ESG评级分歧对债券利差结构化影响研究  

Research on the Impact of ESG Rating Divergence on the Structure of Bond Spread

作　　者：徐金球 XU Jin-qiu

机构地区：[1]河北金融学院会计学院

出　　处：《农村金融研究》2025年第2期67-80,共14页Rural Finance Research

基　　金：中国博士后科研基金项目“汇率波动、金融稳定与人民币国际化”(编号:2015M570983);商务部规划基金项目“中国融资租赁行业监管与发展”(编号:17CSRT6518)的研究成果。

摘　　要：论文基于2011—2022年1548家沪深上市公司数据,实证研究了ESG评级分歧对债券利差的结构化影响效应与渠道机制。研究结果表明,ESG评级分歧显著扩大了公司债券利差,并呈现出明显的迟滞性。该影响主要归因于债券超额价差,受二级市场债券投资者潜在信息摩擦所驱动。异质性分析显示,公司产权性质(所有制)和信息披露水平对ESG评级分歧关于债券利差的扩大影响存在显著差异,ESG评级分歧对私有企业或信息透明度较低企业的债券利差影响更为显著。机制分析表明,ESG评级分歧主要通过影响企业融资约束度和投资者情绪等来扩大公司债券利差。此研究不仅拓展了ESG评级分歧影响债券利差的微观证据,对于持续优化ESG评级管理、助力企业压降债务成本也具有重要的政策启示。This paper empirically studies the impact of ESG rating divergence on bond spread structuring and the channel mediation mechanisms.In the study,bond spreads were decomposed into the price spread of predicting the fundamental default risk premium-the basic price spread,and the remaining price spread-the excess price spread that reflects exceeding the default risk premium.The results showed that the ESG rating divergence significantly widened the corporate bond spread,and this effect was temporary.And the divergence mainly drives changes in bond spreads by influencing excess bond spreads.The nature of corporate property rights and the level of information disclosure have heterogeneous spillover effects on the widening of ESG rating differences in bond spreads,with private enterprises or enterprises with lower information transparency having a more significant impact on bond spreads.In addition,the test of the potential channel effect shows that ESG rating divergence mainly plays a role through the mediation of corporate financing constraints and investor sentiment.

关 键 词：ESG评级分歧 债券利差 超额价差 融资约束 投资者情绪 

分 类 号：X322[环境科学与工程—环境工程] F270.3[经济管理—企业管理] F832.5[经济管理—国民经济]