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StefanESG · 2024年04月16日

不理解

  1. ESG
  2. ESG analysis, valuation and integration

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.

教材里经常说各个机构的标准不统一，怎么现在不同的机构评级提供者的结果又正相关了？

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2 个答案

王岑 · 2024年04月18日

嗨，从没放弃的小努力你好：


这道题目的说法是有点绕，其实它的逻辑就是即使是弱的正相关性，也是正相关的，所以选positively correlated。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

王岑 · 2024年04月17日

嗨，爱思考的PZer你好：


这个地方是比较容易混淆的一个知识点，这是因为即便ESG评级机构之间的评分标准和方法存在差异，它们的评级结果在统计上仍然表现为正相关。这意味着，尽管相关系数不是非常高，但通常一个机构给予较高评级时，另一个机构也倾向于给出较高的评分，反之亦然。我们可以看一下教材中的几个结论：

  • Chatterji等人的研究发现，六个评级机构之间的ESG评级的平均相关系数为0.3。尽管这一数值表明相关性存在但不强，相关性的存在仍然是显著的。此外，虽然这个研究也发现了一些负相关，但这不足以否定大部分数据显示的正相关性。
  • Berg等人的研究查看了来自六个不同评级机构的ESG评级数据集，发现这些评级之间的平均相关系数为0.54，范围从0.38到0.71不等。这进一步支持ESG评级之间普遍存在正相关的观点。
  • Gibson等人的2019年研究同样展示了不同评级之间的正相关性，尽管相关系数的范围较广，但也均为正值。

因此，评级机构之间的结果是较弱的正相关性，答案C是正确的。


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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

StefanESG · 2024年04月18日

“评级机构之间的结果是较弱的正相关性”！您说的很对！但是原题中的答案是：most likely positively correlated！翻译过来就是：最有可能是正相关的！难道不应该是weak positive correlation。这么出题本来就不严谨了

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