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Do corporate social responsibility ratings affect credit default swap spreads?

机译：企业社会责任评级是否会影响信用违约交换差价？

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摘要

We examine the impact of a corporate social responsibility (CSR) rating announcement on the credit default swap (CDS) spreads of European firms. Our results indicate that a CSR rating upgrade leads to an immediate and significant decrease in CDS spreads of rated firms. In contrast, CSR rating downgrades do not have a significant immediate impact on the CDS market. Additionally, better CSR ratings, in terms of both the overall score and the scores for the three main CSR pillars (economic, environmental, and social), lead to lower CDS spreads. Therefore, we document that the CSR rating is a measure of CSR performance that affects market CDS prices. Our findings are consistent with the risk mitigation view, highlighting the benefits derived from CSR commitment. Consequently, CSR engagement can function as a tool for improving firm's creditworthiness. This result may provide an incentive to pay more attention to CSR in managerial, regulatory, and investment decisions.
机译：我们研究企业社会责任（CSR）评级公告对欧洲公司的信用违约交换（CDS）的影响。我们的结果表明，CSR评级升级导致额定公司的CDS传播立即下降。相比之下，CSR评级降级对CDS市场没有显着的立即影响。此外，更好的CSR评级，就三个主要的CSR支柱（经济，环境和社会）的总成绩和分数而言，导致CDS较低。因此，我们记录了CSR评级是影响市场CDS价格的CSR性能的衡量标准。我们的调查结果与风险缓解视图一致，突出了CSR承诺的益处。因此，CSR参与可以作为改善公司信誉的工具。这一结果可能会提供在管理，监管和投资决策中更加关注CSR的动机。

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