Size bias in refinitiv ESG data

Abstract

We reinvestigate the presence of the well-known size bias in ASSET4 ESG data identified by Drempetic et al. (2020) in its successor database, the new Refinitiv ESG database. Following Drempetic et al. (2020) we apply a linear mixed model to explain a company's degree of sustainability by firm size and further control variables. Even though Refinitiv claims to have minimized the size bias in their ESG data, we find that it is still present under the methodology of Refinitiv. Our finding is crucial for e.g. asset owners or asset managers who apply ESG integration and/or best-in-class approaches in portfolio management.