EconPapers    
Economics at your fingertips  
 

Corporate social responsibility and the term structure of CDS spreads

Feng Gao, Yubin Li, Xinjie Wang and Zhong, Zhaodong (Ken)

Journal of International Financial Markets, Institutions and Money, 2021, vol. 74, issue C

Abstract: This paper examines the role of corporate social performance in the CDS market, with a focus on the differential effect conditional on the lengths of time horizons. We find that firm’s strong social performance negatively predicts the slope of CDS term structure, by reducing the long-term credit risk and increasing the short-term credit risk. After controlling for credit ratings in a “path analysis”, we find that the direct effect of social performance remains significant, suggesting that CDS market participants incorporate this information more efficiently than credit rating agencies. Furthermore, the effects of social performance are stronger for firms with speculative-grade ratings, smaller size, or less analyst coverage. Our findings remain robust to alternative proxy for credit term structure based on S&P ratings or to the sample without the 2008 Financial Crisis period.

Keywords: Corporate social responsibility (CSR); Credit default swap (CDS); Term structure (search for similar items in EconPapers)
JEL-codes: G10 G30 G32 M14 M41 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1042443121001232
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001232

DOI: 10.1016/j.intfin.2021.101406

Access Statistics for this article

Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely

More articles in Journal of International Financial Markets, Institutions and Money from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2021-12-18
Handle: RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001232