政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/152465
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113318/144297 (79%)
Visitors : 50951816      Online Users : 944
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/152465


    Title: 考量ESG評級不一致性下ESG評級對信用違約交換利差影響之探討
    A Study of ESG Rating and CDS spread with ESG Rating Uncertainty Consideration
    Authors: 林育瑞
    Lin, Yu-Rui
    Contributors: 楊曉文
    Yang, Sharon
    林育瑞
    Lin, Yu-Rui
    Keywords: ESG評級
    ESG 評級不一致
    信用違約交換
    信用利差
    ESG rating
    ESG rating uncertainty
    Credit Default Swap
    Credit spread
    Date: 2024
    Issue Date: 2024-08-05 12:17:36 (UTC+8)
    Abstract: 近年ESG評級成為永續投資整合流程與風險評估的重要考量因子，然而各機構間存在ESG評級差異之情況成為重要議題，評級不一致性成為未來衡量投資風險之重要考量，本研究使用三家評級機構MSCI明晟（MSCI）、標普（S&P Global）、路孚特（Refinitiv）之ESG評級資料，計算ESG平均評級與評級不一致性，樣本涵蓋2013年至2022年美國市場發行CDS企業，在考量評級不一致性情況下，探討ESG評級對CDS利差之影響。
    本研究首先參考Avramov et al. (2022)於ESG評級不一致性之建構與檢驗方式，並依照Barth et al. (2022)提出之ESG風險緩解效應模型進行實證分析，延伸探討評級不一致性交互作用與間接效果之影響。本研究發現以下三點結論：（一）考量評級不一致性情況下，ESG評級更能捕捉風險緩解效應。（二）評級不一致性居中，且ESG評級表現佳之企業，風險緩解效應顯著。（三）ESG評級透過直接與間接渠道降低風險預期，評級不一致性間接效果渠道使市場風險預期上升。
    本文研究結論顯示，評級不一致性是影響企業風險市場預期的重要因素，考量評級差異對CDS利差的影響，能更有效地衡量市場如何解讀企業ESG評級中隱含風險。本研究發現，評級不一致性居中的企業具備顯著之非線性風險緩解效應，這為ESG評級不一致性議題提供了與現存文獻不同的見解。
    In recent years, ESG ratings have become crucial factors in integrating sustainable investment processes and risk assessments. However, the disagreement in ESG ratings across different agencies present a challenge. Rating uncertainty has become an essential consideration for investment risk evaluations. This study analyzes ESG data from MSCI, S&P Global, and Refinitiv to calculate average ESG ratings and rating uncertainty. The sample includes U.S. market CDS-issuing firms from 2013 to 2022. This study investigates the impact of ESG ratings on CDS spreads with ESG rating uncertainty consideration.
    This research references the construction methods of ESG rating uncertainty by Avramov et al. (2022) and employs the ESG risk mitigation model proposed by Barth et al. (2022) for empirical analysis. It further explores the effects of interaction and indirect effects of rating uncertainty. The study presents three main conclusions: (1) Considering rating uncertainty, average ESG ratings more effectively capture risk mitigation effects. (2) Companies with moderate level of rating uncertainty and high ESG performance exhibit significant risk mitigation effects. (3) ESG ratings reduce risk expectations through direct and indirect channels, whereas the indirect effects of rating uncertainty increase market expectations of credit risk.
    The findings indicate that rating uncertainty is a critical factor influencing market expectations of credit risk. Considering the impact of rating uncertainty on CDS spreads provides a better measure of how the market interprets the risks implied in ESG ratings. This study reveals that companies with a moderate level of rating uncertainty show a significant non-linear effect on risk reduction, providing insights that differ from existing literature on ESG rating uncertainty.
    Reference: Abdul Razak, L., Ibrahim, M. H., & Ng, A. (2023). Environment, social and governance (ESG) performance and CDS spreads: the role of country sustainability. The Journal of Risk Finance, 24(5), 585-613.
    Augustin, P., & Izhakian, Y. (2020). Ambiguity, volatility, and credit risk. The Review of Financial Studies, 33(4), 1618-1672.
    Avramov, D., Cheng, S., Lioui, A., & Tarelli, A. (2022). Sustainable investing with ESG rating uncertainty. Journal of Financial Economics, 145(2), 642-664.
    Bannier, C. E., Bofinger, Y., & Rock, B. (2022). Corporate social responsibility and credit risk. Finance Research Letters, 44, 102052.
    Barth, F., Hübel, B., & Scholz, H. (2022). ESG and corporate credit spreads. The Journal of Risk Finance, 23(2), 169-190.
    Batta, G. (2011). The direct relevance of accounting information for credit default swap pricing. Journal of Business Finance & Accounting, 38(9‐10), 1096-1122.
    Berg, F., Koelbel, J. F., & Rigobon, R. (2022). Aggregate confusion: The divergence of ESG ratings. Review of Finance, 26(6), 1315-1344.
    Caiazza, S., Galloppo, G., & La Rosa, G. (2023). The mitigation role of corporate sustainability: Evidence from the CDS spread. Finance Research Letters, 52, 103561.
    Callen, J. L., Livnat, J., & Segal, D. (2009). The impact of earnings on the pricing of credit default swaps. The Accounting Review, 84(5), 1363-1394.
    Campbell, J. Y., & Taksler, G. B. (2003). Equity volatility and corporate bond yields. The Journal of finance, 58(6), 2321-2350.
    Christensen, D. M., Serafeim, G., & Sikochi, A. (2022). Why is corporate virtue in the eye of the beholder? The case of ESG ratings. The Accounting Review, 97(1), 147-175.
    Culp, C. L., Van der Merwe, A., & Staerkle, B. (2016). Single-name credit default swaps: A review of the empirical academic literature. Johns Hopkins Institute for Applied Economics, AF/No, 11.
    Drempetic, S., Klein, C., & Zwergel, B. (2020). The influence of firm size on the ESG score: Corporate sustainability ratings under review. Journal of Business Ethics, 167(2), 333-360.
    Duffie, D. (1999). Credit swap valuation. Financial Analysts Journal, 55(1), 73-87.
    Ericsson, J., Jacobs, K., & Oviedo, R. (2009). The determinants of credit default swap premia. Journal of financial and quantitative analysis, 44(1), 109-132.
    Galil, K., Shapir, O. M., Amiram, D., & Ben-Zion, U. (2014). The determinants of CDS spreads. Journal of Banking & Finance, 41, 271-282.
    Gao, F., Li, Y., Wang, X., & Zhong, Z. K. (2021). Corporate social responsibility and the term structure of CDS spreads. Journal of International Financial Markets, Institutions and Money, 74, 101406.
    Garcia, A. S., Mendes-Da-Silva, W., & Orsato, R. J. (2017). Sensitive industries produce better ESG performance: Evidence from emerging markets. Journal of cleaner production, 150, 135-147.
    Gibson Brandon, R., Krueger, P., & Schmidt, P. S. (2021). ESG rating disagreement and stock returns. Financial Analysts Journal, 77(4), 104-127.
    Greatrex, C. A. (2009). Credit default swap market determinants. Journal of Fixed Income, 18(3), 18.
    Gregory, R. P. (2024). The influence of firm size on ESG score controlling for ratings agency and industrial sector. Journal of Sustainable Finance & Investment, 14(1), 86-99.
    Hyytinen, A., & Pajarinen, M. (2008). Opacity of young businesses: Evidence from rating disagreements. Journal of Banking & Finance, 32(7), 1234-1241.
    Jang, G.-Y., Kang, H.-G., Lee, J.-Y., & Bae, K. (2020). ESG scores and the credit market. Sustainability, 12(8), 3456.
    Kiesel, F., & Lücke, F. (2019). ESG in credit ratings and the impact on financial markets. Financial Markets, Institutions & Instruments, 28(3), 263-290.
    Lang, M. H., & Lundholm, R. J. (1996). Corporate disclosure policy and analyst behavior. Accounting review, 467-492.
    Lee, J., Naranjo, A., & Velioglu, G. (2018). When do CDS spreads lead? Rating events, private entities, and firm-specific information flows. Journal of Financial Economics, 130(3), 556-578.
    Meier, O., Naccache, P., & Schier, G. (2021). Exploring the curvature of the relationship between HRM–CSR and corporate financial performance. Journal of Business Ethics, 170, 857-873.
    Merton, R. C. (1974). On the pricing of corporate debt: The risk structure of interest rates. The Journal of finance, 29(2), 449-470.
    Naumer, H.-J., & Yurtoglu, B. (2022). It is not only what you say, but how you say it: ESG, corporate news, and the impact on CDS spreads. Global Finance Journal, 52, 100571.
    Norden, L., & Roscovan, V. (2014). The dynamics of credit rating disagreement. Available at SSRN 2176656.
    Oikonomou, I., Brooks, C., & Pavelin, S. (2014). The effects of corporate social performance on the cost of corporate debt and credit ratings. Financial Review, 49(1), 49-75.
    Petersen, M. A. (2008). Estimating standard errors in finance panel data sets: Comparing approaches. The Review of Financial Studies, 22(1), 435-480.
    Stellner, C., Klein, C., & Zwergel, B. (2015). Corporate social responsibility and Eurozone corporate bonds: The moderating role of country sustainability. Journal of Banking & Finance, 59, 538-549.
    Tang, D. Y., & Yan, H. (2007). Liquidity and credit default swap spreads. Available at SSRN 1008325.
    Description: 碩士
    國立政治大學
    金融學系
    111352005
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0111352005
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

    Files in This Item:

    File Description SizeFormat
    200501.pdf2788KbAdobe PDF0View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback