Are ESG Ratings Informative To Forecast Idiosyncratic Risk? (notice n° 627903)
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| fixed length control field | 02293cam a2200265 4500500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250121172801.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Boucher, Christophe |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | Are ESG Ratings Informative To Forecast Idiosyncratic Risk? |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2029.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 89 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | This paper develops a backtesting procedure that evaluates how well ESG ratings help in predicting a company’s idiosyncratic risk. Technically, the inference is based on extending the conditional predictive ability test of Giacomini and White (2006) to a panel data setting. We apply our methodology to the forecasting of stock returns idiosyncratic volatility and compare two ESG rating systems from Sustainalytics and Asset4 across three investment universes (Europe, North America, and the Asia-Pacific region). The results show that the null hypothesis of no informational content in ESG ratings is strongly rejected for firms located in Europe, whereas results appear mixed in the other regions. In most configurations, we find a negative relationship between ESG ratings and idiosyncratic risk, with higher ratings predicting lower levels of idiosyncratic volatility. Furthermore, the predictive accuracy gains are generally higher when assessing the environmental dimension of the ratings. Importantly, applying the test only to firms over which there is a high degree of consensus between the ESG rating agencies leads to higher predictive accuracy gains for all three universes. Beyond providing insights into the accuracy of each of the ESG rating systems, this last result suggests that information gathered from several ESG rating providers should be cross-checked before ESG is integrated into investment processes. JEL Codes: G10, G17, C12, C33 |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Test of equal predictive power |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Consensus ESG ratings. |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Idiosyncratic realized volatility |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Backtesting |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | ESG ratings |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Panel data |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Le Lann, Wassim |
| Relator term | author |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Matton, Stéphane |
| Relator term | author |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Tokpavi, Sessi |
| Relator term | author |
| 786 0# - DATA SOURCE ENTRY | |
| Note | Finance | Pub. aticipées | 2029-08-31 | p. I35-XLIV | 0752-6180 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/revue-finance-2024-0-page-I35?lang=en&redirect-ssocas=7080">https://shs.cairn.info/revue-finance-2024-0-page-I35?lang=en&redirect-ssocas=7080</a> |
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