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題名 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
作者 林育瑞
Lin, Yu-Rui
貢獻者 楊曉文
Yang, Sharon
林育瑞
Lin, Yu-Rui
關鍵詞 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
日期 2024
上傳時間 5-Aug-2024 12:17:36 (UTC+8)
摘要 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.
參考文獻 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.
描述 碩士
國立政治大學
金融學系
111352005
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111352005
資料類型 thesis
dc.contributor.advisor 楊曉文zh_TW
dc.contributor.advisor Yang, Sharonen_US
dc.contributor.author (Authors) 林育瑞zh_TW
dc.contributor.author (Authors) Lin, Yu-Ruien_US
dc.creator (作者) 林育瑞zh_TW
dc.creator (作者) Lin, Yu-Ruien_US
dc.date (日期) 2024en_US
dc.date.accessioned 5-Aug-2024 12:17:36 (UTC+8)-
dc.date.available 5-Aug-2024 12:17:36 (UTC+8)-
dc.date.issued (上傳時間) 5-Aug-2024 12:17:36 (UTC+8)-
dc.identifier (Other Identifiers) G0111352005en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/152465-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融學系zh_TW
dc.description (描述) 111352005zh_TW
dc.description.abstract (摘要) 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。zh_TW
dc.description.abstract (摘要) 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.en_US
dc.description.tableofcontents 第一章 緒論 7 第一節 研究動機背景 7 第二節 研究目的 8 第三節 研究架構 9 第二章 文獻回顧 10 第一節 評級不一致性 10 一、ESG評級不一致性 10 二、信用評級不一致性 12 第二節 信用風險與ESG評級 12 一、信用違約交換利差決定因素 12 二、ESG評級、信用評級與信用利差議題 14 第三節 文獻小節與研究假說 16 一、ESG信用風險緩解效應 16 二、評級不一致性與ESG評級高低信用風險變化 16 三、ESG評級與不一致性間接效果 17 四、假說小節 18 第三章 研究方法與資料 19 第一節 實證研究方法 19 一、考量ESG評級不一致性之ESG風險緩解效應驗證 19 二、評級不一致性與ESG評級分組方式 20 三、評級不一致性交互作用驗證 20 四、評級不一致性間接影響驗證 21 第二節 研究資料 22 一、CDS清單與利差資料 23 二、ESG評級、評級不一致性 24 三、控制變數 25 第四章 實證結果分析 28 第一節 樣本說明 28 第二節 樣本敘述統計 31 第三節 ESG風險緩解效應 34 第四節 評級不一致性與ESG評級高低 36 第五節 評級不一致性與ESG評級交互作用 39 第六節 評級不一致性間接效果 40 第五章 結論與未來展望 43 第一節 結論 43 第二節 研究限制與未來展望 44 附錄 46 參考文獻 48zh_TW
dc.format.extent 2855776 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111352005en_US
dc.subject (關鍵詞) ESG評級zh_TW
dc.subject (關鍵詞) ESG 評級不一致zh_TW
dc.subject (關鍵詞) 信用違約交換zh_TW
dc.subject (關鍵詞) 信用利差zh_TW
dc.subject (關鍵詞) ESG ratingen_US
dc.subject (關鍵詞) ESG rating uncertaintyen_US
dc.subject (關鍵詞) Credit Default Swapen_US
dc.subject (關鍵詞) Credit spreaden_US
dc.title (題名) 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zh_TW
dc.title (題名) A Study of ESG Rating and CDS spread with ESG Rating Uncertainty Considerationen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 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.zh_TW