In this study, we examine the relation between corporate social responsibility (CSR) and corporate credit default risk. We test the impact of CSR strengths and concerns on CDS spreads by dividing samples between the financial crisis period and non-crisis period. We use CDS spreads as a measure of credit default risk, which is most purely reflecting the credit risk of a firm. Our empirical results show that firms are relatively likely to be assessed to have low credit default risk during the non-crisis period. On the other hand, the sizes of effects vary in the financial crisis period. The impact of high CSR strengths on CDS spreads decreases significantly during the financial crisis; however, the impact of high CSR concerns on the CDS spreads is reinforced in the financial crisis period. The results are robust to controlling key firm-specific default characteristics and with considering endogeneity issue.
Keywords: Corporate responsibility, credit default risk, CDS spread, the financial crisis, business ethics
학회소식
[2017년 제 1차] Social Responsibility and Financial Distress Risk
작성자 : 관리자
조회수 : 865
게시일 :
2017-03-02
