Graduation Year


Date of Submission


Document Type

Campus Only Senior Thesis

Degree Name

Bachelor of Arts



Reader 1

Professor Eric Hughson

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As firms and investors increasingly incorporate Environmental, Social and Governance (ESG) criteria into their decision-making processes, research into the financial implications of ESG performance becomes even more relevant. Previous studies have found evidence that robust firm ESG performance is associated with risk-reducing characteristics that manifest in the form of increased stock price resilience during periods of distress. However, the question of whether this resilience translates to the bond market remains unanswered. Using a sample of 57 bond issuers with USD-denominated debt between 2012 and 2021, this paper investigates the relationship between issuer ESG score and bond cumulative abnormal return (CAR) over credit downgrade events from investment grade to high yield status over three event windows of varying length. This paper finds a negative association between issuer ESG score and CAR in a longer 200-day event window and positive associations between the two in shorter 25-day and 6-day event windows. Whilst none of the associations are statistically significant, this study serves as a starting point for further investigation on ESG’s risk-mitigating properties within the bond market.

This thesis is restricted to the Claremont Colleges current faculty, students, and staff.