Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/289012 
Year of Publication: 
2020
Citation: 
[Journal:] Journal of Asset Management [ISSN:] 1479-179X [Volume:] 21 [Issue:] 2 [Publisher:] Palgrave Macmillan UK [Place:] London [Year:] 2020 [Pages:] 85-93
Publisher: 
Palgrave Macmillan UK, London
Abstract: 
The European Commission has proposed establishing a framework that redirects capital to sustainable investments in order to foster sustainable economic growth. A key proposal from this framework is the mandatory consideration of environmental criteria for investment decisions. However, in particular for bond investors, there is not much academic guidance on how to integrate sustainability criteria in the investment process. Hence, this study investigates the impact of environmental sustainability on the pricing of credit risk for European corporations. Furthermore, whether or not the credit worthiness of a corporation has a moderating effect on the relationship between the environmental sustainability and the credit risk premium is analyzed. The findings prove that more sustainable companies have lower credit risk premiums if they also have a high credit worthiness.
Subjects: 
Sustainability
Environment
Default risk measurement
CDS spreads
JEL: 
G12
G32
M14
Q51
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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