Benjamin Hübel will be presenting his research “ESG and Corporate Credit Spreads”.
Research abstract
The researchers investigate the implications of environmental, social and governance (ESG) practices of firms for the pricing of credit default swaps (CDS). Their evidence indicates that higher ESG ratings mitigate credit risks of U.S. and European firms from 2007 to 2019. The researchers further analyze this risk mitigation effect and identify two main aspects. First, the risk mitigation effect is U-shaped across ESG quantiles, which is consistent with opposing effects of growing stakeholder influence capacity and diminishing marginal returns on ESG investments. Second, they reveal a mediating indirect volatility channel that substantially amplifies the direct effect of ESG on credit risk. In summary, a one-standard-deviation improvement in ESG ratings is estimated to reduce CDS spreads of low/medium/high ESG firms by approximately 4%/8%/3%.
About the presenter
Benjamin Hübel is a portfolio manager for corporate bonds in the fixed income investment management team at HUK-COBURG Asset Management. He received his PhD in Finance from Friedrich-Alexander University (FAU) Erlangen-Nürnberg. Previously, he studied business administration and economics at Deakin University Melbourne, FAU and California State University San Marcos. He is a member of the CFA Society Germany.
Benjamin’s research focuses on the intersection of sustainability and asset pricing. His recent research explores how equity and credit markets value ESG information, and the resulting consequences for portfolio and risk management.
The webinar will be open to Inquire Europe, Inquire UK and other interested public, making it a uniquely exciting opportunity to share knowledge with a broader (virtual) audience.
Date: 22 June 2021
Time: 16:00 CET
To register: click here
