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題名 ESG因子對於企業債務風險的影響
The Impact of ESG Factors on Corporate Debt Risk作者 陳揚捷
Chen, Yang-Jie貢獻者 李志宏
Lee, Jie-Haun
陳揚捷
Chen, Yang-Jie關鍵詞 ESG
債務風險
債務成本
信用評級
ESG
Debt risk
Debt cost
Credit rating日期 2023 上傳時間 2-Aug-2023 12:57:39 (UTC+8) 摘要 ESG代表企業在環境、社會、治理層面的各種作為，近年來ESG相關風險的重要度逐漸提高，議題關注度隨之提升，過去企業進行ESG投資可能會拖累財務績效，而不受投資人親睞，但在另一方面，企業亦可能享受到這些投資的效益，降低企業風險的同時還可能有收益，如提早投資減碳的公司便可以避免碳費的成本，甚至享受到出售碳權的收入。ESG相關範疇的投資可以增強未來企業在面臨相關風險的能力。而當企業風險降低，資金成本也會降低，本研究主要探討議題即為企業ESG的表現是否能夠降低債務面的風險以及成本。為了研究此一議題，本研究使用2011年至2017年於紐約證交所（NYSE）、那斯達克交易所（NASDAQ）以及美國交易所（AMEX）上市的企業做為樣本，並以路孚特（Refinitiv）ESG評分作為企業ESG表現的衡量依據，再以標普全球評級（S&P Global Rating）做為企業長期之信用品質，觀察ESG表現與信用評級降級之間的關係。實證結果顯示ESG表現好的公司的確能夠顯著降低信用評級被降級的機率，代表能夠降低債務風險，且本研究進一步發現ESG因子也可以降低債務成本。唯每提高一分之ESG評分，降低之信用評級被降級的機率不超過0.25%，並且降低之債務成本也不超過0.0085%；若是財務體質較好的公司，降低之債務成本可提高至0.02%，但影響仍相當有限。
ESG represents the various actions taken by companies in the areas of environment, social, and governance. In recent years, the importance of ESG-related risks has been gradually increasing, leading to an increased focus on these issues. In the past, companies engaging in ESG investments may have suffered from a drag on financial performance and lack of investor’s favor. However, in the other hand, companies may enjoy the benefits of these investments. For example, companies that invest early in carbon reduction can avoid the costs of carbon fees and even generate income from selling carbon credits. Investing in ESG-related areas can enhance a company`s ability to face related risks in the future. When a company`s risk decreases, its cost of capital also decreases. This study mainly explores whether a company`s ESG performance can reduce debt-related risks and costs.To investigate this issue, this study uses a sample of companies listed on the New York Stock Exchange (NYSE), Nasdaq, and American Stock Exchange (AMEX) from 2011 to 2017. Refinitiv`s ESG ratings are used as a measure of corporate ESG performance, and S&P credit ratings are used to assess long-term credit quality. The relationship between ESG performance and credit rating downgrades is observed. The empirical results show that companies with good ESG performance can truly reduce the probability of credit rating downgrades, indicating a reduction in debt risk. Furthermore, this study finds that ESG factors can also lower debt costs. Each one-point increase in ESG score leads to a decrease in the probability of credit rating downgrades by no more than 0.25%, and a decrease in debt costs by no more than 0.0085%. However, it should be noted that for companies with stronger financial profiles, the reduction in debt costs may be enhanced to 0.02%; nonetheless, the overall impact remains relatively modest.參考文獻 Altman, E.I., “Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy,” Journal of Finance 23 (1968), pp. 589–609.Alp, Aysun. "Structural shifts in credit rating standards." The Journal of Finance 68.6 (2013): 2435-2470.Aupperle, K. E., Carroll, A. B., & Hatfield, J. D. (1985). An empirical examination of the relationship between corporate social responsibility and profitability. Academy of management Journal, 28(2), 446-463.Attig, N., El Ghoul, S., Guedhami, O., & Suh, J. (2013). Corporate social responsibility and credit ratings. Journal of business ethics, 117, 679-694.Amato, J. D., & Furfine, C. H. (2004). Are credit ratings procyclical?. Journal of Banking & Finance, 28(11), 2641-2677.Altman, E. I., Iwanicz‐Drozdowska, M., Laitinen, E. K., & Suvas, A. (2017). Financial distress prediction in an international context: A review and empirical analysis of Altman`s Z‐score model. Journal of International Financial Management & Accounting, 28(2), 131-171.Bhagat, S., & Bolton, B. (2008). Corporate governance and firm performance. Journal of corporate finance, 14(3), 257-273.Brammer, S., Brooks, C., & Pavelin, S. (2006). Corporate social performance and stock returns: UK evidence from disaggregate measures. Financial management, 35(3), 97-116.Becker, B., & Gerhart, B. (1996). The impact of human resource management on organizational performance: Progress and prospects. Academy of management journal, 39(4), 779-801.Brav, A., Graham, J. R., Harvey, C. R., & Michaely, R. (2005). Payout policy in the 21st century. Journal of financial economics, 77(3), 483-527.Berg, F., Koelbel, J. F., & Rigobon, R. (2022). Aggregate confusion: The divergence of ESG ratings. Review of Finance, 26(6), 1315-1344.Barth, F., Hübel, B., & Scholz, H. (2022). ESG and corporate credit spreads. The Journal of Risk Finance.Cuñat, V., Gine, M., & Guadalupe, M. (2012). The vote is cast: The effect of corporate governance on shareholder value. The journal of finance, 67(5), 1943-1977.Dyck, A., Lins, K. V., Roth, L., & Wagner, H. F. (2019). Do institutional investors drive corporate social responsibility? International evidence. Journal of financial economics, 131(3), 693-714.Eliwa, Y., Aboud, A., & Saleh, A. (2021). ESG practices and the cost of debt: Evidence from EU countries. Critical Perspectives on Accounting, 79, 102097.El Ghoul, S., Guedhami, O., Kwok, C. C., & Mishra, D. R. (2011). Does corporate social responsibility affect the cost of capital?. Journal of banking & finance, 35(9), 2388-2406.Flammer, C. (2021). Corporate green bonds. Journal of financial economics, 142(2), 499-516.Faulkender, Michael, & Mitchell A. Petersen, 2006, Does the source of capital affect capital structure? Review of Financial Studies 19, 45– 79.Graham, J. R. (2000). How big are the tax benefits of debt?. The journal of finance, 55(5), 1901-1941.Gibson Brandon, R., Krueger, P., & Schmidt, P. S. (2021). ESG rating disagreement and stock returns. Financial Analysts Journal, 77(4), 104-127.James, G., Witten, D., Hastie, T., & Tibshirani, R. (2013). An introduction to statistical learning (Vol. 112, p. 18). New York: springer.Kurshev, Alexander, & Ilya A. Strebulaev, (2006), Firm size and capital structure, Working paper, Stanford GSB.Karpf, A., & Mandel, A. (2017). Does it pay to be green?. Available at SSRN 2923484.KIM, T., & KIM, I. (2020). The Influence of Credit Scores on Dividend Policy: Evidence from the Korean Market. The Journal of Asian Finance, Economics and Business, 7(2), 33–42Kim, Y., Li, H., & Li, S. (2014). Corporate social responsibility and stock price crash risk. Journal of Banking & Finance, 43, 1-13.Kiesel, F., & Lücke, F. (2019). ESG in credit ratings and the impact on financial markets. Financial Markets, Institutions & Instruments, 28(3), 263-290.Khan, M., Serafeim, G., & Yoon, A. (2016). Corporate sustainability: First evidence on materiality. The accounting review, 91(6), 1697-1724.Lee, K. H., Min, B., & Yook, K. H. (2015). The impacts of carbon (CO2) emissions and environmental research and development (R&D) investment on firm performance. International Journal of Production Economics, 167, 1-11.Myers, S. C. (1977). Determinants of corporate borrowing. Journal of financial economics, 5(2), 147-175.Menard, S. (2002). Applied logistic regression analysis (No. 106). Sage.Margolis, J. D., & Walsh, J. P. (2003). Misery loves companies: Rethinking social initiatives by business. Administrative science quarterly, 48(2), 268-305.Ng, A. C., & Rezaee, Z. (2015). Business sustainability performance and cost of equity capital. Journal of Corporate Finance, 34, 128-149.Ohlson, J. A. (1980). Financial ratios and the probabilistic prediction of bankruptcy. Journal of accounting research, 109-131.Orlitzky Marc, Frank L Schmidt, Sara L Rynes, (2003). Corporate social and financial performance: A meta-analysis. Organization studies, 24(3), 403-441Pedersen, L. H., Fitzgibbons, S., & Pomorski, L. (2021). Responsible investing: The ESG-efficient frontier. Journal of Financial Economics, 142(2), 572-597.Pástor, Ľ., Stambaugh, R. F., & Taylor, L. A. (2022). Dissecting green returns. Journal of Financial Economics, 146(2), 403-424.Raimo, N., Caragnano, A., Zito, M., Vitolla, F., & Mariani, M. (2021). Extending the benefits of ESG disclosure: The effect on the cost of debt financing. Corporate Social Responsibility and Environmental Management, 28(4), 1412-1421.Ramstein, C., Dominioni, G., Ettehad, S., Lam, L., Quant, M., Zhang, J., ... & Trim, I. (2019). State and trends of carbon pricing 2019. The World Bank.Saeidi, S. P., Sofian, S., Saeidi, P., Saeidi, S. P., & Saaeidi, S. A. (2015). How does corporate social responsibility contribute to firm financial performance? The mediating role of competitive advantage, reputation, and customer satisfaction. Journal of business research, 68(2), 341-350.Trinks, A., Mulder, M., & Scholtens, B. (2020). An efficiency perspective on carbon emissions and financial performance. Ecological Economics, 175, 106632.Van Binsbergen, J. H., Graham, J. R., & Yang, J. (2010). The cost of debt. The Journal of Finance, 65(6), 2089-2136.Wang, Y., & Zhi, Q. (2016). The role of green finance in environmental protection: Two aspects of market mechanism and policies. Energy Procedia, 104, 311-316. 描述 碩士
國立政治大學
財務管理學系
110357006資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110357006 資料類型 thesis dc.contributor.advisor 李志宏 zh_TW dc.contributor.advisor Lee, Jie-Haun en_US dc.contributor.author (Authors) 陳揚捷 zh_TW dc.contributor.author (Authors) Chen, Yang-Jie en_US dc.creator (作者) 陳揚捷 zh_TW dc.creator (作者) Chen, Yang-Jie en_US dc.date (日期) 2023 en_US dc.date.accessioned 2-Aug-2023 12:57:39 (UTC+8) - dc.date.available 2-Aug-2023 12:57:39 (UTC+8) - dc.date.issued (上傳時間) 2-Aug-2023 12:57:39 (UTC+8) - dc.identifier (Other Identifiers) G0110357006 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/146278 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 110357006 zh_TW dc.description.abstract (摘要) ESG代表企業在環境、社會、治理層面的各種作為，近年來ESG相關風險的重要度逐漸提高，議題關注度隨之提升，過去企業進行ESG投資可能會拖累財務績效，而不受投資人親睞，但在另一方面，企業亦可能享受到這些投資的效益，降低企業風險的同時還可能有收益，如提早投資減碳的公司便可以避免碳費的成本，甚至享受到出售碳權的收入。ESG相關範疇的投資可以增強未來企業在面臨相關風險的能力。而當企業風險降低，資金成本也會降低，本研究主要探討議題即為企業ESG的表現是否能夠降低債務面的風險以及成本。為了研究此一議題，本研究使用2011年至2017年於紐約證交所（NYSE）、那斯達克交易所（NASDAQ）以及美國交易所（AMEX）上市的企業做為樣本，並以路孚特（Refinitiv）ESG評分作為企業ESG表現的衡量依據，再以標普全球評級（S&P Global Rating）做為企業長期之信用品質，觀察ESG表現與信用評級降級之間的關係。實證結果顯示ESG表現好的公司的確能夠顯著降低信用評級被降級的機率，代表能夠降低債務風險，且本研究進一步發現ESG因子也可以降低債務成本。唯每提高一分之ESG評分，降低之信用評級被降級的機率不超過0.25%，並且降低之債務成本也不超過0.0085%；若是財務體質較好的公司，降低之債務成本可提高至0.02%，但影響仍相當有限。 zh_TW dc.description.abstract (摘要) ESG represents the various actions taken by companies in the areas of environment, social, and governance. In recent years, the importance of ESG-related risks has been gradually increasing, leading to an increased focus on these issues. In the past, companies engaging in ESG investments may have suffered from a drag on financial performance and lack of investor’s favor. However, in the other hand, companies may enjoy the benefits of these investments. For example, companies that invest early in carbon reduction can avoid the costs of carbon fees and even generate income from selling carbon credits. Investing in ESG-related areas can enhance a company`s ability to face related risks in the future. When a company`s risk decreases, its cost of capital also decreases. This study mainly explores whether a company`s ESG performance can reduce debt-related risks and costs.To investigate this issue, this study uses a sample of companies listed on the New York Stock Exchange (NYSE), Nasdaq, and American Stock Exchange (AMEX) from 2011 to 2017. Refinitiv`s ESG ratings are used as a measure of corporate ESG performance, and S&P credit ratings are used to assess long-term credit quality. The relationship between ESG performance and credit rating downgrades is observed. The empirical results show that companies with good ESG performance can truly reduce the probability of credit rating downgrades, indicating a reduction in debt risk. Furthermore, this study finds that ESG factors can also lower debt costs. Each one-point increase in ESG score leads to a decrease in the probability of credit rating downgrades by no more than 0.25%, and a decrease in debt costs by no more than 0.0085%. However, it should be noted that for companies with stronger financial profiles, the reduction in debt costs may be enhanced to 0.02%; nonetheless, the overall impact remains relatively modest. en_US dc.description.tableofcontents 第一章 緒論：第1頁第二章 文獻回顧與假設建立 5第一節ESG表現對於企業債務風險的影響：第5頁第二節 企業違約機率與債務成本衡量：第8頁第三章樣本選擇與研究方法 12第一節 樣本與數據來源：第12頁第二節 變量構建：第12頁第三節 多元迴歸模型構建：第18頁第四章 實證結果 21第一節 敘述性統計：第21頁第二節 ESG表現對於企業違約風險的影響：第29頁第三節 ESG表現可以降低多少債務成本：第35頁第四節 穩健性測試：第40頁第五章 結論 49第一節 研究結論：第49頁第二節 研究限制與建議：第50頁參考文獻 ：第52頁附錄：第58頁 zh_TW dc.format.extent 2662017 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110357006 en_US dc.subject (關鍵詞) ESG zh_TW dc.subject (關鍵詞) 債務風險 zh_TW dc.subject (關鍵詞) 債務成本 zh_TW dc.subject (關鍵詞) 信用評級 zh_TW dc.subject (關鍵詞) ESG en_US dc.subject (關鍵詞) Debt risk en_US dc.subject (關鍵詞) Debt cost en_US dc.subject (關鍵詞) Credit rating en_US dc.title (題名) ESG因子對於企業債務風險的影響 zh_TW dc.title (題名) The Impact of ESG Factors on Corporate Debt Risk en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Altman, E.I., “Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy,” Journal of Finance 23 (1968), pp. 589–609.Alp, Aysun. "Structural shifts in credit rating standards." The Journal of Finance 68.6 (2013): 2435-2470.Aupperle, K. E., Carroll, A. B., & Hatfield, J. D. (1985). An empirical examination of the relationship between corporate social responsibility and profitability. Academy of management Journal, 28(2), 446-463.Attig, N., El Ghoul, S., Guedhami, O., & Suh, J. (2013). Corporate social responsibility and credit ratings. Journal of business ethics, 117, 679-694.Amato, J. D., & Furfine, C. H. (2004). Are credit ratings procyclical?. Journal of Banking & Finance, 28(11), 2641-2677.Altman, E. I., Iwanicz‐Drozdowska, M., Laitinen, E. K., & Suvas, A. (2017). Financial distress prediction in an international context: A review and empirical analysis of Altman`s Z‐score model. Journal of International Financial Management & Accounting, 28(2), 131-171.Bhagat, S., & Bolton, B. (2008). Corporate governance and firm performance. Journal of corporate finance, 14(3), 257-273.Brammer, S., Brooks, C., & Pavelin, S. (2006). Corporate social performance and stock returns: UK evidence from disaggregate measures. Financial management, 35(3), 97-116.Becker, B., & Gerhart, B. (1996). The impact of human resource management on organizational performance: Progress and prospects. Academy of management journal, 39(4), 779-801.Brav, A., Graham, J. R., Harvey, C. R., & Michaely, R. (2005). Payout policy in the 21st century. Journal of financial economics, 77(3), 483-527.Berg, F., Koelbel, J. F., & Rigobon, R. (2022). Aggregate confusion: The divergence of ESG ratings. Review of Finance, 26(6), 1315-1344.Barth, F., Hübel, B., & Scholz, H. (2022). ESG and corporate credit spreads. The Journal of Risk Finance.Cuñat, V., Gine, M., & Guadalupe, M. (2012). The vote is cast: The effect of corporate governance on shareholder value. The journal of finance, 67(5), 1943-1977.Dyck, A., Lins, K. V., Roth, L., & Wagner, H. F. (2019). Do institutional investors drive corporate social responsibility? International evidence. Journal of financial economics, 131(3), 693-714.Eliwa, Y., Aboud, A., & Saleh, A. (2021). ESG practices and the cost of debt: Evidence from EU countries. Critical Perspectives on Accounting, 79, 102097.El Ghoul, S., Guedhami, O., Kwok, C. C., & Mishra, D. R. (2011). Does corporate social responsibility affect the cost of capital?. Journal of banking & finance, 35(9), 2388-2406.Flammer, C. (2021). Corporate green bonds. Journal of financial economics, 142(2), 499-516.Faulkender, Michael, & Mitchell A. Petersen, 2006, Does the source of capital affect capital structure? Review of Financial Studies 19, 45– 79.Graham, J. R. (2000). How big are the tax benefits of debt?. The journal of finance, 55(5), 1901-1941.Gibson Brandon, R., Krueger, P., & Schmidt, P. S. (2021). ESG rating disagreement and stock returns. Financial Analysts Journal, 77(4), 104-127.James, G., Witten, D., Hastie, T., & Tibshirani, R. (2013). An introduction to statistical learning (Vol. 112, p. 18). New York: springer.Kurshev, Alexander, & Ilya A. Strebulaev, (2006), Firm size and capital structure, Working paper, Stanford GSB.Karpf, A., & Mandel, A. (2017). Does it pay to be green?. Available at SSRN 2923484.KIM, T., & KIM, I. (2020). The Influence of Credit Scores on Dividend Policy: Evidence from the Korean Market. The Journal of Asian Finance, Economics and Business, 7(2), 33–42Kim, Y., Li, H., & Li, S. (2014). Corporate social responsibility and stock price crash risk. Journal of Banking & Finance, 43, 1-13.Kiesel, F., & Lücke, F. (2019). ESG in credit ratings and the impact on financial markets. Financial Markets, Institutions & Instruments, 28(3), 263-290.Khan, M., Serafeim, G., & Yoon, A. (2016). Corporate sustainability: First evidence on materiality. The accounting review, 91(6), 1697-1724.Lee, K. H., Min, B., & Yook, K. H. (2015). The impacts of carbon (CO2) emissions and environmental research and development (R&D) investment on firm performance. International Journal of Production Economics, 167, 1-11.Myers, S. C. (1977). Determinants of corporate borrowing. Journal of financial economics, 5(2), 147-175.Menard, S. (2002). Applied logistic regression analysis (No. 106). Sage.Margolis, J. D., & Walsh, J. P. (2003). Misery loves companies: Rethinking social initiatives by business. Administrative science quarterly, 48(2), 268-305.Ng, A. C., & Rezaee, Z. (2015). Business sustainability performance and cost of equity capital. Journal of Corporate Finance, 34, 128-149.Ohlson, J. A. (1980). Financial ratios and the probabilistic prediction of bankruptcy. Journal of accounting research, 109-131.Orlitzky Marc, Frank L Schmidt, Sara L Rynes, (2003). Corporate social and financial performance: A meta-analysis. Organization studies, 24(3), 403-441Pedersen, L. H., Fitzgibbons, S., & Pomorski, L. (2021). Responsible investing: The ESG-efficient frontier. Journal of Financial Economics, 142(2), 572-597.Pástor, Ľ., Stambaugh, R. F., & Taylor, L. A. (2022). Dissecting green returns. Journal of Financial Economics, 146(2), 403-424.Raimo, N., Caragnano, A., Zito, M., Vitolla, F., & Mariani, M. (2021). Extending the benefits of ESG disclosure: The effect on the cost of debt financing. Corporate Social Responsibility and Environmental Management, 28(4), 1412-1421.Ramstein, C., Dominioni, G., Ettehad, S., Lam, L., Quant, M., Zhang, J., ... & Trim, I. (2019). State and trends of carbon pricing 2019. The World Bank.Saeidi, S. P., Sofian, S., Saeidi, P., Saeidi, S. P., & Saaeidi, S. A. (2015). How does corporate social responsibility contribute to firm financial performance? The mediating role of competitive advantage, reputation, and customer satisfaction. Journal of business research, 68(2), 341-350.Trinks, A., Mulder, M., & Scholtens, B. (2020). An efficiency perspective on carbon emissions and financial performance. Ecological Economics, 175, 106632.Van Binsbergen, J. H., Graham, J. R., & Yang, J. (2010). The cost of debt. The Journal of Finance, 65(6), 2089-2136.Wang, Y., & Zhi, Q. (2016). The role of green finance in environmental protection: Two aspects of market mechanism and policies. Energy Procedia, 104, 311-316. zh_TW
