Over the past years, topics ranging from climate change to human rights have seen increasing importance for investment decisions. Hence, investors (asset managers and asset owners) who wanted to incorporate these issues started to assess companies based on how they handle such topics. For this assessment, investors rely on specialized rating agencies that issue ratings along the environmental, social and governance (ESG) dimensions. Such ratings allow them to make investment decisions in favor of sustainability. However, rating agencies base their analysis on subjective assessment of sustainability reports, not provided by every company. Furthermore, due to human labor involved, rating agencies are currently facing the challenge to scale up the coverage in a timely manner. In order to alleviate these challenges and contribute to the overall goal of supporting sustainability, we propose a heterogeneous ensemble model to predict ESG ratings using fundamental data. This model is based on feedforward neural network, CatBoost and XGBoost ensemble members. Given the public availability of fundamental data, the proposed method would allow cost-efficient and scalable creation of initial ESG ratings (also for companies without sustainability reporting). Using our approach we are able to explain 54% of the variation in ratings R2 using fundamental data and outperform prior work in this area.
翻译:过去几年来,从气候变化到人权等各种专题对投资决策的重要性不断提高,因此,投资者(资产管理人和资产所有人)希望将这些问题纳入投资决策,开始根据公司如何处理这些专题来评估公司。对于这一评估,投资者依靠在环境、社会和治理层面发放评级的专门评级机构,这种评级允许他们作出有利于可持续性的投资决定。然而,评级机构的分析基于对可持续性报告的主观评估,而不是由每个公司提供。此外,由于涉及人力,评级机构目前面临着及时扩大覆盖面的挑战。为了缓解这些挑战,并促进支持可持续性的总体目标。为了缓解这些挑战,我们提议了一个使用基本数据预测环境、社会和治理评级的混合共同值模型。这一模型基于向上神经网络、CatBoost和XGBoost共同成员的信息。鉴于基本数据的公开性,拟议方法将允许成本高效和可缩放的初始ESG评级(对于没有可持续性报告的公司也是如此)。我们利用我们的方法,可以解释R2基本数据领域54%的评级变化。