ESG Ratings, ESG News Sentiment, and Firm Credit Risk Perception
研究了ESG评级变化和每日ESG新闻情绪对企业信用风险的影响，发现评级下调（尤其是社会维度）和负面新闻会显著推高信用违约互换利差，且对信用较差的企业影响更大，但正面情绪、透明信息环境和评级分歧可缓解此效应。
We investigate the impact of Environmental, Social, and Governance (ESG) rating changes and daily ESG news sentiment on firm credit risk. We document a significant increase in credit default swap (CDS) spreads following ESG rating downgrades, especially for the social pillar, while we find a muted reaction to ESG upgrades. A similar asymmetrical effect is documented for ESG news. We further show that the adverse effect of ESG downgrades on the CDS market is stronger for firms with lower creditworthiness, but mitigated in the presence of positive ESG sentiment, a transparent information environment, and higher rating disagreement.