ESG scores and debt costs: Exploring indebtedness, agency costs, and financial system impact
研究发现传统风险指标无法完全捕捉借款人风险，ESG评分与债务成本负相关，且高负债和高代理成本公司受益更多；在银行主导的金融体系中，ESG对降低债务成本的效果更显著。
This paper provides evidence that conventional risk measures (Merton Distance to Default, Altman Z-Score, Z-Score and Volatility) fail to capture all the relevant information to assess borrower risk. Moreover, the paper shows that the additional information contained in ESG scores has a negative relationship with the cost of debt, and this relationship is economically significant. In addition, companies whose sustainability generates major concerns (i.e., the most indebted companies and those with the highest agency costs) benefit the most from ESG performance. Finally, the paper provides evidence that the return on companies' ESG efforts in terms of the cost of debt is higher in countries with bank-based financial systems, where long-term relationships between lenders and borrowers prevail, than in countries with market-based financial systems.