Empirically, stocks with a good environmental, social, or governance (ESG) rating tend to earn higher returns than stocks with a low rating. In contrast, the expected returns of high-ESG stocks are primarily lower than those of low-ESG stocks. The difference between realized and expected returns in the ESG domain constitutes a puzzle which we will address in this paper. Applying a return decomposition, we find that the puzzle can be explained by discount rate news. We find that discount rates of high-ESG stocks have fallen relative to low-ESG stocks. However, discount rate news does not reflect changes in risk; rather, discount rate news is systematically related to the demand of investors who have ESG preferences.

根据经验，具有良好环境，社会或治理（ESG）评级的股票往往会获得比具有低评级的股票更高的回报。相反，高ESG股票的预期收益主要低于低ESG股票的预期收益。ESG领域中已实现收益与预期收益之间的差异构成了我们将在本文中解决的难题。应用收益分解，我们发现这个难题可以由贴现率新闻来解释。我们发现，高ESG股票的折价率相对于ESG低股票有所下降。但是，贴现率新闻并不能反映风险的变化。相反，贴现率的新闻系统地与具有ESG偏好的投资者的需求相关。