Crifo, Diaye, and Oueghlissi (2014)

Crifo, Patricia, Marc-Arthur Diaye, and Rim Oueghlissi.  “Measuring the effect of government ESG performance on sovereign borrowing cost.”  Working paper (University of Paris West, Ecole Polytechnique and CIRANO (Montreal)), February 20, 2014.

From the authors' abstract:  "This article examines whether the extra-financial performance of countries on environmental, social and governance (ESG) factors matter for sovereign bonds markets. We propose an econometric analysis of the relationship between ESG performances and government bond spreads of 23 OECD countries over the 2007-2012 period. Our results reveal that ESG ratings significantly decrease government bond spreads and this finding is robust for a wide range of model setups."

Link:  https://hal.archives-ouvertes.fr/hal-00951304v3/document