  Environmental, Social, and Governance (ESG) scores measure companies'
performance concerning sustainability and societal impact and are organized on
three pillars: Environmental (E), Social (S), and Governance (G). These
complementary non-financial ESG scores should provide information about the ESG
performance and risks of different companies. However, the extent of not yet
published ESG information makes the reliability of ESG scores questionable. To
explicitly denote the not yet published information on ESG category scores, a
new pillar, the so-called Missing (M) pillar, is formulated. Environmental,
Social, Governance, and Missing (ESGM) scores are introduced to consider the
potential release of new information in the future. Furthermore, an
optimization scheme is proposed to compute ESGM scores, linking them to the
companies' riskiness. By relying on the data provided by Refinitiv, we show
that the ESGM scores strengthen the companies' risk relationship. These new
scores could benefit investors and practitioners as ESG exclusion strategies
using only ESG scores might exclude assets with a low score solely because of
their missing information and not necessarily because of a low ESG merit.
