Research on Corporate ESG Information Disclosure and Bond Investment Risk
ESG has had a significant impact on the investment field.An investigation into the relationship between corporate ESG disclosure and bond investment risk can provide insights into the current status of the implementation of sustainable investment strategies in the bond market and offer evidence to support the role of ESG disclosure in fixed income securities.A theoretical analysis framework of the impact of corporate ESG disclosure on bond investment risk is initially established,which is achieved through the application of information asymmetry theory,signalling theory,and reputation theory.Subsequently,the relationship between ESG disclosure and bond investment risk is examined through the lens of internal influence mechanisms and external roles.And the bond spreads are employed as the dependent variable in the analysis of bond investment risk.The data set comprises listed and traded corporate bonds in China from the first quarter of 2011 to the fourth quarter of 2021,sourced from Bloomberg.A staggered DID model is employed to examine the impact of corporate ESG ratings as a policy shock on bond investment risk.The findings indicate that corporate ESG disclosure effectively mitigates the risk of bond investment,a conclusion that is corroborated by a series of robustness tests.All of the aforementioned arguments are valid.Heterogeneity tests at the bond level,firm level and regional level are also conducted,and it is found that the reduction effect between corporate ESG disclosure and bond investment risk is more significant in bonds with shorter residual maturity,non-state-owned firms,firms with growth periods and firms located in regions with a higher degree of marketisation.The source of bond investment risk can be decomposed into liquidity risk and credit risk.The basic principle forms the basis of the investigation into the mechanism by which ESG disclosure affects bond investment risk.The investigation considers both the market channel and the corporate fundamentals channel.The findings indicate that corporate ESG disclosure reduces the investment risk by lowering the liquidity risk and the credit risk of bonds.The test of external effects reveals that,in the test of external effects,the roles of public climate concern and government ESG information disclosure policy are investigated,and it is concluded that increased public climate concern enhances the narrowing effect of ESG information disclosure on bond investment risk,while the government's soft constraints on the voluntary disclosure of corporate ESG information have no significant effect on corporate bond risk.Based on the above findings,it is proposed that bond-issuing enterprises should proactively make ESG information disclosure to reduce bond investment risk.Bond investors should strengthen their knowledge of ESG information and change their ESG investment strategies.Relevant regulatory authorities should accelerate the design of ESG information disclosure system and related ecological construction,and accelerate the mandatory ESG information disclosure system.The study provides certain theoretical support for improving corporate ESG ecological construction,accelerating the ESG information disclosure system of corporate bond issuers,and optimising bond ESG investment strategies.
ESG disclosurebond investment riskpublic climate attentionvoluntary disclosure systemstaggered DID
万方数据
维普
