ESG Rating Divergence and Corporate Bond Pricing:Information Mining or Information Deterioration
The bond market is the core component of the direct financing market for enterprises,but the low pricing effi-ciency of bonds caused by information asymmetry hinders its ability to serve the real economy.ESG ratings,reflecting a com-pany's sustainable development capability,have a significant impact on bond risk pricing.However,the existence of diver-gence in ESG ratings creates uncertainty in this impact,and more empirical evidence is still needed to support its impact on bond pricing.This article uses the bond issuance data of Chinese listed companies from 2015 to 2020 and data from eight ESG rating agencies to construct a fixed effects model.It empirically tests the direct impact and mechanism of ESG rating divergence on corporate bond credit spreads,and further examines the heterogeneous effects of different bond performance guarantees and ESG rating agency country attributes.The research has found that ESG rating divergence leads to deterioration in market information and increases bond credit spreads.Mechanistic analysis shows that information deterioration due to ESG rating divergence exacerbates the extent of inves-tors'limited attention constraints,forcing them to pay more attention to market information,consistent with the theory of limited attention.This conclusion remains valid after testing the heterogeneous information content contained in bond prices and con-sidering the market pricing trading mechanism.Contextual analysis finds that firms in the presence of government and market guarantees and firms rated only by domestic ESG rating agencies have smaller bond credit spreads.This paper has expanded the research scope of bond market pricing factors from the perspective of ESG rating divergence,highlighting the important role of investors'limited attention in corporate bond pricing.It offers a direction for improving the ef-ficiency of bond market pricing and provides a theoretical basis for accelerating the construction of a robust ESG rating system.
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