We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
News-Based ESG Ratings for Optimal Portfolios: SASB versus SDGs.
- Authors
Schmidt, Anatoly B.
- Abstract
News-based ESG ratings (NBESGRs) are a promising alternative to the widely used ESG ratings based on corporate self-reporting. In this article, the NBESGRs derived using 26 Sustainability Accounting Standards Board (SASB) categories and the NBESGRs derived using 17 United Nations Sustainable Development Goals (SDGs) are compared for the constituents of three environmentally sensitive US equity sector ETFs (energy, materials, and utilities). The specifics of three different NBESGRs based on (1) news aggregated over all SASB categories and SDGs, (2) ecological impact news, and (3) greenhouse gas emission news are discussed. It is found that although there are significant differences between the SASB-based and the SDG-based NBESGRs, the main holdings of the optimal ESG portfolios derived with these NBESGRs may be rather similar. This implies that the choice of the all-over-good companies using simultaneous optimization upon their stock return, volatility, and ESG ratings may be not very sensitive to the specifics of the ESG metrics.
- Subjects
UNITED States; ENVIRONMENTAL, social, &; governance factors; GREENHOUSE gas mitigation; SUSTAINABLE Development Goals (United Nations); STOCK exchanges
- Publication
Journal of Impact & ESG Investing, 2024, Vol 4, Issue 3, p53
- ISSN
2693-1982
- Publication type
Article
- DOI
10.3905/jesg.2024.1.092