企业ESG评级对债券信用利差的影响——基于发债企业和债券投资者双方的视角  

The Impact of Enterprise ESG Rating on Bond Credit Spread——From the Perspectives of Both Issuing Company and Bond Investors

作　　者：张金清[1] 顾嘉乐 张乐平 ZHANG Jin-qing;GU Jia-le;ZHANG Le-ping

机构地区：[1]复旦大学经济学院,上海200433

出　　处：《金融论坛》2024年第3期24-34,共11页Finance Forum

基　　金：国家自然科学基金面上项目“我国养老金缺口化解的新方案:公债融资的可行性分析及最优规模确定”(72371078)的资助。

摘　　要：本文首先构建纳入企业ESG评级的信用利差确定模型,区分ESG评级影响债券融资成本的企业基本面渠道和投资者渠道,然后使用2009-2022年A股上市公司发行的债券数据进行实证检验。研究发现,ESG评级提高通过企业基本面渠道和投资者渠道共同降低债券信用利差,且后者的作用更强。机制检验表明,企业基本面渠道体现为降低财务风险,投资者渠道体现为吸引具有ESG偏好的投资者。异质性分析表明,企业基本面渠道在经济欠发达和安全事故高发地区效果更强,投资者渠道对非国有企业、非高碳企业更加明显。This paper first constructs a credit spread determination model that includes ESG ratings for enterprises,dis-tinguishing between the corporate fundamental channel and the investor channel through which ESG ratings affect bond fi-nancing costs.Then,empirical testing is conducted using bond data issued by A-share listed companies from 2009 to 2022.It is found that the improvement of ESG ratings reduces bond credit spreads through both the corporate fundamental channel and the investor channel,with the latter having a stronger effect.Mechanism testing shows that the corporate fun-damental channel is reflected in reducing financial risks,while the investor channel is reflected in attracting investors with ESG preferences.Heterogeneity analysis shows that the corporate fundamental channel is more effective in economically underdeveloped areas and areas with high incidence of safety accidents,while the investor channel is more pronounced in non-state-owned enterprises and non-high-carbon enterprises.

关 键 词：ESG评级 信用利差 融资成本 预期信用损失 超额风险溢价 

分 类 号：G12[文化科学] G32