本研究旨在探討將ESG評級不一致議題納入ESG投資考量的重要性。ESG評級不一致代表評級機構間對同一家公司的永續表現看法不一致，本研究以明晟(MSCI)、標普(S&P)及路孚特(Refinitiv)三家評級機構的ESG分數衡量ESG評級不一致，並以2017年至2022年美國市場資料進行分析。在考量ESG評級不一致後，本研究進行兩個議題的研究，第一探討ESG評級與投資風險的關係，其中衡量之風險類別包括總風險、非系統性風險以及下檔風險。第二延伸Chen and Yang (2021)之ESG動能策略，建立考量ESG評級不一致的動能策略。本研究的發現可歸結為以下三點：(1)當ESG評級不一致程度低時，ESG評級與投資風險有顯著反向關係。(2)ESG分數高的公司ESG評級不一致與投資風險有顯著正向關係。(3)ESG評級不一致動能策略有顯著正報酬。透過三點研究發現，本研究顯現將ESG評級不一致議題納入ESG投資考量的重要性。

This paper investigates the importance of incorporating the issue of ESG rating uncertainty into ESG investment considerations. ESG rating uncertainty refers to the divergence of ratings for the same firm issued by different ESG rating providers. I collect and study ESG ratings from three prominent ESG rating providers for firms in the US market between 2017 and 2022. I use data from MSCI, S&P Global, and Refinitiv. After considering ESG rating uncertainty, I pursue two objectives: First, I study the relationship between ESG rating and investment risk, which includes total risk, idiosyncratic risk, and downside risk. Second, I construct ESG rating uncertainty momentum strategy, following the approach suggested by Chen and Yang (2021). The empirical findings of this study can be concluded in three points. (1) The ESG rating is negatively associated with investment risk among stocks with low ESG rating uncertainty. (2) The investment risk is positively associated with ESG rating uncertainty among stocks with high ESG ratings. (3) The returns to ESG rating uncertainty momentum strategy are significantly positive. The results call for greater attention to incorporate the issue of ESG rating uncertainty into ESG investment considerations.

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