Investor Reliance on ESG Ratings and Stock Price Performance

• 成果类型: Article; Early Access
• 署名作者: Rzeznik, Aleksandra; Hanley, Kathleen Weiss; Pelizzon, Loriana
• 署名单位: York University - Canada; Lehigh University; Goethe University Frankfurt; Universita Ca Foscari Venezia
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2024.08288
• 发表日期: 2026
• 关键词: corporate social responsibility; ESG rating agencies; sustainable investments; Socially responsible investing; ESG; INVESTMENT; stock price; returns

摘要

We exploit a quasi-natural experiment, the change in Sustainalytics' environmental, social, and governance (ESG) rating methodology, which reassesses risk and inverts the rating scale, to examine how reliance on ESG ratings impacts stock returns. The change in the ESG rating influences stocks' returns, but this is due to retail investors' misinterpretation about the change in the ratings scale. Sophisticated investors, such as 13F institutions and short sellers, take advantage of individual investors' blind trust in ratings by taking the opposite side of their trades. Our results highlight the potential for blind reliance on ESG ratings that can generate mispricing and inefficiencies, especially among less informed market participants.