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ESG ratings: Disagreement across providers and effects on stock returns

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  • Anselmi, Giulio
  • Petrella, Giovanni

Abstract

This paper examines the ESG ratings assigned by two providers, LSEG and Bloomberg, to companies listed in Europe and the United States from 2010 to 2020. The objective is to document the path of the ESG ratings over time, the divergence of opinions across providers, and whether the ESG dimension affects stock returns. The ESG scores have increased significantly over time, both in Europe and the United States, andhigher scores are common for larger firms with low credit risk and lower equity returns. Once risk factors have been considered, the ESG dimension does not affect stock returns. The divergence of opinions across rating providers is vast and mainly increasing, especially in the US and for the social component. A wide divergence of opinions on the ESG score does not favour the correct pricing of the ESG risks and weakens the link between investors’ ESG preferences and the performance of stocks with better ESG metrics. However, disagreement across providers should not be considered only negatively as it can enrich the information set and avoid rating over-reliance (which proved to be a vital issue in the 2007–2009 financial crisis).

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  • Anselmi, Giulio & Petrella, Giovanni, 2025. "ESG ratings: Disagreement across providers and effects on stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 100(C).
    • Handle: RePEc:eee:intfin:v:100:y:2025:i:c:s104244312500023x
    DOI: 10.1016/j.intfin.2025.102133
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