Theoretical and Applied Economics
No. 1 / 2024 (638), Spring
ESG risk rating disagreement: implications on portfolio performance
Bucharest University of Economic Studies, Romania
Abstract. This paper examines the ESG risk rating disagreement across two-well established rating providers and its implication on portfolio performance. By deriving a proxy for rating disagreement using the average standard deviation of pairwise percentile ranking across Refinitiv and Sustainalytics, this study examined the risk-adjusted performance of high and low disagreement portfolios. For each portfolio, four risk-adjusted measures (Sharpe ratio, Treynor ratio, Modigliani- Squared and Jensen’s alpha) were calculated. In general, the study found that the best performer was the low-disagreement portfolio, but the results were not favourable for any portfolio.
Contents
The unemployment rate and the future of the employment market in Romania The impact of inflation A study on the Romanian post-pandemic economy dominated by uncertainty
The importance of resource efficiency indicators in assessing eco-innovation in the European Union countries
Day-of-the-week and weekend effects on stock market returns: an investigation through review of literature
Redefining wine brand engagement through influencer marketing and ephemeral content
The analysis of the effects of income inequalities on the at-risk-of-poverty rate in the European Union
Financial anxiety and inflation: a burden for informal workers
India’s global trade potential. A panel gravity model approach
Drifting away from market efficiency: the presence of the January effect in the U.S. stock market
Marketing ethics – another business-oriented scheme?
Financial effect of remittances
Twitter sentiments and stock indices returns with reference to nifty energy indices of India
Brazilian soybeans: quo vadis?
ESG risk rating disagreement: implications on portfolio performance
The economic efficiency of waste management policies
Microfinance and poverty reduction: an empirical evidence from SAARC nations
Nexus between political federalism, social diversity and human development in India
Shaping the digital labor market in the European Union
Two decades of research on affiliate marketing: a systematic literature review
Impact of final consumption, domestic investment, exports, and imports on economic growth in Albania
Resurgence of informal economy in the US amidst of automation
Ownership type and technical efficiency of banks in Côte d’Ivoire: parametric and non-parametric evidence
Evaluation of the event study in the case of mergers and acquisitions
Impact of the Covid-19 Pandemic on FDIs in Romania: a comparative analysis
Analysis of the evolution of the net investments and constructions carried out in Romania at the end of 2023