Does ESG performance improve firm creditworthiness?
Does ESG performance improve firm creditworthiness?
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DOI：
10.1016/j.frl.2023.103894
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发表时间：
2023-04
影响因子：
10.4
通讯作者：
Masayasu Kanno
中科院分区：
文献类型：
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作者：
Masayasu Kanno
本研究旨在探讨ESG绩效是否能提升企业的信用度。为此，我们开发了两种逻辑回归方法，有或没有两个阶段的最小二乘法选择有关日本企业的ESG得分的违约风险因素。研究结果表明，ESG绩效在较长的风险期内对公司违约风险的预测贡献更大。值得注意的是，ESG相关活动并不一定有助于降低公司的违约风险。总体而言，本研究为ESG管理公司、贷款人和投资者等相关实体提供了有效的信用风险分析方法。
This study examines whether ESG performance improves a firm’s creditworthiness. To this end, we develop two methodologies for logistic regression with or without two-stage least squares for selecting default risk factors pertaining to Japanese firms given their ESG scores. The results show that ESG performance contributes more to the prediction of a firm’s default risk for longer risk horizons. Notably, ESG-related activities do not necessarily contribute to a firm’s default risk reduction. Overall, this study provides effective credit risk analysis methodologies for related entities, such as ESG management firms, lenders, and investors.