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Esg ratings disagreement and stock returns: the Iberian case
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This paper studies the impact of ESG rating disagreement on the Iberian stock market, by studying its relationship with stock returns, trading volume and volatility. It uses ratings from four different providers for 68 Iberian companies, from 01/2007 until 07/2020. The disagreement in the Iberian market was measured and is like other studied geographies. Pooled panel regressions are used to estimate said impact. ESG rating disagreement has a negative relationship with volatility and trading volume while the relationship with stock returns is insignificant.
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Stock returns Esg ratings