ESG-ETFs and the constituent firms’ default risk mitigation

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE Finance Research Letters Pub Date : 2025-07-01 Epub Date: 2025-04-21 DOI:10.1016/j.frl.2025.107384

Masayasu Kanno

引用次数: 0

Abstract

This study examines whether ESG performance contributes to default risk mitigation in firms issuing securities that comprise an ESG-ETF. This study estimates logistic regression models for the panel data. The model-free results show that the credit risk had reduced for eight ESG-ETFs, but not for eleven. In contrast, the model analysis results indicate that in 17 of 21 ESG-ETFs, ESG performance most effectively mitigates the deterioration of the creditworthiness of ESG-ETF’s constituent firms. This study provides an effective credit risk analysis methodology for selecting an ESG-ETF that comprises firms with better creditworthiness for investors and regulators.

查看原文

微信好友朋友圈 QQ好友复制链接

本刊更多论文

esg - etf与组成公司的违约风险缓解

本研究探讨了 ESG 业绩是否有助于发行 ESG-ETF 证券的公司降低违约风险。本研究估计了面板数据的逻辑回归模型。无模型分析结果显示，8 个 ESG-ETF 的信用风险降低了，但 11 个 ESG-ETF 的信用风险没有降低。相反，模型分析结果表明，在 21 个 ESG-ETF 中，有 17 个 ESG-ETF 的 ESG 表现能最有效地缓解 ESG-ETF 成分公司信用恶化的情况。本研究为投资者和监管机构选择ESG-ETF提供了有效的信用风险分析方法，使ESG-ETF的成分公司具有更好的信用度。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文去求助

来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance