{"title":"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","authors":"","doi":"10.1016/j.pacfin.2024.102512","DOIUrl":null,"url":null,"abstract":"<div><p>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.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8000,"publicationDate":"2024-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Public's evaluation of ESG and credit default swap: Evidence from East Asian countries\",\"authors\":\"\",\"doi\":\"10.1016/j.pacfin.2024.102512\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>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.</p></div>\",\"PeriodicalId\":48074,\"journal\":{\"name\":\"Pacific-Basin Finance Journal\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":4.8000,\"publicationDate\":\"2024-08-25\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Pacific-Basin Finance Journal\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0927538X24002646\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Pacific-Basin Finance Journal","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0927538X24002646","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Public's evaluation of ESG and credit default swap: Evidence from East Asian countries
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.
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.