Correlations between ESG ratings

Correlations between ESG ratings at the aggregate rating level (ESG) and at the level of the environmental dimension (E), the social dimension (S), and the governance dimension (G) using the common sample. The results are similar using pairwise common samples based on the full sample. SA, SP, MO, RE, KL, and MS are short for Sustainalytics, S&P Global, Moody’s ESG, Refinitiv, KLD, and MSCI, respectively.