Scholarlink

This chapter investigates the relationship between ESG ratings and systematic risk, focusing on the impact of global sustainability milestones such as the UN 2030 Agenda and the Paris Agreement in 2015. Using CAPM and the Fama–French five-factor model, STOXX Europe firms are analysed through ESG-sorted portfolios. The findings show a significant negative relationship between ESG scores and systematic risk after 2015, particularly for higher ESG firms, while lower ESG firms may experience increased risk due to regulatory scrutiny and reputational exposure. The results are robust across models but highlight persistent limitations of ESG ratings, including methodological heterogeneity, inter-rater divergence, and susceptibility to greenwashing. The chapter emphasizes the strategic importance of substantive ESG practices, the need for harmonized reporting and rating standards, and the integration of ESG into governance to enhance resilience, reduce cost of capital, and support long-term value creation.

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

ESG Ratings’ Correlation with Systematic Risk: Empirical Evidence

  • 章节

  • 发表日期：

    2026年

查看全文
  • Matilda Shini

摘要

This chapter investigates the relationship between ESG ratings and systematic risk, focusing on the impact of global sustainability milestones such as the UN 2030 Agenda and the Paris Agreement in 2015. Using CAPM and the Fama–French five-factor model, STOXX Europe firms are analysed through ESG-sorted portfolios. The findings show a significant negative relationship between ESG scores and systematic risk after 2015, particularly for higher ESG firms, while lower ESG firms may experience increased risk due to regulatory scrutiny and reputational exposure. The results are robust across models but highlight persistent limitations of ESG ratings, including methodological heterogeneity, inter-rater divergence, and susceptibility to greenwashing. The chapter emphasizes the strategic importance of substantive ESG practices, the need for harmonized reporting and rating standards, and the integration of ESG into governance to enhance resilience, reduce cost of capital, and support long-term value creation.