Corporate social responsibility and the term structure of CDS spreads

•This study examines the role of corporate social performance in the CDS market, with a focus on the differential effect conditional on the lengths of time horizons.•Firm’s strong social performance negatively predicts the slope of CDS term structure, by reducing the long-term credit risk and increasing the short-term credit risk.•The direct effect of social performance remains significant after controlling for credit ratings in a “path analysis”.•The effects of social performance are stronger for firms with speculative-grade ratings, smaller size, or less analyst coverage.