Extreme climate risks and corporate bond yield spreads: evidence from China

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2023-09-15 DOI:10.1080/16081625.2023.2257242

Yanyi Ye, Jingjing Zhu, Bin Li, Xiaoguang Yang

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Abstract

ABSTRACTThis paper examines the relationship between extreme climate risks and offering yield spreads using a comprehensive dataset of Chinese corporate bonds issued by publicly listed firms from 2014 to 2020. We find that extreme climate risks are positively associated with firms’ offering yield spreads. This effect is more pronounced for bonds with long maturity, firms in climate-sensitive industries, and firms with lower ROE. Two economic channels are identified to explain the effect of climate risks on offering yield spreads: default risk and investor sentiment. Our results remain robust to a series of robustness tests.KEYWORDS: extreme climate risksoffering yield spreadscorporate bondsdefault riskinvestor sentiment AcknowledgmentsWe are grateful to the editor and the anonymous reviewers for their valuable comments and suggestions that helped improve our paper significantly. This paper is supported by the National Natural Science Foundation of China (Nos.72103017,T2293771) and Humanities and Social Sciences Fund of the Ministry of Education (No.21YJA790028). Any errors are our own.Disclosure statementNo potential conflict of interest was reported by the authors.Data availability statementThis paper collects data from trustworthy platforms (i.e. CSMAR, Wind, National Meteorological Science Data Sharing Service Platform). The data are not publicly available due to privacy or ethical restrictions.Additional informationFundingThis work was supported by the National Natural Science Foundation of China [72103017, T2293771]; Humanities and Social Sciences Fund of the Ministry of Education [21YJA790028].

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极端气候风险与公司债券收益率息差:来自中国的证据

摘要本文利用2014 - 2020年中国上市公司发行的公司债券的综合数据集，研究了极端气候风险与发行利差之间的关系。我们发现，极端气候风险与公司发行的收益率差呈正相关。这种效应对于长期债券、气候敏感行业的公司和ROE较低的公司更为明显。确定了两种经济渠道来解释气候风险对收益率息差的影响:违约风险和投资者情绪。我们的结果在一系列稳健性测试中保持稳健性。关键词:极端气候风险债券收益率价差公司债券违约风险投资者情绪感谢编辑和匿名审稿人的宝贵意见和建议，这些意见和建议极大地改进了我们的论文。国家自然科学基金项目(no .72103017,T2293771)和教育部人文社会科学基金项目(No.21YJA790028)资助。任何错误都是我们自己的。披露声明作者未报告潜在的利益冲突。数据可用性声明本文收集的数据来自可靠的平台(即CSMAR、Wind、国家气象科学数据共享服务平台)。由于隐私或道德限制，这些数据不会公开。基金资助:国家自然科学基金[72103017,T2293771];教育部人文社科基金[21YJA790028]。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.