Berg, Fabisik, and Sautner (2021)

Berg, Florian, Kornelia Fabisik, and Zacharias Sautner. “Is History Repeating Itself? The (Un)Predictable Past of ESG Ratings.” European Corporate Governance Institute – Finance Working Paper 708/2020, September 2021.

From the authors’ abstract:

“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.”

Links:

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3722087#

http://web.mit.edu/rigobon/www/aggregate-confusion-project.html