학회소식
[2020년 제 3차] Stock Price Reactions to ESG News: The Role of ESG Ratings and Disagreement
작성자 : 관리자
조회수 : 156
게시일 :
2020-09-01
Using data from the major ESG rating providers, we investigate whether ratings are helpful in predicting
future ESG news and the associated market reactions. Our results suggest that the consensus rating is helpful
in predicting future news, but its predictive ability diminishes for firms with large disagreement between
raters. Ratings shape market expectations about future ESG performance as the relation between news and
market reaction is moderated by the consensus rating. In the presence of high disagreement between raters,
the relation between news and market reactions decreases while the rating with the most predictive power
predicts future stock returns. Overall, while rating disagreement hinders the incorporation of value relevant
ESG news into prices, ratings predict future news and proxy for market expectations of future news.
