Maccarrone, P.; Illuzzi, A.; Inguanta, S. Does a Change in the ESG Ratings Influence Firms’ Market Value? Evidence from an Event Study. J. Risk Financial Manag.2024, 17, 340.
Maccarrone, P.; Illuzzi, A.; Inguanta, S. Does a Change in the ESG Ratings Influence Firms’ Market Value? Evidence from an Event Study. J. Risk Financial Manag. 2024, 17, 340.
Maccarrone, P.; Illuzzi, A.; Inguanta, S. Does a Change in the ESG Ratings Influence Firms’ Market Value? Evidence from an Event Study. J. Risk Financial Manag.2024, 17, 340.
Maccarrone, P.; Illuzzi, A.; Inguanta, S. Does a Change in the ESG Ratings Influence Firms’ Market Value? Evidence from an Event Study. J. Risk Financial Manag. 2024, 17, 340.
Abstract
The recent years have been marked by rapid growth in the field of "ESG finance," leading to the emergence and expansion of ESG ratings and rating agencies. This study seeks to examine how financial investors respond to updates in ESG ratings provided by two prominent ESG rating agencies: MSCI and Refinitiv. Specifically, the goal is to determine whether any potential positive or negative alterations in a company's sustainability ratings directly affect its market value. The chosen methodology for this investigation is the Event Study, a model employed to assess the influence of economic events on corporate valuations by analyzing their Cumulated Average Abnormal Returns (CAARs). Over 840 instances of rating updates (events) were analyzed using a sample of 75 companies across various industries, all listed on major stock exchanges. The findings indicate that shifts in sustainability ratings, as evaluated by the two rating agencies, do not have a significant impact on companies' market capitalization. Moreover, these outcomes remain consistent over time, suggesting that financial markets are not assigning increasing significance to ESG ratings. Potential explanations are offered and discussed in relation to existing literature on the subject.
Copyright:
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
