ESG as a Measure of Credit Ratings
The aim of this study was to examine the impact of environmental, social, and governance (ESG) measures on credit ratings given to non-financial institutions by the largest credit rating agencies according to economic sector divisions. The hypotheses were as follows: a strong negative impact on non-...
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| Format: | Article |
| Language: | English |
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MDPI AG
2021-12-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/9/12/226 |
| _version_ | 1797500936416919552 |
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| author | Patrycja Chodnicka-Jaworska |
| author_facet | Patrycja Chodnicka-Jaworska |
| author_sort | Patrycja Chodnicka-Jaworska |
| collection | DOAJ |
| description | The aim of this study was to examine the impact of environmental, social, and governance (ESG) measures on credit ratings given to non-financial institutions by the largest credit rating agencies according to economic sector divisions. The hypotheses were as follows: a strong negative impact on non-financial institutions’ credit rating changes will result from ESG risk changes, and the reaction of credit rating changes will vary in different sectors. Panel event models were used to verify these hypotheses. The study used data from the Thomson Reuters Database for the period 2010–2020. The analysis was based on the literature on credit rating determinants and on papers and reports on COVID-19, ESG factors, and their impact on credit rating changes. Linear decomposition was used for the analysis. To verify these hypotheses, long-term issuer credit ratings presented by Moody’s and Fitch for European companies listed on these stock exchanges have been used. In the analyses, financial and non-financial factors were also considered. The results suggested that, within the last year, the methodology presented by credit rating agencies has changed, and ESG factors are one of the basic measures that are used to verify credit rating changes, especially those related to the pandemic. |
| first_indexed | 2024-03-10T03:11:02Z |
| format | Article |
| id | doaj.art-da399223ab51446e986e2e05bd7f6e99 |
| institution | Directory Open Access Journal |
| issn | 2227-9091 |
| language | English |
| last_indexed | 2024-03-10T03:11:02Z |
| publishDate | 2021-12-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Risks |
| spelling | doaj.art-da399223ab51446e986e2e05bd7f6e992023-11-23T10:26:36ZengMDPI AGRisks2227-90912021-12-0191222610.3390/risks9120226ESG as a Measure of Credit RatingsPatrycja Chodnicka-Jaworska0Faculty of Management, University of Warsaw, 02-678 Warsaw, PolandThe aim of this study was to examine the impact of environmental, social, and governance (ESG) measures on credit ratings given to non-financial institutions by the largest credit rating agencies according to economic sector divisions. The hypotheses were as follows: a strong negative impact on non-financial institutions’ credit rating changes will result from ESG risk changes, and the reaction of credit rating changes will vary in different sectors. Panel event models were used to verify these hypotheses. The study used data from the Thomson Reuters Database for the period 2010–2020. The analysis was based on the literature on credit rating determinants and on papers and reports on COVID-19, ESG factors, and their impact on credit rating changes. Linear decomposition was used for the analysis. To verify these hypotheses, long-term issuer credit ratings presented by Moody’s and Fitch for European companies listed on these stock exchanges have been used. In the analyses, financial and non-financial factors were also considered. The results suggested that, within the last year, the methodology presented by credit rating agencies has changed, and ESG factors are one of the basic measures that are used to verify credit rating changes, especially those related to the pandemic.https://www.mdpi.com/2227-9091/9/12/226default riskESG measuresnon-financial sector |
| spellingShingle | Patrycja Chodnicka-Jaworska ESG as a Measure of Credit Ratings Risks default risk ESG measures non-financial sector |
| title | ESG as a Measure of Credit Ratings |
| title_full | ESG as a Measure of Credit Ratings |
| title_fullStr | ESG as a Measure of Credit Ratings |
| title_full_unstemmed | ESG as a Measure of Credit Ratings |
| title_short | ESG as a Measure of Credit Ratings |
| title_sort | esg as a measure of credit ratings |
| topic | default risk ESG measures non-financial sector |
| url | https://www.mdpi.com/2227-9091/9/12/226 |
| work_keys_str_mv | AT patrycjachodnickajaworska esgasameasureofcreditratings |