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郑湛桦 · 2023年01月13日

感觉答案有问题,老师录播课里说ESG评级机构胡数据差异很大

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.



1 个答案

净净_品职助教 · 2023年01月18日

嗨,努力学习的PZer你好:


同学这道题之前提过问,可以参考下前面的回答,差异大并不代表ESG评级结果直接没有关联。另外差异比较大是相对与信用评级,信用评级的结果可以说是有非常强的正相关关系,而ESG评级是很弱的正相关

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努力的时光都是限量版,加油!

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