ESG Rating Disagreement and Stock Returns

ESG Rating Disagreement and Stock Returns

Rajna Gibson Brandon, Philipp Krueger, Peter Steffen Schmidt

Series number :

Serial Number: 

Date posted :

January 20 2020

Last revised :

August 24 2021
SSRN Share


  • ESG ratings • 
  • disagreement • 
  • non-financial information • 
  • stock returns • 
  • equity cost of capital • 
  • Sustainable Finance

Using ESG ratings from seven different data providers for a sample of S&P 500 firms between 2010 and 2017, we study the relation between ESG rating disagreement and stock returns. We find that stock returns are positively related to ESG rating disagreement, suggesting a risk premium for firms with higher ESG rating disagreement.

The relation is primarily driven by disagreement about the environmental dimension. We discuss the practical implications of our findings for firms’ equity cost of capital as well as for investment managers and asset owners who use ESG investment strategies.


Real name:
Peter Steffen Schmidt