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Empirical Studies Of Esg Scores With Corporate Credit Spreads (Insights From Popularity-Based Pricing), Eugene Okyere-Yeboah
Empirical Studies Of Esg Scores With Corporate Credit Spreads (Insights From Popularity-Based Pricing), Eugene Okyere-Yeboah
Doctoral Dissertations (DBA)
This study examines various factors or characteristics (risk and non-risk) that determine a firm’s credit risk premium, as measured by its credit default swap (CDS) spread, with a particular focus on the impact of environment, social, and governance (ESG) scores. The framework employed is a general equilibrium asset pricing model which integrates classical and behavioral finance elements, known as popularity-based asset pricing. It treats all attributes or characteristics of an asset as ”factors” to which investors assign a degree of popularity, which changes over time. Non-risk characteristics are classified as ”tastes” or ”disagreements”, Fama French (2007). Firms’ degree of adherence …