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Size bias in refinitiv ESG data

Dobrick, Juris
Klein, Christian
Zwergel, Bernhard

We reinvestigate the presence of the well-known size bias in ASSET4 ESG data identified by Drempetic et al. (2020) in its successor database, the new Refinitiv ESG database. Following Drempetic et al. (2020) we apply a linear mixed model to explain a company's degree of sustainability by firm size and further control variables. Even though Refinitiv claims to have minimized the size bias in their ESG data, we find that it is still present under the methodology of Refinitiv. Our finding is crucial for e.g. asset owners or asset managers who apply ESG integration and/or best-in-class approaches in portfolio management.

Sponsor
Stiftung Mercator for a project entitled 'Wissenschaftsplattform Sustainable Finance' (Rahmenprogramm Sustainable Finance, grant number 19026202).
Citation
In: Finance Research Letters Volume 55, Part B / (2023-05-19) , S. ; eissn:1544-6131
Collections
@article{doi:10.17170/kobra-2024100110904,
  author    ={Dobrick, Juris and Klein, Christian and Zwergel, Bernhard},
  title    ={Size bias in refinitiv ESG data},
  keywords ={330 and Daten and Bias and Rating and Nachhaltigkeit and Vereinte Nationen. Generalversammlung: Resolution 70/1 (2015)},
  copyright  ={http://creativecommons.org/licenses/by/4.0/},
  language ={en},
  journal  ={Finance Research Letters},
  year   ={2023-05-19}
}