文章基本信息

标题：Are Sustainable Companies More Likely to Default? Evidence from the Dynamics between Credit and ESG Ratings
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作者：Aydin Aslan ; Lars Poppe ; Peter Posch 等
期刊名称：Sustainability
印刷版ISSN：2071-1050
出版年度：2021
卷号：13
期号：15
页码：8568
DOI：10.3390/su13158568
语种：English
出版社：MDPI, Open Access Journal
摘要：We investigate the relationship between environmental, social and governance (ESG) performance and the probability of corporate credit default. By using a sample of 902 publicly-listed firms in the US from 2002 to 2017 and by converting Standard & Poor’s credit ratings into default probabilities from rating transition matrices, we find the probability of corporate credit default to be significantly lower for firms with high ESG performance. Furthermore, by expanding the time window in our regression analysis, we observe that the influence of ESG and its constituents strongly varies over time. We argue that these dynamics may be due to financial and regulatory shocks. In a sector decomposition, we additionally find that the energy sector is most influenced by ESG regarding the probability of corporate credit default. We expect an increasing availability of ESG data in the future to reduce possible survivorship bias and to enhance the comparison between ESG-rated and non-ESG-rated firms.