Public's evaluation of ESG and credit default swap: Evidence from East Asian countries

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal Pub Date : 2024-08-25 DOI:10.1016/j.pacfin.2024.102512

Ning Tang , Hao-Wen Chang , Chih-Yung Lin , Chien-Lin Lu

引用次数: 0

Abstract

We investigate whether investors' sentiment on environmental, social, and governance (ESG) factors negatively affects a firm's spread for credit default swaps (CDS) in East Asian countries. We use the Kyoto Protocol as an exogenous shock to public sentiment on ESG and observe that it strengthens the negative influence of that sentiment on CDS spreads. Furthermore, we find consistent results on the discrepancy in CDS spreads between firms and their respective countries, as well as the term structure of the spreads. Our findings demonstrate that the public's perception of ESG can reduce investors' concerns about firms' credit risk.

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公众对环境、社会和公司治理以及信用违约掉期的评价：东亚国家的证据

我们研究了投资者对环境、社会和治理（ESG）因素的情绪是否会对东亚国家企业的信用违约掉期（CDS）利差产生负面影响。我们将《京都议定书》作为公众对 ESG 情绪的外生冲击，并观察到它加强了这种情绪对 CDS 利差的负面影响。此外，我们还发现企业与各自国家之间的 CDS 利差差异以及利差的期限结构具有一致性。我们的研究结果表明，公众对 ESG 的认知可以降低投资者对企业信贷风险的担忧。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Pacific-Basin Finance Journal BUSINESS, FINANCE-

CiteScore

6.80

自引率

6.50%

发文量

157

期刊介绍： The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.