corporations listed on the S&P500. We aim to shed new light on the risk mitigation effect by disentangling the empirical evidence across economic sectors and the ESG determinants. Results provide strong evidence that ESG scores are negatively associated with firm credit risk once controlling for endogeneity. These conclusions are robust after controlling for restructuring clauses, financial crisis period, and different maturities. Under the Basel framework, financial intermediaries could operate with lower regulatory capital with an active risk management strategy based on CDS trading policy.
Caiazza, S., Galloppo, G., LA ROSA, G. (2023). The mitigation role of corporate sustainability: Evidence from the CDS spread. FINANCE RESEARCH LETTERS, 52, 103561 [10.1016/j.frl.2022.103561].
The mitigation role of corporate sustainability: Evidence from the CDS spread
Stefano Caiazza
;Giuseppe Galloppo;Giovanni La Rosa
2023-01-01
Abstract
corporations listed on the S&P500. We aim to shed new light on the risk mitigation effect by disentangling the empirical evidence across economic sectors and the ESG determinants. Results provide strong evidence that ESG scores are negatively associated with firm credit risk once controlling for endogeneity. These conclusions are robust after controlling for restructuring clauses, financial crisis period, and different maturities. Under the Basel framework, financial intermediaries could operate with lower regulatory capital with an active risk management strategy based on CDS trading policy.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
