企业ESG信息披露与债券投资风险研究  

Research on Corporate ESG Information Disclosure and Bond Investment Risk

作　　者：张晶[1] 林晓乐[1,2] 潘光曦 ZHANG Jing;LIN Xiaole;PAN Guangxi(School of Finance,Shandong University of Finance and Economics,Jinan 250002,China;School of Finance and Economics,Shandong University of Science and Technology,Tai’an 271000,China)

机构地区：[1]山东财经大学金融学院,山东济南250002 [2]山东科技大学财经学院,山东泰安271000

出　　处：《统计与信息论坛》2024年第12期84-98,共15页Journal of Statistics and Information

基　　金：国家自然科学基金青年项目“特征识别、关联集成与系统性金融风险演化研究”(72301155);教育部规划基金项目“央行沟通、经济主体信心与货币政策效应研究”(22YJA790085);济南市市校融合发展战略工程项目“数字化消费与制造业数字化转型协同创新中心建设”(JNSX2023052);山东省社科规划研究项目“习近平总书记关于数字经济与实体经济融合发展的重要论述与山东实践”(23CXSXJ18)。

摘　　要：ESG信息披露对投资领域产生了巨大影响,探究企业ESG信息披露和债券投资风险之间的关系,既能发现债券市场可持续发展投资策略的实施现状,也为ESG在固定收益证券中作用表现提供证据。以债券利差作为债券投资风险的瞄定变量,利用2011年第一季度至2021年第四季度中国上市企业债券数据,将彭博社对企业ESG的首次评分作为政策冲击,构建多时点DID模型展开检验,结果表明:企业ESG信息披露可以有效降低债券投资风险,且这种降低作用在剩余期限较短、非国有企业、成长期企业以及位于市场化程度较高地区企业的债券更为显著。进一步分析证实:ESG信息披露可以通过改变债券流动性和企业财务风险降低债券投资风险。外部作用方面,公众气候关注度的提高会增强企业ESG信息披露对债券投资风险的收窄作用,而政府对企业ESG信息自愿披露的软约束效果不佳。研究结果为加快企业ESG信息披露制度建设、优化债券ESG投资策略提供一定的理论支撑。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 corpo

关 键 词：ESG信息披露 债券投资风险 公众气候关注 政府自愿披露制度 多时点DID 

分 类 号：F832[经济管理—金融学]