A0293
Title: ESG measures: How they can influence the credit ratings
Authors: Patrycja Chodnicka - Jaworska - University of Warsaw (Poland) [presenting]
Abstract: The aim is to examine the impact of the Environmental Social and Governance (ESG) measures on the credit ratings given for non-financial institutions by the two biggest credit rating agencies according to country and economic sector divisions. The hypotheses are as follows: a strong negative impact resulted from ESG risk changes on non-financial institutions credit rating changes. The reaction of the credit rating changes varied in different countries and sectors. Panel event models were used to verify the hypotheses. The study used data from the Thomson Reuters database for the period 2010-2020. The analysis was based on papers and reports on COVID-19, ESG factors and their impact on the credit rating changes, and the literature on credit rating determinants. A linear decomposition has been used for the analysis. To verify the mentioned hypotheses, long term issuer credit ratings presented by S\&P, Moody and Fitch for European companies listed on the stock exchanges have been used. Credit rating changes have been collected from Thomson Reuters Database, S\&P website, and companies webpages. In the analyses, financial and non-financial factors have also been used. The results suggested that during last year, the methodology presented by credit rating agencies has changed, and ESG factors are one of the basic measures that have been used to verify credit rating changes, especially those connected with the pandemic situation.
