ESG评级分歧与公司债券定价:信息挖掘还是信息恶化  

ESG Rating Divergence and Corporate Bond Pricing:Information Mining or Information Deterioration

作　　者：王垒 刘青德 李宽 Wang Lei;Liu Qingde;Li Kuan(School of Economics,Ocean University of China)

机构地区：[1]中国海洋大学经济学院

出　　处：《国际金融研究》2024年第3期87-96,共10页Studies of International Finance

基　　金：国家社会科学基金一般项目“机构共同持股下的上市公司ESG‘漂绿’治理效应及机制研究”(23BGL108);山东省自然科学基金面上项目“ESG评级分歧与公司债券市场反应:信息效应、影响机制与功能治理”(ZR2023MG013);泰山学者工程专项经费资助(tsqn202306089);山东省社会科学规划研究专项“山东省产业链与创新链深度融合的效果评价、实现机制与实践路径研究”(22CCXJ14)资助。

摘　　要：本文利用2015—2020年中国上市公司发债数据,实证检验了ESG评级分歧对债券信用利差的影响。研究发现,ESG评级分歧会导致市场信息恶化,加剧信息不对称程度,提高债券信用利差。机制分析表明,ESG评级分歧会加剧投资者的有限关注约束程度,促使其更加集中于市场信息的获取,这一现象与有限关注理论一致。该结论在考虑了债券价格中异质信息含量和考虑市场定价交易机制后依旧成立。情境分析发现,发债企业的政府和市场担保属性有利于降低在ESG评级分歧背景下投资者要求的风险补偿,而相对于仅国内评级机构之间产生的分歧,国内外评级机构之间的分歧对债券信用利差的影响更大。The bond market is the core component of the direct financing market for enterprises,but the low pricing efficiency of bonds caused by information asymmetry hinders its ability to serve the real economy.ESG ratings,reflecting a company's sustainable development capability,have a significant impact on bond risk pricing.However,the existence of divergence 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 investors'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 considering 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 efficiency of bond market pricing and provides a theoretical basis for accelerating the construction of a robust ESG rating system.

关 键 词：ESG评级分歧 债券信用利差 信息环境 有限关注 

分 类 号：F832[经济管理—金融学]