This paper derives the implications of a time gap between the publication of the disaggregated ESG information and the final ESG scores. We use early ESG raw data to reconstruct the scores of MSCI and build a portfolio long in the stocks which ESG score will be upgraded and short in the stocks which ESG score will be downgraded. We show that because ESG information is material for financial performance, asset managers can trade on this disaggregated ESG information, before it is known to every player on the market and gain from it. Consistent with the idea that ESG scores incorporates fundamentals which are predictive of performance, we find that timing the announcement of ESG scores yields a significant 0.22 % monthly alpha. Additionally, we identify a subsample corresponding to 13.8 % of the active equity funds which use this strategy and confirm that these funds have a tendency to trade stocks prior to changes in ESG scores.
