ESG评级异曲同工吗?——基于成就导向与风险导向的ESG评级比较研究

Are ESG Ratings of Different Agencies Similar?-A Comparative Study Based on --A chievement-Oriented and Risk-Oriented Ratings

ESG评级日益受到重视,但不同机构的评级结果存在较大差异,引发资本市场与学术界的关注。本文依据各机构的评级方法论,将ESG评级划分为成就导向和风险导向,从财务绩效和市场表现的角度展开比较分析。研究发现,ESG评级异曲不同工,成就导向ESG评级对企业短期财务绩效、个股回报率有显著的正向影响,对长期财务绩效的影响不稳定,且对股价崩盘风险未产生显著影响;风险导向ESG评级仅对股价崩盘风险有显著的负面影响,但存在机构异质性。原因分析表明,各评级机构所采用的指标体系的差异,权重分配与数据整合的不同取向,以及底层数据来源和覆盖范围的差异是导致各ESG评级出现分歧的重要因素;不同导向ESG评级之间存在干扰效应;环境维度的差异造成的影响最大。本文丰富了ESG评级的研究,对构建良好的ESG评级生态具有重要意义。

Attention to ESG rating is increasing,however,there are large differences in the rating results of different agencies,which has attracted the attention of capital market and academia.Based on the rating methodology,we divide ESG ratings into achievement-oriented and risk-oriented,and make a comparative analysis from the perspective of financial performance and market performance.We find that ESG ratings of different agencies are not similar.Achievement-oriented ESG ratings have a significant positive impact on short-term financial performance and individual stock annual returns,but the impact on long-term financial performance is unstable,and there is no significant impact on stock price crash risk.Risk-oriented ESG ratings only have a significant negative impact on stock price crash risk,but this relationship exhibits institutional heterogeneity.The analysis of the reasons shows that the differences in the index adopted by the rating agencies,the different orientations of weight distribution and data integration,and the differences in the underlying data sources and coverage are important factors that lead to the divergence of ESG ratings.There is interference effect between different oriented ESG ratings.The greatest impact is caused by dfferences in environmental dimensions.This paper enriches the research on ESG ratings differences,and it is of great significance for the construction of a good ESG rating ecosystem.