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| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | Disagreement of ESG-Ratings and its Impact on Stock Volatility |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 43 |
| Date | 2021 |
| Abstract Text | Taking a sample of the Russell 3000 index, this thesis investigates the ESG ratings of three different providers. By regressing stock return on the ESG ratings considering the period of 2016 to 2019, I find a positive relation for one provider, implying a higher ESG rating increases the return. Analyzing the correlation between the ESG ratings suggests substantial disagreement. Disagreement of ESG ratings can be taken as a proxy for risk since the disagreement creates uncertainty regarding environmental, social, and governance criteria. This thesis finds that disagreement increases idiosyncratic volatility under the considered period from 2016 to 2019. Looking at the market turbulence caused by the outbreak of COVID-19, both effects disappear. |
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