It is Not Only What You Say, But How You Say It: ESG, Corporate News, and the Impact on CDS Spreads

28 Pages Posted: 27 Jan 2020

See all articles by Hans-Jörg Naumer

Hans-Jörg Naumer

WHU - Otto Beisheim School of Management

B. Burcin Yurtoglu

WHU - Otto Beisheim School of Management

Date Written: December 2, 2019

Abstract

We analyze a unique source of media data to assess the influence of different topics of corporate news on costs of financing for a sample of large European and US firms from 2006 to 2016. We distinguish between volume (number of news), tonality (positive, neutral, negative), source (financial and mass media) and focus on ESG and report the following results: (1) the volume of ESG related news is significantly associated with CDS spreads and therefore matters for companies’ refinancing costs; (2) news with positive (negative) tonality is associated with lower (higher) CDS spreads in the order of 5% (8%); (3) the tonality of ESG related news is even more pronounced leading to higher differences in CDS spreads. These results are robust in different subsamples, alternate specifications, and also in sensitivity tests to omitted variables. Overall, these results confirm the saying that it is not only what (ESG or Non-ESG) you (the media) say, but how (tonality) you say it.

Keywords: Media, news, ESG, CSR, CDS spreads

JEL Classification: G12, G30, G34, K29

Suggested Citation

Naumer, Hans-Jörg and Yurtoglu, B. Burcin, It is Not Only What You Say, But How You Say It: ESG, Corporate News, and the Impact on CDS Spreads (December 2, 2019). Available at SSRN: https://ssrn.com/abstract=3512923 or http://dx.doi.org/10.2139/ssrn.3512923

Hans-Jörg Naumer

WHU - Otto Beisheim School of Management ( email )

Burgplatz 2
Vallendar, 56179
Germany

B. Burcin Yurtoglu (Contact Author)

WHU - Otto Beisheim School of Management ( email )

Chair of Corporate Finance
Burgplatz 2
Vallendar, 56179
Germany
+49 261 6509-721 (Phone)
+49 261 6509-729 (Fax)

HOME PAGE: http://www.whu.edu/forschung/fakultaet/finance-group/corporate-finance/

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