Estimating the effects of ESG scores on corporate credit ratings using multivariate ordinal logit regression

2021 ◽  
Author(s):  
Luca Zanin
Keyword(s):  
Credit Ratings ◽  
Logit Regression ◽  
Corporate Credit

Comparing the learning effectiveness of BP, ELM, I-ELM, and SVM for corporate credit ratings

2014 ◽  
Vol 128 ◽  
pp. 285-295 ◽  
Author(s):  
Haoming Zhong ◽  
Chunyan Miao ◽  
Zhiqi Shen ◽  
Yuhong Feng
Keyword(s):  
Credit Ratings ◽  
Learning Effectiveness ◽  
Corporate Credit

The Regulatory Role of Credit Ratings and Voluntary Disclosure

2021 ◽  
Author(s):  
Riddha Basu ◽  
James P. Naughton ◽  
Clare Wang
Keyword(s):  
Voluntary Disclosure ◽  
Credit Rating ◽  
Credit Ratings ◽  
Regulatory Role ◽  
Rating Agencies ◽  
Corporate Credit ◽  
Quasi Experimental ◽  
Rating Changes ◽  
Corporate Credit Rating

We find that corporate credit rating changes have an effect on firms' voluntary disclosure behavior that is independent of the information they convey about firm fundamentals. Our analyses exploit two separate quasi-experimental settings that generate either exogenous credit rating downgrades or credit rating upgrades (i.e., credit rating label changes). We find evidence of a negative relation between the direction of the credit rating label change and the provision of voluntary disclosure in both settings-firms respond to exogenous downgrades by increasing voluntary disclosure and to exogenous upgrades by decreasing voluntary disclosure. The effects we document are attributable to the regulatory role rather than the information role of credit ratings. Overall, our analyses indicate that credit rating agencies as gatekeepers influence firms' provision of voluntary disclosure.

scholarly journals Are Sustainable Companies More Likely to Default? Evidence from the Dynamics between Credit and ESG Ratings

2021 ◽  
Vol 13 (15) ◽  
pp. 8568
Author(s):  
Aydin Aslan ◽  
Lars Poppe ◽  
Peter Posch
Keyword(s):  
Time Window ◽  
Credit Ratings ◽  
Transition Matrices ◽  
Listed Firms ◽  
Corporate Credit ◽  
Credit Default ◽  
The Us ◽  
Survivorship Bias ◽  
The Relationship ◽  
Over Time

We investigate the relationship between environmental, social and governance (ESG) performance and the probability of corporate credit default. By using a sample of 902 publicly-listed firms in the US from 2002 to 2017 and by converting Standard & Poor’s credit ratings into default probabilities from rating transition matrices, we find the probability of corporate credit default to be significantly lower for firms with high ESG performance. Furthermore, by expanding the time window in our regression analysis, we observe that the influence of ESG and its constituents strongly varies over time. We argue that these dynamics may be due to financial and regulatory shocks. In a sector decomposition, we additionally find that the energy sector is most influenced by ESG regarding the probability of corporate credit default. We expect an increasing availability of ESG data in the future to reduce possible survivorship bias and to enhance the comparison between ESG-rated and non-ESG-rated firms.

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