Environmental, Social, Governance scores and the Missing pillar—Why does missing information matter?

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