Which Sustainability Dimensions Affect Credit Risk? Evidence from Corporate and Country-Level Measures
Abstract
:1. Introduction
2. Related Literature and Hypothesis Development
3. Data and Methodology
3.1. Sample Selection
3.2. Variables
3.2.1. Corporate Default Swap (CDS) Spreads
3.2.2. Corporate Social Performance (CSP) Dimensions
3.2.3. Country Sustainability
3.2.4. Control Variables
3.3. Empirical Approach
4. Results
4.1. Preliminary Analysis
4.2. The Effects of Corporate Social Performance (CSP) Dimensions on Credit Risk
4.3. The Effects of Corporate Social Performance (CSP) Dimensions and Country Sustainability on Credit Risk
4.4. Robustness Checks
5. Conclusions
Author Contributions
Funding
Acknowledgments
Conflicts of Interest
References
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Panel A: By Year | n | ||||
2013 | 523 | ||||
2014 | 518 | ||||
2015 | 523 | ||||
2016 | 530 | ||||
Total | 2094 | ||||
Panel B: By Industry | n | ||||
Energy | 147 | ||||
Materials | 257 | ||||
Industrials | 421 | ||||
Consumer Discretionary | 443 | ||||
Consumer Staples | 226 | ||||
Health Care | 122 | ||||
Information Technology | 157 | ||||
Telecommunication Services | 82 | ||||
Utilities | 156 | ||||
Real Estate | 83 | ||||
Total | 2094 | ||||
Panel C: By Country | n | Country | n | Country | n |
United States | 956 | Spain | 25 | Austria | 5 |
Japan | 411 | Finland | 23 | Belgium | 4 |
France | 130 | Malaysia | 20 | Israel | 4 |
United Kingdom | 124 | Italy | 18 | New Zealand | 4 |
Germany | 85 | Brazil | 16 | Norway | 4 |
Australia | 54 | China | 14 | Portugal | 4 |
South Korea | 43 | Denmark | 9 | Russia | 4 |
Hong Kong | 42 | Mexico | 9 | Thailand | 4 |
Sweden | 35 | Greece | 8 | Philippines | 1 |
Netherlands | 30 | Singapore | 8 | ||
Total | 2094 |
Firm-Level Variables | N | Mean | SD | Minimum | Median | Maximum |
---|---|---|---|---|---|---|
CDS | 2094 | 4.43 | 0.79 | 3.02 | 4.32 | 6.80 |
DTD | 2094 | 6.16 | 2.96 | 0.40 | 5.82 | 14.50 |
Size | 2094 | 9.57 | 1.22 | 6.74 | 9.54 | 12.31 |
TD/TA | 2094 | 0.30 | 0.14 | 0.03 | 0.28 | 0.70 |
ST/LT | 2094 | 0.07 | 0.12 | 0.00 | 0.00 | 0.61 |
MV/BV | 2094 | 3.40 | 6.26 | −12.18 | 2.06 | 48.46 |
Margin | 2094 | 12.44 | 9.96 | −10.89 | 10.53 | 54.14 |
CA/CL | 2094 | 1.45 | 0.74 | 0.35 | 1.29 | 4.71 |
CASH/TA | 2094 | 0.09 | 0.05 | −0.04 | 0.08 | 0.25 |
STKVOL | 2094 | 0.28 | 0.10 | 0.13 | 0.26 | 0.65 |
Climate | 2050 | 7.15 | 2.54 | 0.00 | 7.65 | 10.00 |
Resource | 1954 | 5.46 | 2.51 | 0.00 | 5.20 | 10.00 |
WasteMgt | 1937 | 5.93 | 2.45 | 0.00 | 5.98 | 10.00 |
EnvOpps | 926 | 5.40 | 1.66 | 0.08 | 5.49 | 9.77 |
HumanCap | 2075 | 4.69 | 1.98 | 0.00 | 4.73 | 10.00 |
ProdSafe | 1127 | 4.00 | 2.18 | 0.00 | 3.85 | 10.00 |
SocialOpps | 316 | 5.35 | 1.66 | 0.70 | 5.40 | 9.50 |
Stakehldr | 33 | 5.67 | 2.16 | 0.80 | 5.80 | 9.60 |
CorpGov | 2091 | 6.24 | 2.41 | 0.00 | 6.25 | 10.00 |
BusEthics | 753 | 4.43 | 1.79 | 0.00 | 4.38 | 9.90 |
Country-Level Variables | ||||||
YPC | 2094 | 10.71 | 0.31 | 9.15 | 10.82 | 10.94 |
2094 | 1.90 | 0.97 | -1.13 | 1.74 | 5.11 | |
MKTVOL | 2094 | 0.02 | 0.01 | 0.01 | 0.02 | 0.05 |
Sovereign | 2094 | 3.22 | 0.58 | 2.16 | 3.09 | 5.37 |
C_ESG | 2094 | 55.41 | 2.78 | 40.94 | 55.84 | 63.63 |
C_ENV | 2094 | 43.78 | 8.63 | 15.84 | 41.00 | 58.14 |
C_SOC | 2094 | 52.37 | 3.77 | 38.09 | 50.82 | 65.05 |
C_GOV | 2094 | 73.94 | 5.94 | 35.25 | 74.34 | 86.79 |
(1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) | (9) | (10) | (11) | (12) | (13) | (14) | (15) | (16) | (17) | (18) | ||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
(1) | CDS | 1 | |||||||||||||||||
(2) | DTD | −0.429 | 1 | ||||||||||||||||
(3) | SIZE | −0.491 | 0.479 | 1 | |||||||||||||||
(4) | TD/TA | 0.237 | −0.125 | −0.144 | 1 | ||||||||||||||
(5) | ST/LT | −0.155 | −0.038 | −0.018 | −0.129 | 1 | |||||||||||||
(6) | MV/BV | −0.093 | 0.217 | 0.162 | 0.104 | −0.061 | 1 | ||||||||||||
(7) | Margin | −0.116 | 0.382 | 0.301 | 0.079 | −0.146 | 0.118 | 1 | |||||||||||
(8) | CA/CL | 0.008 | 0.110 | −0.081 | −0.247 | 0.006 | −0.038 | 0.051 | 1 | ||||||||||
(9) | CASH/TA | −0.203 | 0.416 | 0.296 | −0.021 | −0.103 | 0.289 | 0.288 | 0.060 | 1 | |||||||||
(10) | STKVOL | 0.433 | −0.681 | −0.459 | 0.107 | 0.103 | −0.140 | −0.355 | 0.083 | −0.285 | 1 | ||||||||
(11) | YPC | −0.215 | 0.110 | 0.046 | −0.007 | −0.019 | 0.088 | −0.089 | −0.040 | 0.059 | −0.078 | 1 | |||||||
(12) | ΔY | 0.155 | 0.195 | 0.046 | 0.020 | −0.147 | 0.119 | 0.147 | 0.042 | 0.148 | −0.131 | −0.166 | 1 | ||||||
(13) | STKVOL | −0.126 | −0.184 | −0.110 | 0.001 | 0.144 | −0.100 | −0.135 | 0.027 | −0.150 | 0.215 | −0.024 | −0.440 | 1 | |||||
(14) | Sovereign | 0.158 | −0.152 | −0.074 | −0.005 | 0.052 | −0.105 | 0.090 | 0.035 | −0.069 | 0.056 | −0.700 | −0.102 | 0.353 | 1 | ||||
(15) | C_ESG | −0.262 | 0.012 | −0.032 | 0.019 | 0.094 | 0.025 | −0.190 | 0.024 | 0.053 | 0.015 | 0.566 | −0.014 | 0.147 | −0.503 | 1 | |||
(16) | C_ENV | 0.057 | 0.272 | 0.110 | 0.179 | −0.217 | 0.169 | 0.038 | 0.061 | 0.270 | −0.096 | 0.333 | 0.178 | −0.132 | −0.346 | 0.368 | 1 | ||
(17) | C_SOC | −0.194 | −0.240 | −0.018 | −0.039 | 0.138 | −0.067 | −0.200 | −0.091 | −0.047 | 0.103 | −0.014 | −0.136 | 0.030 | −0.152 | 0.525 | −0.205 | 1 | |
(18) | C_GOV | −0.221 | 0.052 | −0.022 | −0.085 | 0.053 | 0.053 | −0.054 | −0.036 | 0.014 | −0.111 | 0.671 | −0.013 | −0.098 | −0.527 | 0.534 | −0.130 | 0.234 | 1 |
(1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) | (9) | |
---|---|---|---|---|---|---|---|---|---|
CDSit−1 | 0.7343 *** | 0.7378 *** | 0.7545 *** | 0.6137 *** | 0.7503 *** | 0.6858 *** | 0.8746 *** | 0.7414 *** | 0.7038 *** |
(0.054) | (0.058) | (0.054) | (0.066) | (0.053) | (0.063) | (0.071) | (0.053) | (0.066) | |
Dimension | −0.0099 *** | −0.0095 *** | −0.0007 | −0.0080 | −0.0140 *** | −0.0020 | −0.0142 | −0.0102 *** | −0.0111 |
(0.003) | (0.004) | (0.003) | (0.009) | (0.004) | (0.005) | (0.012) | (0.004) | (0.007) | |
DTD | −0.0063 | −0.0074 | −0.0058 | −0.0067 | −0.0064 | −0.0007 | 0.0054 | −0.0070 | −0.0065 |
(0.004) | (0.004) | (0.004) | (0.009) | (0.004) | (0.006) | (0.007) | (0.004) | (0.007) | |
SIZE | −0.0560 *** | −0.0549 *** | −0.0590 *** | −0.0932 *** | −0.0595 *** | −0.0802 *** | −0.0238 | −0.0601 *** | −0.0587 *** |
(0.012) | (0.013) | (0.012) | (0.018) | (0.012) | (0.018) | (0.022) | (0.012) | (0.016) | |
TD/TA | 0.2062 *** | 0.1759 ** | 0.2023 *** | 0.2775 ** | 0.1975 *** | 0.3009 *** | 0.2090 | 0.1940 ** | 0.1945 * |
(0.079) | (0.080) | (0.077) | (0.130) | (0.075) | (0.113) | (0.148) | (0.077) | (0.113) | |
ST/LT | −0.1336 | −0.1399 | −0.1242 | −0.0449 | −0.0956 | −0.2166 * | −0.1564 | −0.1297 | −0.1741 |
(0.085) | (0.085) | (0.083) | (0.124) | (0.079) | (0.125) | (0.187) | (0.084) | (0.128) | |
MV/BV | −0.0014 | −0.0016 | −0.0016 | 0.0028 | −0.0016 | −0.0012 | −0.0007 | −0.0016 * | −0.0039 ** |
(0.001) | (0.001) | (0.001) | (0.002) | (0.001) | (0.001) | (0.002) | (0.001) | (0.002) | |
Margin | 0.0019 ** | 0.0018 ** | 0.0016 ** | 0.0035 ** | 0.0016 ** | −0.0007 | 0.0005 | 0.0018 ** | 0.0048 *** |
(0.001) | (0.001) | (0.001) | (0.002) | (0.001) | (0.001) | (0.003) | (0.001) | (0.001) | |
CA/CL | 0.0199 ** | 0.0113 | 0.0200 ** | 0.0310 ** | 0.0197 ** | −0.0001 | −0.0101 | 0.0157 | 0.0004 |
(0.010) | (0.010) | (0.010) | (0.015) | (0.009) | (0.015) | (0.028) | (0.010) | (0.018) | |
CASH/TA | 0.2647 | 0.4228 ** | 0.4476 ** | −0.1913 | 0.3956 ** | −0.1390 | −0.4536 | 0.3429 * | 0.2986 |
(0.188) | (0.187) | (0.181) | (0.303) | (0.180) | (0.273) | (0.381) | (0.182) | (0.297) | |
STKVOL | 0.5275 *** | 0.5324 *** | 0.4804 *** | 0.5752 ** | 0.4853 *** | 0.7309 *** | 0.4527 | 0.5156 *** | 0.8847 *** |
(0.179) | (0.192) | (0.173) | (0.284) | (0.175) | (0.218) | (0.404) | (0.178) | (0.249) | |
YPC | −0.0562 * | −0.0504 | −0.0659 * | −0.1937 *** | −0.0351 | −0.0108 | 0.0364 | −0.0512 * | −0.0374 |
(0.032) | (0.037) | (0.039) | (0.070) | (0.029) | (0.060) | (0.078) | (0.030) | (0.046) | |
ΔY | 0.0226 *** | 0.0180 ** | 0.0234 *** | 0.0449 *** | 0.0232 *** | 0.0269 ** | −0.0198 | 0.0277 *** | 0.0351 *** |
(0.008) | (0.008) | (0.008) | (0.014) | (0.008) | (0.013) | (0.022) | (0.008) | (0.012) | |
MKTVOL | −10.8673 *** | −11.1249 *** | −11.0446 *** | −12.3092 *** | −10.4142 *** | −13.4127 *** | −7.8630 ** | −10.4184 *** | −8.5336 *** |
(1.821) | (2.093) | (1.953) | (2.331) | (1.796) | (2.045) | (3.380) | (1.803) | (1.919) | |
Sovereign | 0.0231 | 0.0205 | 0.0190 | 0.0308 | 0.0232 | 0.0771 *** | 0.0797 ** | 0.0219 | 0.0102 |
(0.020) | (0.021) | (0.020) | (0.035) | (0.019) | (0.028) | (0.040) | (0.019) | (0.025) | |
Year | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Constant | 2.2429 *** | 2.1687 *** | 2.2376 *** | 4.4784 *** | 1.9650 *** | 2.0377 ** | 0.2137 | 2.1963 *** | 2.0080 *** |
(0.546) | (0.601) | (0.625) | (0.987) | (0.506) | (0.920) | (1.042) | (0.535) | (0.759) | |
# of Observations | 2050 | 1954 | 1937 | 926 | 2075 | 1127 | 316 | 2091 | 753 |
# of Firms | 582 | 557 | 548 | 266 | 589 | 349 | 98 | 591 | 223 |
# of Instruments | 27 | 27 | 27 | 27 | 27 | 27 | 27 | 27 | 27 |
Hansen Test | 0.1158 | 0.3209 | 0.3192 | 0.0835 | 0.2971 | 0.4585 | 0.4712 | 0.3043 | 0.0878 |
AR (1) | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
AR (2) | 0.4981 | 0.4067 | 0.8176 | 0.2521 | 0.2926 | 0.5421 | 0.6142 | 0.3460 | 0.4690 |
(1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) | (9) | |
---|---|---|---|---|---|---|---|---|---|
CDSit−1 | 0.7330 *** | 0.7359 *** | 0.7515 *** | 0.6105 *** | 0.7458 *** | 0.6676 *** | 0.8762 *** | 0.7330 *** | 0.7411 *** |
(0.056) | (0.060) | (0.058) | (0.063) | (0.055) | (0.061) | (0.069) | (0.055) | (0.058) | |
C_ESG | −0.0365 *** | −0.0166 ** | −0.0214 ** | −0.0435 ** | −0.0214 *** | −0.0238 ** | 0.0253 | −0.0310 *** | −0.0304 *** |
(0.010) | (0.008) | (0.010) | (0.018) | (0.008) | (0.011) | (0.018) | (0.010) | (0.010) | |
Dimension | −0.1685 *** | −0.0253 | −0.0713 | −0.1692 | −0.0994 * | −0.0545 | 0.1381 | −0.1483 ** | −0.2010 * |
(0.058) | (0.058) | (0.064) | (0.135) | (0.055) | (0.094) | (0.146) | (0.060) | (0.103) | |
Interaction | 0.0029 *** | 0.0003 | 0.0013 | 0.0030 | 0.0016 | 0.0009 | −0.0027 | 0.0025 ** | 0.0035 * |
(0.001) | (0.001) | (0.001) | (0.002) | (0.001) | (0.002) | (0.003) | (0.001) | (0.002) | |
DTD | −0.0086 * | −0.0095 * | −0.0077 | −0.0058 | −0.0081 * | −0.0038 | 0.0067 | −0.0090 * | −0.0045 |
(0.005) | (0.005) | (0.005) | (0.008) | (0.005) | (0.006) | (0.007) | (0.005) | (0.006) | |
Size | −0.0568 *** | −0.0560 *** | −0.0600 *** | −0.0966 *** | −0.0602 *** | −0.0855 *** | −0.0219 | −0.0625 *** | −0.0553 *** |
(0.012) | (0.013) | (0.013) | (0.018) | (0.013) | (0.018) | (0.022) | (0.013) | (0.015) | |
TD/TA | 0.2197 *** | 0.1936 ** | 0.2132 ** | 0.3322 ** | 0.2169 *** | 0.3385 *** | 0.2272 | 0.2113 *** | 0.2328 ** |
(0.083) | (0.085) | (0.083) | (0.135) | (0.079) | (0.117) | (0.149) | (0.081) | (0.117) | |
ST/LT | −0.0934 | −0.1096 | −0.0973 | 0.0317 | −0.0665 | −0.1913 | −0.1689 | −0.0832 | −0.0835 |
(0.079) | (0.079) | (0.079) | (0.112) | (0.074) | (0.121) | (0.190) | (0.077) | (0.111) | |
MV/BV | −0.0015 | −0.0018 | −0.0017 | 0.0030 | −0.0017 * | −0.0012 | −0.0006 | −0.0017 * | −0.0033 * |
(0.001) | (0.001) | (0.001) | (0.002) | (0.001) | (0.001) | (0.002) | (0.001) | (0.002) | |
Margin | 0.0016 * | 0.0014 * | 0.0013 | 0.0015 | 0.0011 | −0.0012 | −0.0001 | 0.0014 * | 0.0036 *** |
(0.001) | (0.001) | (0.001) | (0.001) | (0.001) | (0.001) | (0.003) | (0.001) | (0.001) | |
CA/CL | 0.0216 ** | 0.0156 | 0.0218 ** | 0.0291 ** | 0.0225 ** | 0.0035 | −0.0093 | 0.0186 ** | 0.0024 |
(0.009) | (0.009) | (0.009) | (0.014) | (0.009) | (0.014) | (0.027) | (0.009) | (0.016) | |
CASH/TA | 0.3234 * | 0.5065 *** | 0.5167 *** | 0.0556 | 0.4883 *** | −0.0357 | −0.4643 | 0.3966 ** | 0.5265 * |
(0.185) | (0.182) | (0.177) | (0.287) | (0.176) | (0.267) | (0.397) | (0.180) | (0.286) | |
STKVOL | 0.4774 *** | 0.5073 *** | 0.4674 *** | 0.5951 ** | 0.4680 *** | 0.7451 *** | 0.4564 | 0.5101 *** | 0.7515 *** |
(0.175) | (0.189) | (0.174) | (0.268) | (0.174) | (0.221) | (0.393) | (0.177) | (0.239) | |
YPC | 0.0119 | 0.0002 | −0.0069 | −0.0813 | 0.0111 | 0.0501 | 0.0250 | 0.0056 | 0.0321 |
(0.035) | (0.040) | (0.043) | (0.076) | (0.031) | (0.060) | (0.078) | (0.032) | (0.042) | |
ΔY | 0.0286 *** | 0.0258 *** | 0.0297 *** | 0.0495 *** | 0.0293 *** | 0.0358 ** | −0.0277 | 0.0343 *** | 0.0368 *** |
(0.009) | (0.009) | (0.009) | (0.014) | (0.009) | (0.015) | (0.021) | (0.009) | (0.013) | |
MKTVOL | −9.5820 *** | −9.3960 *** | −9.4418 *** | −10.0426 *** | −9.1626 *** | −11.5012 *** | −9.4207 *** | −9.4259 *** | −7.1737 *** |
(1.572) | (1.747) | (1.695) | (2.184) | (1.540) | (1.928) | (3.297) | (1.621) | (1.880) | |
Sovereign | 0.0009 | −0.0066 | −0.0053 | −0.0279 | −0.0034 | 0.0322 | 0.0969 ** | −0.0042 | −0.0218 |
(0.019) | (0.019) | (0.019) | (0.032) | (0.018) | (0.032) | (0.045) | (0.018) | (0.025) | |
Year Effects | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Constant | 3.6038 *** | 2.6026 *** | 2.8554 *** | 5.8183 *** | 2.7273 *** | 2.9257 *** | −1.1193 | 3.4241 *** | 2.7919 *** |
(0.795) | (0.720) | (0.801) | (1.307) | (0.695) | (1.123) | (1.668) | (0.818) | (0.955) | |
# of Observations | 2050 | 1954 | 1937 | 926 | 2075 | 1127 | 316 | 2091 | 753 |
# of Firms | 582 | 557 | 548 | 266 | 589 | 349 | 98 | 591 | 223 |
# of Instruments | 29 | 29 | 29 | 29 | 29 | 29 | 29 | 29 | 29 |
Hansen Test | 0.0806 | 0.2625 | 0.2175 | 0.0705 | 0.2593 | 0.6357 | 0.4667 | 0.2800 | 0.0360 |
AR (1) | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
AR (2) | 0.4258 | 0.3591 | 0.8952 | 0.3436 | 0.2498 | 0.4381 | 0.6120 | 0.3013 | 0.4381 |
(1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) | (9) | |
---|---|---|---|---|---|---|---|---|---|
CDSit−1 | 0.7224 *** | 0.7250 *** | 0.7318 *** | 0.6124 *** | 0.7359 *** | 0.6635 *** | 0.8594 *** | 0.7389 *** | 0.7151 *** |
(0.056) | (0.059) | (0.056) | (0.071) | (0.055) | (0.062) | (0.077) | (0.052) | (0.062) | |
C_ENV | 0.0094 *** | 0.0097 *** | 0.0097 *** | 0.0026 | |||||
(0.003) | (0.003) | (0.003) | (0.005) | ||||||
C_SOC | −0.0154 *** | −0.0139 * | −0.0216 | ||||||
(0.005) | (0.007) | (0.021) | |||||||
C_GOV | −0.0114 *** | −0.0127 ** | |||||||
(0.004) | (0.005) | ||||||||
Dimension | 0.0164 | 0.0343 * | 0.0327 ** | −0.0150 | −0.0186 | 0.0464 | −0.1941 | −0.0768 ** | −0.1316 * |
(0.018) | (0.019) | (0.016) | (0.041) | (0.041) | (0.064) | (0.169) | (0.033) | (0.074) | |
Interaction | −0.0005 | −0.0009 ** | −0.0007 * | 0.0002 | 0.0002 | −0.0009 | 0.0033 | 0.0009 ** | 0.0016 |
(0.000) | (0.000) | (0.000) | (0.001) | (0.001) | (0.001) | (0.003) | (0.000) | (0.001) | |
DTD | −0.0117 ** | −0.0120 ** | −0.0109 ** | −0.0116 | −0.0146 *** | −0.0094 | 0.0034 | −0.0087 * | −0.0054 |
(0.005) | (0.005) | (0.005) | (0.011) | (0.005) | (0.006) | (0.007) | (0.005) | (0.006) | |
Size | −0.0611 *** | −0.0575 *** | −0.0632 *** | −0.0907 *** | −0.0577 *** | −0.0805 *** | −0.0308 | −0.0636 *** | −0.0643 *** |
(0.012) | (0.013) | (0.012) | (0.018) | (0.012) | (0.017) | (0.025) | (0.012) | (0.016) | |
TD/TA | 0.1538 ** | 0.1345 * | 0.1602 ** | 0.2049 | 0.1914 *** | 0.3166 *** | 0.1720 | 0.1720 ** | 0.1849 |
(0.074) | (0.075) | (0.073) | (0.125) | (0.074) | (0.111) | (0.151) | (0.073) | (0.112) | |
ST/LT | −0.0827 | −0.0967 | −0.0857 | −0.0147 | −0.0596 | −0.1695 | −0.1666 | −0.0885 | −0.1311 |
(0.082) | (0.080) | (0.080) | (0.127) | (0.076) | (0.118) | (0.200) | (0.079) | (0.122) | |
MV/BV | −0.0014 | −0.0017 | −0.0017 | 0.0021 | −0.0017 * | −0.0013 | −0.0006 | −0.0016 * | −0.0034 * |
(0.001) | (0.001) | (0.001) | (0.002) | (0.001) | (0.001) | (0.002) | (0.001) | (0.002) | |
Margin | 0.0023 *** | 0.0022 *** | 0.0019 ** | 0.0043 *** | 0.0012 | −0.0014 | 0.0019 | 0.0019 ** | 0.0051 *** |
(0.001) | (0.001) | (0.001) | (0.002) | (0.001) | (0.001) | (0.003) | (0.001) | (0.001) | |
CA/CL | 0.0157 | 0.0086 | 0.0159 | 0.0335 ** | 0.0163 * | −0.0061 | −0.0193 | 0.0156 | −0.0016 |
(0.010) | (0.011) | (0.010) | (0.016) | (0.009) | (0.015) | (0.032) | (0.010) | (0.017) | |
CASH/TA | 0.1160 | 0.3081 | 0.2587 | −0.3635 | 0.4930 *** | 0.0347 | −0.5638 | 0.3027 | 0.2541 |
(0.201) | (0.196) | (0.197) | (0.335) | (0.176) | (0.256) | (0.458) | (0.184) | (0.290) | |
STKVOL | 0.4689 *** | 0.4991 *** | 0.4812 *** | 0.5644 * | 0.4323 ** | 0.6959 *** | 0.4554 | 0.4729 *** | 0.8470 *** |
(0.174) | (0.187) | (0.173) | (0.289) | (0.171) | (0.216) | (0.409) | (0.169) | (0.239) | |
YPC | −0.0971 *** | −0.0957 *** | −0.1168 *** | −0.2267 *** | −0.1030 *** | −0.1043 | 0.0209 | 0.0297 | 0.0826 |
(0.031) | (0.035) | (0.037) | (0.075) | (0.033) | (0.064) | (0.080) | (0.036) | (0.051) | |
ΔY | 0.0177 ** | 0.0162 ** | 0.0194 ** | 0.0413 *** | 0.0169 ** | 0.0160 | −0.0199 | 0.0314 *** | 0.0357 *** |
(0.008) | (0.008) | (0.008) | (0.015) | (0.008) | (0.014) | (0.022) | (0.008) | (0.012) | |
MKTVOL | −10.8221 *** | −11.4893 *** | −11.6094 *** | −12.5057 *** | −9.9901 *** | −12.8498 *** | −8.0197 ** | −10.8015 *** | −9.8122 *** |
(1.799) | (2.117) | (1.976) | (2.355) | (1.745) | (1.982) | (3.450) | (1.880) | (2.074) | |
Sovereign | 0.0328 | 0.0287 | 0.0315 | 0.0443 | −0.0192 | 0.0142 | 0.0857 * | 0.0142 | 0.0096 |
(0.021) | (0.022) | (0.022) | (0.037) | (0.019) | (0.031) | (0.047) | (0.018) | (0.025) | |
Year Effects | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Constant | 2.3949 *** | 2.3395 *** | 2.5175 *** | 4.7127 *** | 3.7316 *** | 4.1352 *** | 1.6888 | 2.2646 *** | 1.7090 ** |
(0.553) | (0.607) | (0.623) | (1.051) | (0.811) | (1.283) | (1.960) | (0.522) | (0.731) | |
# of Observations | 2050 | 1954 | 1937 | 926 | 2075 | 1127 | 316 | 2091 | 753 |
# of Firms | 582 | 557 | 548 | 266 | 589 | 349 | 98 | 591 | 223 |
# of Instruments | 29 | 29 | 29 | 29 | 29 | 29 | 29 | 29 | 29 |
Hansen Test | 0.1092 | 0.3834 | 0.4409 | 0.0492 | 0.2482 | 0.6428 | 0.4554 | 0.3411 | 0.0949 |
AR (1) | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
AR (2) | 0.5133 | 0.4213 | 0.8282 | 0.2419 | 0.2048 | 0.4070 | 0.7006 | 0.3301 | 0.5004 |
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Abdul Razak, L.; Ibrahim, M.H.; Ng, A. Which Sustainability Dimensions Affect Credit Risk? Evidence from Corporate and Country-Level Measures. J. Risk Financial Manag. 2020, 13, 316. https://doi.org/10.3390/jrfm13120316
Abdul Razak L, Ibrahim MH, Ng A. Which Sustainability Dimensions Affect Credit Risk? Evidence from Corporate and Country-Level Measures. Journal of Risk and Financial Management. 2020; 13(12):316. https://doi.org/10.3390/jrfm13120316
Chicago/Turabian StyleAbdul Razak, Lutfi, Mansor H. Ibrahim, and Adam Ng. 2020. "Which Sustainability Dimensions Affect Credit Risk? Evidence from Corporate and Country-Level Measures" Journal of Risk and Financial Management 13, no. 12: 316. https://doi.org/10.3390/jrfm13120316
APA StyleAbdul Razak, L., Ibrahim, M. H., & Ng, A. (2020). Which Sustainability Dimensions Affect Credit Risk? Evidence from Corporate and Country-Level Measures. Journal of Risk and Financial Management, 13(12), 316. https://doi.org/10.3390/jrfm13120316