Environmental, Social, and Governance (ESG) scores measure companies' performance concerning sustainability and are organized in three pillars: Environmental, Social, and Governance. These complementary non-financial ESG scores should provide information about companies' ESG performance and risks. However, the extent of not yet published ESG information makes the reliability of ESG scores questionable. To explicitly capture the not yet published information on ESG category scores, a new pillar, the so-called Missing (M) pillar, is proposed and added to the new definition of the Environmental, Social, Governance, and Missing (ESGM) scores. By relying on the data provided by Refinitiv, we show that the ESGM scores strengthen the companies' risk relationship. These new scores could benefit investors and practitioners as ESG exclusion strategies using only ESG scores might exclude assets with a low score solely because of their missing information and not necessarily because of a low ESG merit.

中文翻译：

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环境、社会、治理分数和缺失的支柱——为什么缺失的信息很重要？

环境、社会和治理 (ESG) 分数衡量公司在可持续性方面的表现，分为三个支柱：环境、社会和治理。这些互补的非财务 ESG 评分应提供有关公司 ESG 表现和风险的信息。然而，尚未公布的 ESG 信息的范围使 ESG 评分的可靠性受到质疑。为了明确获取尚未公布的 ESG 类别评分信息，提出了一个新的支柱，即所谓的缺失 (M) 支柱，并将其添加到环境、社会、治理和缺失 (ESGM) 评分的新定义中。通过依赖 Refinitiv 提供的数据，我们表明 ESGM 分数加强了公司的风险关系。