| Abstract [eng] |
This research examines whether the significance of environmental, social, and governance (ESG) events helps account for shifts in credit ratings and rating actions, like upgrades and downgrades, for the automotive companies Ford and Volkswagen. A quarterly panel dataset is used, gathering rating histories and actions from the main agencies, ESG event records from agency news, and publications, as well as Bloomberg financial data, including leverage, profitability and liquidity. In addition, the dataset also incorporates time lags and dummy variables. The analysis contrasts different models, such as an ordered model for rating levels and binary logit models for the likelihood of upgrades and downgrades. Given that most ESG events identified are negative, the central argument is that heightened attention to ESG issues likely corresponds with an increased risk of downgrade, while upgrades depend primarily on financial improvements. In conclusion, the results demonstrate the additional value ESG information provides beyond traditional financial indicators and emphasize potential distinctions between issuers and agencies and also offers evidence on how ESG risk is integrated into the credit rating process. |
