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Investor perception of ESG-linked credit risk during the COVID-19 pandemic for U.S. and European firms

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  • Klimenko, Mikhail
  • Romanyuk, Kirill

Abstract

This article investigates whether investor perception of credit risk for companies financing ESG activities changed during the COVID-19 pandemic (2020–2023). Using the data on major U.S. and European companies from 2015 to 2023, we find that there is no relation between the ESG score and the credit risk before 2020. Nevertheless, an increase in the ESG score leads, on average, to an increase of the credit risk for U.S. and European companies in 2022 and 2023, with a stronger effect for U.S. companies.

Suggested Citation

  • Klimenko, Mikhail & Romanyuk, Kirill, 2025. "Investor perception of ESG-linked credit risk during the COVID-19 pandemic for U.S. and European firms," Finance Research Letters, Elsevier, vol. 86(PB).
    • Handle: RePEc:eee:finlet:v:86:y:2025:i:pb:s1544612325017180
    DOI: 10.1016/j.frl.2025.108464
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    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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