This paper provides evidence that conventional risk measures (Merton Distance to Default, Altman -Score, Z-Score and Volatility) fail to capture all the relevant information to assess borrower risk. Moreover, the paper shows that the additional information contained in ESG scores has a negative relationship with the cost of debt, and this relationship is economically significant. In addition, companies whose sustainability generates major concerns (i.e., the most indebted companies and those with the highest agency costs) benefit the most from ESG performance. Finally, the paper provides evidence that the return on companies' ESG efforts in terms of the cost of debt is higher in countries with bank-based financial systems, where long-term relationships between lenders and borrowers prevail, than in countries with market-based financial systems.

中文翻译：

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ESG 评分和债务成本：探索债务、代理成本和金融体系影响

本文提供的证据表明，传统风险衡量标准（默顿违约距离、Altman 评分、Z 评分和波动性）无法捕获评估借款人风险的所有相关信息。此外，论文还表明，ESG 评分中包含的附加信息与债务成本呈负相关，而且这种关系具有经济意义。此外，可持续性引起重大关注的公司（即负债最多的公司和代理成本最高的公司）从 ESG 绩效中受益最多。最后，本文提供的证据表明，在以银行为基础的金融体系（贷款人和借款人之间存在长期关系）的国家，公司在债务成本方面的 ESG 努力的回报高于以市场为基础的国家。金融系统。