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Finansowe, przestrzenne i systemowe determinanty scoringów ESG nadanych bankom komercyjnym
Języki publikacji
Abstrakty
The aim is to verify which financial, spatial and systemic importance variables interact with ESG scoring. Based on data from 628 banks from 63 countries, a multinomial ordered logit model was built with the explanatory variables of Sustainalytics and Moody's ESG scores. Results indicate that membership in the EU, being an SIB, capitalisation, and revenues have a positive effect on ESG. In contrast, an increase in leverage, NPL ratio, and profitability are associated with a deterioration in scorings. Results differ in terms of the spatial aspect (in the case of Sustainalytics, additionally, location in the US favours ESG scoring) and the spectrum of systemic importance (in the case of Moody's, it is both global and local dimensions). This study is the first attempt to identify common (to different methodologies) determinants of ESG scoring. Its originality is also determined by the demonstration of a relationship between spatial variables and SIB's membership and ESG scoring.
Celem badania jest weryfikacja, które zmienne finansowe, przestrzenne oraz związane ze znaczeniem systemowym, oddziałują na scoring ESG. W oparciu o dane 628 banków z 63 krajów zbudowano wielomianowy uporządkowany model logitowy ze zmiennymi objaśnianymi w postaci scoringów ESG Sustainalytics oraz Moody’s. Wyniki wskazują na to, że przynależność do Unii Europejskiej, do grupy banków o znaczeniu systemowym, kapitalizacja oraz przychody pozytywnie oddziałują na ocenę ESG. Z kolei wzrost dźwigni finansowej, wskaźnika NPL oraz rentowności banku wiążą się z pogorszeniem scoringu. Wyniki różnią się w zakresie aspektu przestrzennego (w przypadku Sustainalytics dodatkowo lokalizacja w USA sprzyja ocenie ESG) oraz spektrum znaczenia systemowego (w przypadku Moody’s jest to wymiar zarówno globalny, jak i lokalny). Przedmiotowe badanie jest pierwszą próbą identyfikacji wspólnych (dla różnych metodyk oceny) determinant scoringu ESG. O jego oryginalności przesądza także wykazanie zależności między zmiennymi przestrzennymi oraz przynależnością do grupy instytucji o znaczeniu systemowym a scoringiem ESG.
Słowa kluczowe
Czasopismo
Rocznik
Tom
Strony
1--25
Opis fizyczny
Bibliogr. 39 poz., tab., wykr.
Twórcy
autor
- Institute of Banking, SGH Warsaw School of Economics
autor
- Department of Management, Economy and Finance, Bialystok University of Technology, o. Stefan Tarasiuk Street 2, 16-001 Kleosin, Poland
autor
- Institute of Banking, SGH Warsaw School of Economics
autor
- Department of Financial Economics and Operations Management, University of Seville, Spain
Bibliografia
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- Bernhardsen, F., & Ligard, M. (2022). The Determinants of ESG Ratings in Family Firms: Evidence from the Nordic Market [Master thesis]. Norwegian Business School. https://biopen.bi.no/bi-xmlui/handle/11250/3037333
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- Crespi, F., & Migliavacca, M. (2020). The Determinants of ESG Rating in the Financial Industry: The Same Old Story or a Different Tale? Sustainability, 12(16), 6398. https://doi.org/10.3390/su12166398
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- Ehlers, T., Elsenhuber, U., Jegarasasingam, A., & Jondeau, E. (2022). Deconstructing ESG Scores: How to Invest with Your Own Criteria. https://www.bis.org/publ/work1008.pdf
- El Khoury, R., Nasrallah, N., & Alareeni, B. (2023). The determinants of ESG in the banking sector of MENA region: a trend or necessity? Competitiveness Review, 33(1), 7-29. https://doi.org/10.1108/CR-09-2021-0118
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- Fullerton, A. S. (2009). A Conceptual Framework for Ordered Logistic Regression Models. Sociological Methods & Research, 38(2), 306-347. https://doi.org/10.1177/0049124109346162
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- Izcan, D., & Bektas, E. (2022). The Relationship between ESG Scores and Firm-Specific Risk of Eurozone Banks. Sustainability, 14(14), 8619. https://doi.org/10.3390/su14148619
- Jastrzębowski, A. (2014). The theory of legitimacy and the functions of accounting. Studia Oeconomica Posnaniensia, 2(4), 50-60. (in Polish).
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- Menicucci, E., & Paolucci, G. (2023). ESG dimensions and bank performance: an empirical investigation in Italy. Corporate Governance: The International Journal of Business in Society, 23(3), 563-586.
- Moody’s. (2023). Adaptable ESG Risk Solutions. https://www.moodys.com/web/en/us/capabilities/esg-risk.html
- Moura-Leite, R. C., Padgett, R. C., & Galan, J. I. (2012). Is social responsibility driven by industry or firm-specific factors? Management Decision, 50(7), 1200-1221. https://doi.org/10.1108/00251741211246969
- Neisen, M., Bruhn, B., & Lienland, D. (2022). ESG rating as input for a sustainability capital buffer. Journal of Risk Management in Financial Institutions, 15(1), 72-84.
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- Tang, D. Y., Yan, J., & Yao, Y. (2021). The Determinants of ESG Ratings: Rater Ownership Matters. Proceedings of Paris December 2021 Finance Meeting EUROFIDAI – ESSEC, France, Paris, 1-52. http://dx.doi.org/10.2139/ssrn.3889395
- Tarmuji, I., Maelah, R., & Tarmuji, N. (2016). The Impact of Environmental, Social and Governance Practices (ESG) on Economic Performance: Evidence from ESG Score. International Journal of Trade, Economics and Finance, 7, 67-74. https://doi.org/10.18178/ijtef.2016.7.3.501
- Trinh, V. Q., Cao, N. D., Li, T., & Elnahass, M. (2023). Social capital, trust, and bank tail risk: The value of ESG rating and the effects of crisis shocks. Journal of International Financial Markets, Institutions and Money, 83, 101740. https://doi.org/10.1016/j.intfin.2023.101740
- Wu, M. L. (2006). Corporate social performance, corporate financial performance, and firm size: A meta-analysis. Journal of American Academy of Business, 8(1), 163-171.
- Wu, M.-W., & Shen, C.-H. (2013). Corporate social responsibility in the banking industry: Motives and financial performance. Journal of Banking & Finance, 37(9), 3529-3547. https://doi.org/10.1016/j.jbankfin.2013.04.023
Typ dokumentu
Bibliografia
Identyfikator YADDA
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