It is not only what you say, but how you say it: ESG, corporate news, and the impact on CDS spreads

Hans-Jörg Naumer and Burcin Yurtoglu

Global Finance Journal, 2022, vol. 52, issue C

Abstract: We assess the influence of corporate news on costs of financing for a sample of large European and U.S. firms from 2006 to 2016. Focusing on environmental, social, and governance (ESG) news items, we take into account volume (number of news items), tonality (positive, neutral, negative), and source (financial or mass media). We find that (1) the volume of ESG-related news is significantly associated with credit default swap (CDS) spreads and therefore matters for companies' refinancing costs; (2) news with positive (negative) tonality is associated with lower (higher) CDS spreads by about 4% (6%); (3) tonality matters even more for ESG-related news. These results hold for different subsamples and alternate specifications, and are relatively insensitive to omitted variables.

Keywords: Media; News; ESG; CSR; CDS spreads (search for similar items in EconPapers)
JEL-codes: G12 G30 G34 K29 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:52:y:2022:i:c:s1044028320302714

DOI: 10.1016/j.gfj.2020.100571

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