ESG Rating Events and Stock Market Reactions

Maximilian Glück, Benjamin Hübel, Hendrik Scholz

2022 | Academic | ESG Ratings, Risk & Performance

Findings suggest that rating changes materialize shortly after the rating events. Upgrades in environmental scores significantly moderate downside risk, whereas upgrades in governance scores mitigate systematic risk. Thus improving their firm’s ESG profile allows managers to effectively mitigate value-relevant risk in the short term which, in turn, could also benefit investors seeking lower risk...