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 :

July 01 2020
SSRN Share


  • disagreement • 
  • non-financial information • 
  • ESG ratings dispersion • 
  • heterogeneous beliefs • 
  • stock returns • 
  • legal origins • 
  • Sustainable Finance

Using a sample of S&P 500 firms between 2013 and 2017, we study the impact of ESG rating disagreement on stock returns. We conjecture that for disagreement about environmental ratings, a risk-based explanation induces a positive relationship between rating disagreement and stock returns.

In contrast, we hypothesize that for disagreement about the social and governance ratings, the impact on stock returns is negative and is driven by mispricing and the rating providers’ location in civil or common law jurisdictions. Our empirical findings support these hypotheses.


Real name:
Philipp Krueger
Real name:
Peter Steffen Schmidt