NDLI: Environmental, Social and Governance (ESG) Performance and Sovereign Bond Spreads: An Empirical Analysis of OECD Countries

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Environmental, Social and Governance (ESG) Performance and Sovereign Bond Spreads: An Empirical Analysis of OECD Countries

Content Provider	Scilit
Author	Capelle-Blancard, Gunther Crifo, Patricia Diaye, Marcc Arthur Scholtens, Bert Oueghlissi, Rim
Copyright Year	2016
Description	Journal: SSRN Electronic Journal What are the determinants of borrowing cost in international capital markets? Apart from macroeconomic fundamentals, are there any qualitative factors that might capture sovereign bond spreads? In this paper we consider to what extent Environmental, social and governance (ESG) performance can affect sovereign bond spreads. First, countries with good ESG performance tend to have less default risk and thus lower bond spreads. Moreover, the economic impact is stronger in the long-run, suggesting that ESG performance is a long-lasting phenomenon. Second, we examine the financial impact of separate ESG dimensions, and find that the environmental dimension appears to have no financial impact whereas governance weighs more than social factors. Third, we examine cross-countries differences and show that ESG performance has a more significant and stronger impact in the Eurozone than elsewhere in OECD countries. Fourth, we include evidence from the global financial crisis and find stronger influence of country sustainability performance during crisis period.
Related Links	http://economix.fr/pdf/dt/2017/WP_EcoX_2017-07.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=2874262
ISSN	10914358
e-ISSN	15565068
DOI	10.2139/ssrn.2874262
Journal	SSRN Electronic Journal
Language	English
Publisher	Elsevier BV
Publisher Date	2016-11-22
Access Restriction	Open
Subject Keyword	Journal: SSRN Electronic Journal Bond Spreads Sovereign Bond Esg Performance
Content Type	Text
Resource Type	Article
Subject	Public Health, Environmental and Occupational Health Psychiatry and Mental Health

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