Contemporaneous ESG ratings and idiosyncratic stock risk: Empirical evidence on measures of market consensus and dispersion

IF 5.6 2区经济学 Q1 BUSINESS, FINANCE

International Review of Economics & Finance Pub Date : 2025-07-29 DOI:10.1016/j.iref.2025.104471

Andreas Oehler , Matthias Horn

引用次数: 0

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.

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同期ESG评级和特殊股票风险：市场共识和分散度量的经验证据

本文在考虑不同评级机构评级均值（市场共识）和ESG评级离散度度量（市场离散度）的情况下，分析了ESG评级与特殊股票风险之间的关系。我们包括来自亚太、欧洲、日本和北美的五个ESG评级和股票。调查结果揭示了一幅复杂的图景。总体趋势是，较高的ESG平均评级要么与较低的特殊风险相关，要么没有显著影响。ESG评级的分散性（如果有的话）只是零星地与特殊股票风险相关。我们没有发现考虑ESG评级会损害投资者业绩的迹象。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Review of Economics & Finance Multiple-

CiteScore

7.30

自引率

2.20%

发文量

253

期刊介绍： The International Review of Economics & Finance (IREF) is a scholarly journal devoted to the publication of high quality theoretical and empirical articles in all areas of international economics, macroeconomics and financial economics. Contributions that facilitate the communications between the real and the financial sectors of the economy are of particular interest.