Does ESG Disclosure Affect Corporate-Bond Credit Spreads? Evidence from China

Yuexiang Yang, Zhihui Du, Zhen Zhang, Guanqun Tong and Rongxi Zhou
Additional contact information
Yuexiang Yang: School of Management, China University of Mining and Technology (Beijing), Beijing 100083, China
Zhihui Du: School of Finance and Banking, University of International Business and Economics, Beijing 100029, China
Zhen Zhang: School of Finance and Banking, University of International Business and Economics, Beijing 100029, China
Guanqun Tong: Canvard College, Beijing Technology and Business University, Beijing 101118, China
Rongxi Zhou: School of Finance and Banking, University of International Business and Economics, Beijing 100029, China

Sustainability, 2021, vol. 13, issue 15, 1-15

Abstract: With the exponential development of an ecological and sustainable economy and society, the concept and practice of environmental, social, and governance (ESG) investments are being popularized in the capital market of China. ESG disclosure is an important supplement to financial disclosure and plays an increasingly significant role in asset pricing. In this paper, we selected corporate bond data in China’s secondary bond market from 2015 to 2020, and introduced the Nelson–Siegel model to study the influence of ESG disclosure on corporate bond credit spreads in the secondary market. This model passed robustness tests when we used alternative data fitted by the modified Nelson–Siegel model. Results show that ESG disclosure significantly reduces credit spreads on corporate bonds in the secondary market. State ownership and industry play significant roles in moderating the impact of ESG disclosure on corporate bond credit spreads. Specifically, the ESG disclosure of non-state-owned companies and companies in non-high-pollution and -energy-consumption industries has a greater impact on reducing corporate bond credit spreads. Therefore, we urge regulatory departments to establish a sound ESG disclosure evaluation system, and the issue companies to improve the quality of their ESG disclosure, especially non-state-owned companies, and those in non-high-pollution and -energy-consumption industries. Corporate bond investors would benefit from integrating ESG information into their investment decision-making process.

Keywords: ESG disclosure; credit spreads; corporate bond (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
https://www.mdpi.com/2071-1050/13/15/8500/pdf (application/pdf)
https://www.mdpi.com/2071-1050/13/15/8500/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jsusta:v:13:y:2021:i:15:p:8500-:d:604546

Access Statistics for this article

Sustainability is currently edited by Ms. Alexandra Wu

More articles in Sustainability from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().