Written on 08 December 2021.
Is ESG Disagreement Material ? To answer this question, one needs first a methodology to construct a pure ESG factor for each data vendor. This is because the universe coverage of each data vendor is different and evolved through time. Another reason is related to exposure of any equity portfolio to other relevant characteristics (size, value, volatility,…). Hence, one needs to clear this exposure from the ESG factors to have a sound comparison of the performance of pure ESG factors from different data vendors. A very simple and new methodology to do so will be discussed during a seminar entitled “Chasing the ESG Factor” presented by EDHEC Professor Abraham Lioui at the University of Zurich Thursday 9, December at 16:15. You can register for free for the seminar at : UZH - Center of Competence for Sustainable Finance - Sustainable Finance Research Seminar