NO.PZ2022120703000073
问题如下:
The ESG rating correlation among different data providers is most likely:
选项:
A.negatively correlated. B.uncorrelated. C.positively correlated.解释:
C is correct because "one challenge is that the agreement or correlation between the various ratings agencies is low. A study by Chatterji at al. finds an approximate 0.3 correlation. (Or more technically, this analysis found pairwise tetrachoric correlations for three years among the six raters, with a mean correlation of 0.30 (about 2 standard deviations). However, this also included some negative ones’ correlations, meaning what one rater found responsible another found ‘irresponsible’.) A 2019 study by Gibson et al. shows a range of correlations (see Table 7.4). Yet another study by Berg et al. shows a range of correlations as well: Berg looks at a dataset of ESG ratings from six different raters – namely, KLD (MSCI Stats), Sustainalytics, Vigeo Eiris (Moody’s), RobecoSAM (S&P Global), Asset4 (Refinitiv) and MSCI – the correlations between the ratings are on average 0.54 and range from 0.38 to 0.71." Table 7.4 presents 4 categories of correlations ranging from 0.2 to 0.46.
A is incorrect because the academic study results and Table 7.4 demonstrate that the correlation is positively correlated.
B is incorrect because the academic study results and Table 7.4 demonstrate that the correlation is positively correlated.