About GRASFI

The Global Research Alliance for Sustainable Finance and Investment (the ‘Alliance’) was founded in 2017 to promote multi-disciplinary academic research on sustainable finance and investment. The Alliance consists of global research universities, each with expertise in this emerging field.

The Alliance aims to: organise the major annual academic conference on sustainable finance and investment internationally; develop academic collaboration between researchers working on sustainable finance and investment; and nurture the growth and development of graduate students and junior academics working on sustainable finance and investment.

Member Universities

Supporters

GRASFI 2022 has been generously supported by:

Date and Time

Monday, 5 September 2022

14:45 – 16:15 CET

Session

Paper Session A1

ESG-Ratings & Data: How do we make sense of it?

Session Chairs:
Prof. Timo Busch, Hamburg University
Bérénice Lasfargues, BNP Paribas AM

PAPERS

 

Exploring ITR score: Framing robust company-specific benchmarks and future company-level GHG emissions ranges

Authors: Ruben Haalebos and Felix Fouret

ESG Rating Revisions and Stock Returns

Authors: Rients Galema and Dirk Gerritsen

Divestment, information asymmetries, and inflated ESG ratings

Authors: Bram van der Kroft and Dennis Bams.

Abstracts

Exploring ITR score: Framing robust company-specific benchmarks and future company-level GHG emissions ranges

As Investors are looking to align their portfolios with the goals of the Paris Agreement, portfolio metrics like Implied Temperature Rise (ITR) are becoming increasingly popular. We describe a Task Force on Climate-Related Financial Disclosures-aligned ITR methodology and benchmark the results.

ESG Rating Revisions and Stock Returns

We study the six-month impact of ESG rating revisions on U.S. stocks. Decreases are followed by annualized negative returns of 3%, which are not driven by ESG-specific news; partly driven by sustainable index changes; and in line with long-term investors decreasing holdings after a rating decrease.

Divestment, information asymmetries, and inflated ESG ratings

We causally show that ESG ratings are inversely related to sustainable performance because firms face cost of capital incentives to inflate ratings given socially responsible investing under information asymmetries. Consequently, their promises of future sustainable performance do not realize, even up to 15 years in the future.