ESG confusion and stock returns: Tackling the problem of noise
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F Berg, JF Koelbel, A Pavlova, R Rigobon
2022
nber.org
Existing measures of ESG (environmental, social, and governance) performance ESG ratings are noisy and, therefore, standard regression estimates of the effect of ESG performance on stock returns are biased. Addressing this as a classical errors-in-variables problem, we develop a noisecorrection procedure in which we instrument ESG ratings with ratings of other ESG rating agencies. With this procedure, the median increase in the regression coefficients is a factor of 2.1. The results are similar when we use accounting …
