We use the S&P 500 to investigate whether companies with a good ESG score benefit from a lower cost of capital. Using Bloomberg’s financial data and MSCI’s ESG score for 498 companies, we calculated the measures of descriptive statistics, finding that companies with better ESG ratings enjoy both a lower cost of equity and a lower cost of debt. However, their WACC shows no improvement with a higher ESG score. Companies with a poor ESG rating have a lower WACC due to the higher proportion of debt capital, coupled with a higher cost of debt, compared to the cost of equity capital. Calculating the Pearson correlation coefficient, we found a slightly negative linear relationship between the ESG score and the beta factor, and between the ESG score and the cost of debt. No linear relationship was found between the WACC and the ESG score. Finally, linear regression analysis shows a negative and significant effect of the ESG score on the root beta factor. This research indicates that companies with better ESG scores benefit from lower cost of equity and debt. Our results may encourage companies to operate more sustainably to reduce their cost of capital.

中文翻译：

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环境、社会和治理评级对资本成本的影响：来自标准普尔 500 指数的证据

我们使用标准普尔 500 指数来调查 ESG 评分良好的公司是否能从较低的资本成本中受益。我们利用彭博社的财务数据和MSCI对498家公司的ESG评分进行了描述性统计，发现ESG评级较高的公司股本成本和债务成本都较低。然而，他们的 WACC 并没有随着 ESG 分数的提高而有所改善。ESG 评级较差的公司的 WACC 较低，因为与股权资本成本相比，债务资本比例较高，而且债务成本较高。通过计算 Pearson 相关系数，我们发现 ESG 评分与 beta 因子之间以及 ESG 评分与债务成本之间存在轻微的负线性关系。WACC 和 ESG 分数之间没有发现线性关系。最后，线性回归分析显示 ESG 评分对根 beta 因子有显着的负面影响。这项研究表明，ESG 得分较高的公司受益于较低的股本和债务成本。我们的结果可能会鼓励公司更加可持续地运营，以降低资本成本。