ESG在信用评级和对金融市场的影响

Q1 Economics, Econometrics and Finance

Financial Markets, Institutions and Instruments Pub Date : 2019-05-20 DOI:10.1111/fmii.12114

Florian Kiesel, Felix Lücke

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引用次数: 34

摘要

本研究考察了信用评级机构在评级报告中对环境、社会和治理(ESG)的考虑。研究了2004年至2015年间3,719份穆迪信用评级报告，并使用潜在狄利克雷分配(LDA)方法分析了ESG考虑因素。我们进一步分析股票收益和信用违约互换(CDS)价差的变化，以检验ESG对价是否会影响资本市场的反应。我们发现，在评级决策中，对ESG的考虑很少，但很现实。在ESG中，公司治理扮演着最重要的角色。此外，研究结果显示，ESG对价是股票收益和信用违约掉期价差的重要决定因素。我们发现，所有ESG标准对股票和债券投资者都很重要。

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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ESG in credit ratings and the impact on financial markets

This study examines environment, social, governance (ESG) consideration in rating reports published by credit rating agencies. 3,719 Moody's credit rating reports between 2004 and 2015 are examined and the ESG consideration is analyzed using a latent dirichlet allocation (LDA) approach. We further analyze the stock returns and credit default swap (CDS) spread changes to check whether ESG consideration has an effect on the capital market reactions. We find a small but present consideration of ESG in rating decisions. Within ESG, corporate governance plays the most important role. Moreover, the results reveal that ESG consideration is a significant determinant in the stock return and CDS spread around the rating announcement. We find that all ESG criteria are important for equity and debt investors.

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来源期刊

Financial Markets, Institutions and Instruments Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

1.80

自引率

0.00%

发文量

期刊介绍： Financial Markets, Institutions and Instruments bridges the gap between the academic and professional finance communities. With contributions from leading academics, as well as practitioners from organizations such as the SEC and the Federal Reserve, the journal is equally relevant to both groups. Each issue is devoted to a single topic, which is examined in depth, and a special fifth issue is published annually highlighting the most significant developments in money and banking, derivative securities, corporate finance, and fixed-income securities.