Journal article
Corporate social responsibility and Eurozone corporate bonds: The moderating role of country sustainability



Publication Details
Authors:
Stellner, C.; Zwergel, B.; Klein, C.
Publisher:
Elsevier
Publication year:
2015
Journal:
Journal of Banking & Finance
Pages range:
538–549
Volume number:
59
ISSN:
0378-4266

Abstract


In this paper, we empirically examine whether superior performance in corporate social responsibility (CSR) results in lower credit risk, measured by credit ratings and zero-volatility spreads (z-spreads). We are especially interested in how the environmental, social, and governance (ESG) related performance of the corresponding countries moderates this relationship. We find only weak evidence that superior corporate social performance (CSP) results in systematically reduced credit risk. However, we do find strong support for our hypothesis that a country’s ESG performance moderates the CSP–credit risk relationship. Superior CSP is regarded as risk-reducing and rewarded with better ratings and lower z-spreads only if it is recognized by the environment. In addition, we find a reduction of corporate bonds’ z-spreads by approx. 9.64 basis points if the CSP of a company mirrors the ESG performance of the country it is located in.



Last updated on 2019-25-07 at 10:29