This paper analyzes the asset pricing and portfolio implications of an important barrier to sustainable investing: uncertainty about the corporate ESG profile. In equilibrium, the market premium increases and demand for stocks declines under ESG uncertainty. In addition, the CAPM alpha and effective beta both rise with ESG uncertainty and the negative ESG-alpha relation weakens. Employing the standard deviation of ESG ratings from six major providers as a proxy for ESG uncertainty, we provide supporting evidence for the model predictions. Our findings help reconcile the mixed evidence on the cross-sectional ESG-alpha relation and suggest that ESG uncertainty affects the risk-return trade-off, social impact, and economic welfare.

本文分析了可持续投资的一个重要障碍对资产定价和投资组合的影响：企业 ESG 状况的不确定性。在均衡状态下，在 ESG 不确定性下，市场溢价增加，股票需求下降。此外，随着 ESG 不确定性的增加，CAPM alpha 和有效 beta 均上升，负 ESG-alpha 关系减弱。我们使用六家主要供应商的 ESG 评级标准差作为 ESG 不确定性的代表，为模型预测提供支持证据。我们的研究结果有助于协调关于横截面 ESG-alpha 关系的混合证据，并表明 ESG 不确定性会影响风险回报权衡、社会影响和经济福利。