摘要
选取2018年第四季度至2020年第四季度发生违约和信用评级下调的企业债券为样本,利用Logistic模型探究企业ESG表现在债券信用风险预警中的应用,研究发现:(1)ESG表现越好的企业,其债券发生违约或信用评级下调的可能性越低。(2)在预警模型中加入ESG因素能够显著提升模型的敏感性、特异性和预测准确性。(3)利用ESG评级构建的预警指标有助于预测企业债券信用风险。(4)进一步考察ESG的分项指标发现,违约企业在环境表现和公司治理方面存在尤为明显的缺陷。研究结论为发债企业提升自身ESG表现,投资者充分认识ESG评级的“排雷”作用和监管部门将企业ESG表现作为审核发债的重要参考提供了支持证据。
Selecting corporate bonds with defaults and credit rating downgrades from the fourth quarter of 2018 to the fourth quarter of 2020 as samples,the paper uses the Logistic model to explore the application of corporate ESG performance in bond credit risk warning.The study found that,firstly,the better the ESG performance of the enterprise,the lower the likelihood of its bond default or credit rating downgrade.Secondly,adding ESG factors to the early warning model can significantly improve the sensitivity,specificity and prediction accuracy of the model.Thirdly,early warning indicators constructed using ESG ratings is helpful to predict the credit risk of corporate bonds.Fourthly,further examination of the ESG sub-indicators reveals that defaulting enterprises have particularly obvious deficiencies in environmental performance and corporate governance.The research conclusion provides supporting evidence for bond issuers to improve their own ESG performance,investors to fully understand the“demining”role of ESG ratings,and regulators to take enterprise ESG performance as an important reference to audit bond issuance.
作者
张琳
潘佳英
Zhang Lin;Pan Jiaying(School of Economics,Beijing Technology and Business University,Beijing 100048,China;Beijing Branch,China Construction Bank,Beijing 100026,China)
出处
《金融理论探索》
2021年第4期51-65,共15页
Exploration of Financial Theory
基金
北京市社会科学基金青年项目“京津冀绿色金融协同发展的经济效应和提升机制研究”(18YJC027)。
关键词
ESG表现
企业债券
信用风险
预警
ESG performance
corporate bonds
credit risk
early warning
