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MASTER THESIS
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Reliability of ESG ratings - A qualitative and quantitative assessment

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Ruth, Jérôme ULiège
Promotor(s) : Lambert, Marie ULiège
Date of defense : 2-Sep-2020/8-Sep-2020 • Permalink : http://hdl.handle.net/2268.2/10407
Details
Title : Reliability of ESG ratings - A qualitative and quantitative assessment
Translated title : [fr] Fiabilité des notations ESG - Une évaluation qualitative et quantitative
Author : Ruth, Jérôme ULiège
Date of defense  : 2-Sep-2020/8-Sep-2020
Advisor(s) : Lambert, Marie ULiège
Committee's member(s) : Hübner, Georges ULiège
Malaise, Philippe 
Language : English
Number of pages : 170
Keywords : [en] Sustainable finance
[en] ESG ratings
[en] Panel regressions
[en] Multi-factors models
Discipline(s) : Business & economic sciences > Finance
Target public : Researchers
Professionals of domain
Student
Institution(s) : Université de Liège, Liège, Belgique
Degree: Master en ingénieur de gestion, à finalité spécialisée en Financial Engineering
Faculty: Master thesis of the HEC-Ecole de gestion de l'Université de Liège

Abstract

[en] This thesis aims at studying the reliability of ratings through three complementary research questions. The first research question showed that, despite an overall agreement on the SRI definition, ESG rating is a relative concept specific to each agency as reflected by different methodologies and purposes. This indicates a possible complementary effect between agencies. The second research question confirmed a size and a location effect and provided indications of a learning effect. Build upon the result of the second research question, the third research question has shown that portfolios of high and low ESG ratings are neither associated with overperformance nor with underperformance. Besides, this question has shown that ESG ratings could not reproduce findings on specific pillar components (such as employees and customer satisfaction).


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Author

  • Ruth, Jérôme ULiège Université de Liège > Master ingé. gest., à fin.

Promotor(s)

Committee's member(s)

  • Hübner, Georges ULiège Université de Liège - ULiège > HEC Liège : UER > UER Finance et Droit : Gestion financière
    ORBi View his publications on ORBi
  • Malaise, Philippe
  • Total number of views 165
  • Total number of downloads 46










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