The effect of environmental sustainability on credit risk

Artikel

The European Commission has proposed establishing a framework that redirects capital to sustainable investments in order to foster sustainable economic growth. A key proposal from this framework is the mandatory consideration of environmental criteria for investment decisions. However, in particular for bond investors, there is not much academic guidance on how to integrate sustainability criteria in the investment process. Hence, this study investigates the impact of environmental sustainability on the pricing of credit risk for European corporations. Furthermore, whether or not the credit worthiness of a corporation has a moderating effect on the relationship between the environmental sustainability and the credit risk premium is analyzed. The findings prove that more sustainable companies have lower credit risk premiums if they also have a high credit worthiness.

Objekt anzeigen

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Journal of Asset Management ; ISSN: 1479-179X ; Volume: 21 ; Year: 2020 ; Issue: 2 ; Pages: 85-93 ; London: Palgrave Macmillan UK

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Asset Pricing; Trading Volume; Bond Interest Rates ; Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill ; Corporate Culture; Diversity; Social Responsibility ; Valuation of Environmental Effects
• Thema: Sustainability ; Environment ; Default risk measurement ; CDS spreads

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Höck, André ; Klein, Christian ; Landau, Alexander ; Zwergel, Bernhard
• Ereignis: Veröffentlichung
• (wer): Palgrave Macmillan UK
• (wo): London
• (wann): 2020

Weitere Informationen

• DOI: doi:10.1057/s41260-020-00155-4