Nguyen-Taylor, Naranjo, and Roy (2015)

Nguyen-Taylor, Kim, Ivan Naranjo, and Cathy Roy.  The ESG Advantage in Fixed Income Investing:  An Empirical Analysis.  Calvert Investments, 2015.

From the report:  "The key objective in this backtested analysis was to validate the efficacy of ESG performance on CDS (credit default swap) spreads over a 10-year period, using historical time-series data. Specifically, we evaluated the annual rate of change in CDS spreads for a universe of high-yield and investment-grade companies, broken down by fractiles based on their annual ESG scores. We conducted the analysis at an aggregate level as well as segregating by, and neutralizing the impact of, credit quality and sector impacts."

Link:  https://www.environmental-finance.com/assets/files/WP10011.pdf