Earticle

초록

영어

This study analyzes the relationship between Environmental, Social and Governance (ESG) scores and bond returns using the corporate bond data in Korea during the period of 2010 to 2015. We find that ESG scores include valuable information about the downside risk of firms. This effect is particularly salient for the firms with high information asymmetry such as small firms. Interestingly, of the three ESG criteria, only environmental scores show a significant impact on bond returns when interacted with the firm size, suggesting that high environmental scores lower the cost of debt financing for small firms. Finally, ESG is complementary to credit ratings in assessing credit quality as credit ratings cannot explain away ESG effects in predicting future bond returns. This result suggests that credit rating agencies should either integrate ESG scores into their current rating process or produce separate ESG scores which bond investors integrate with the existing credit ratings by themselves.

목차

Abstract
1. Introduction
2. Literature review
3. Data and Method
4. Empirical results
4.1 Sample characteristics
4.2 Impact of ESG on bond pricing
5. Case studies
5.1 The case with the largest owners or government pension funds
5.2 The case with Credit Rating Agencies (CRAs)
6. Discussion of the results
7. Conclusion
References

키워드

저자

• Ga-Young Jang [ Department of finance, Hanyang University Business School, Seongdong-gu 04763, Seoul, Korea ]
• Hyoung-Goo Kang [ Department of finance, Hanyang University Business School, Seongdong-gu 04763, Seoul, Korea ] Corresponding Author
• Ju-Yeong Lee [ Department of finance, Hanyang University Business School ]
• Kyounghun Bae [ Department of finance, Hanyang University Business School ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330