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발표자:  Yongcheol Shin (University of York)

주제: Systematic Common Components in ESG Ratings across Legal Origins

장소: 대우관 본관 4층 415호 (곽정환홀)

날짜: 5월 21일 수요일 오후 5시 00분 ~ 오후 6시 00분

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교수님들의 많은 참석을 부탁드리며 대학원생들이 참여할 수 있도록 적극 권유해 주시면 감사하겠습니다.

Abstract

We aim to identify systematic common components of ESG ratings using the multilevel factor model. Applying the data-driven generalised canonical correlation approach to MSCI and Refinitiv datasets across legal origins, we document the presence of one global factor irrespective of ESG rating or its E/S/G pillars, confirming ESG trend/globalisation while the number of local factors varies across legal origins and sub-components. We find the dominance of global factors in Refinitiv data but the dominance of local factors in MSCI data in explaining the variance of ESG. Furthermore, we find the mixed evidence on the impacts of legal origin on ESG performance. Such different findings point towards the raters’ ESG divergence. We suggest that the relative importance ratio of the global factor be greatly improved relative to local factors and idiosyncratic components to better predict ESG performance. As the standards of ESG disclosure are currently quite different across civil and common law countries, this goal can be achieved through the enforcement of global mandatory reporting standards.