This paper explores the extent to which the availability of more and better quality ESG information could impact asset prices, ushering the emergence of ‘sustainable financial markets’. The paper first reviews how the production of information contributes to the informativeness of prices on...

We exploit a modification to Sustainalytics' environmental, social, and governance (ESG) rating methodology, which is subsequently adopted by Morningstar, to study whether ESG ratings are salient for stock pricing. We show that the inversion of the rating scale but not new information leads some...