portfolio performance
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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Contents
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of the employment market in Romania
The impact of inflation
A study on the Romanian post-pandemic economy
dominated by uncertainty
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Aureliana ROMAN
- The importance of resource efficiency indicators
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in the European Union countries
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- Day-of-the-week and weekend effects
on stock market returns:
an investigation through review of literature
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- Redefining wine brand engagement through influencer
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- The analysis of the effects of income inequalities
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Silvana BOBÂRNAT (CRIVOI)
Maria Denisa VASILESCU
Eva MILITARU
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a burden for informal workers
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Puja DAS
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A panel gravity model approach
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C.R. BISHNOI
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Theodor Gabriel TRIFAN
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Frederico Araujo TUROLLA
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- The economic efficiency
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in Côte d’Ivoire: parametric and non-parametric evidence
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- Evaluation of the event study
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Irina STANCU
- Impact of the Covid-19 Pandemic on FDIs in Romania:
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- Analysis of the evolution of the net investments
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Mădălina-Gabriela ANGHEL
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Ștefan Gabriel DUMBRAVĂ
