A0578
Title: Measuring the relationship between ESG factors and firm's credit risk in Europe
Authors: Monica Billio - University of Venice (Italy)
Michele Costola - Ca' Foscari University of Venice (Italy) [presenting]
Carmelo Latino - Leibniz Institute for Financial Research SAFE; Ca Foscari University of Venice (Germany)
Loriana Pelizzon - SAFE - Goethe University (Germany)
Abstract: We investigate how ESG factors affect the perceived creditworthiness of firms in the European financial market. We model the CDS spread of a firm by considering the usual drivers that reflect specific firm characteristics. Along with these variables, we consider specific drivers for ESG or a firm's specific policies (i.e, commitment to human rights). Our preliminary findings show that ESG dimensions have an impact on the firms' perceived creditworthiness.
