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Size bias in refinitiv ESG data

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  • Dobrick, Juris
  • Klein, Christian
  • Zwergel, Bernhard

Abstract

We reinvestigate the presence of the well-known size bias in ASSET4 ESG data identified by Drempetic et al. (2020) in its successor database, the new Refinitiv ESG database. Following Drempetic et al. (2020) we apply a linear mixed model to explain a company's degree of sustainability by firm size and further control variables. Even though Refinitiv claims to have minimized the size bias in their ESG data, we find that it is still present under the methodology of Refinitiv. Our finding is crucial for e.g. asset owners or asset managers who apply ESG integration and/or best-in-class approaches in portfolio management.

Suggested Citation

  • Dobrick, Juris & Klein, Christian & Zwergel, Bernhard, 2023. "Size bias in refinitiv ESG data," Finance Research Letters, Elsevier, vol. 55(PB).
    • Handle: RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003860
    DOI: 10.1016/j.frl.2023.104014
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    References listed on IDEAS

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    1. Samuel Drempetic & Christian Klein & Bernhard Zwergel, 2020. "The Influence of Firm Size on the ESG Score: Corporate Sustainability Ratings Under Review," Journal of Business Ethics, Springer, vol. 167(2), pages 333-360, November.
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    Cited by:

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    2. Bruno, Elena & Iacoviello, Giuseppina & Giannetti, Caterina, 2024. "Bank credit loss and ESG performance," Finance Research Letters, Elsevier, vol. 59(C).
    3. Muck, Matthias & Schmidl, Thomas, 2024. "Comparing ESG score weighting approaches and stock performance differentiation," Finance Research Letters, Elsevier, vol. 67(PB).
    4. Gregor Dorfleitner & Sebastian Utz, 2024. "Green, green, it’s green they say: a conceptual framework for measuring greenwashing on firm level," Review of Managerial Science, Springer, vol. 18(12), pages 3463-3486, December.
    5. Roger, Tristan, 2024. "Do financial analysts care about ESG ?," Finance Research Letters, Elsevier, vol. 63(C).

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