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Do CSR pillars have an effect on credit risk? An empirical comparison between Canadian and Mexican firms

Portugal Valenzuela, German LU and Garcia Braulio, Lourdes Angelica LU (2022) NEKN02 20221
Department of Economics
Abstract
This paper aims to empirically examine the effect, if any, of each Corporate Social Responsibility dimension (i.e., Environmental, Social, and Governance activities) on firms’ credit risk for two countries with a different CSR culture, Canada and Mexico. We used Probability of Default and Credit Default Swaps spread, with 1-year and 5-years maturities, as credit risk proxies for a sample of 287 firms from both countries for the period of 2011-2020. This study employs fixed-effects (FE) models to run the regressions on the unbalanced panel data set. The results do not show a statistically significant effect of any of the CSR pillars on credit risk either in Canada or in Mexico; but we do obtain similar results for both countries, despite of... (More)
This paper aims to empirically examine the effect, if any, of each Corporate Social Responsibility dimension (i.e., Environmental, Social, and Governance activities) on firms’ credit risk for two countries with a different CSR culture, Canada and Mexico. We used Probability of Default and Credit Default Swaps spread, with 1-year and 5-years maturities, as credit risk proxies for a sample of 287 firms from both countries for the period of 2011-2020. This study employs fixed-effects (FE) models to run the regressions on the unbalanced panel data set. The results do not show a statistically significant effect of any of the CSR pillars on credit risk either in Canada or in Mexico; but we do obtain similar results for both countries, despite of their contrasting CSR cultures. Additionally, these findings do not discard a relation between CSR and credit risk in the two countries. Our results keep consistent among different robust tests. Moreover, this publication extends the availability of CSR effects literature with emphasized research in countries outside the US and Europe. (Less)
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author
Portugal Valenzuela, German LU and Garcia Braulio, Lourdes Angelica LU
supervisor
organization
course
NEKN02 20221
year
type
H1 - Master's Degree (One Year)
subject
keywords
CSR, Corporate Social Responsibility, CSR Pillars, ESG, Credit Risk, Probability of Default, Credit Default Swap Spreads
language
English
id
9084169
date added to LUP
2022-10-10 09:36:35
date last changed
2022-10-10 09:36:35
@misc{9084169,
  abstract     = {{This paper aims to empirically examine the effect, if any, of each Corporate Social Responsibility dimension (i.e., Environmental, Social, and Governance activities) on firms’ credit risk for two countries with a different CSR culture, Canada and Mexico. We used Probability of Default and Credit Default Swaps spread, with 1-year and 5-years maturities, as credit risk proxies for a sample of 287 firms from both countries for the period of 2011-2020. This study employs fixed-effects (FE) models to run the regressions on the unbalanced panel data set. The results do not show a statistically significant effect of any of the CSR pillars on credit risk either in Canada or in Mexico; but we do obtain similar results for both countries, despite of their contrasting CSR cultures. Additionally, these findings do not discard a relation between CSR and credit risk in the two countries. Our results keep consistent among different robust tests. Moreover, this publication extends the availability of CSR effects literature with emphasized research in countries outside the US and Europe.}},
  author       = {{Portugal Valenzuela, German and Garcia Braulio, Lourdes Angelica}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Do CSR pillars have an effect on credit risk? An empirical comparison between Canadian and Mexican firms}},
  year         = {{2022}},
}