ESG rating disagreement portfolios – Evidence from the EuroStoxx 600

This study examines the impact of ESG rating disagreement on portfolio returns for EuroStoxx600 companies. Portfolios are analyzed using ESG data from Morningstar, Refinitiv, and Bloomberg for 458 firms from January 2016 to December 2022. The empirical findings reveal that high ESG agreement portfolios initially show higher returns. However, this effect vanishes when controlling for Book-to-Market ratio and market capitalization. These results challenge the simplistic view of ESG ratings influencing stock returns independently and highlight the need for a cautious approach to ESG investing. Policymakers and investors should consider the heterogeneity in ESG ratings for future regulations and investment decisions.