Pricing of sustainability-linked bonds

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics Pub Date : 2024-09-12 DOI:10.1016/j.jfineco.2024.103944

Peter Feldhütter , Kristoffer Halskov , Arthur Krebbers

引用次数: 0

Abstract

We examine the pricing of sustainability-linked bonds (SLBs), where the cash flows depend on the bond issuer achieving one or more Environmental, Social and Governance (ESG) goals. Investors are willing to accept a 1–2bps lower yield due to the bond’s ESG label, providing evidence of investors caring about environmental impact. Furthermore, we find the average probability of missing the target is 14%–39% so firms set ESG targets that are easy to reach. We find that the SLB market is efficient: the prices of SLBs depend strongly on the size of the potential penalty and there is no evidence of mispricing. Finally, our results suggest that SLBs serve as financial hedges against ESG risk.

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与可持续性挂钩的债券的定价

我们研究了与可持续性挂钩的债券（SLB）的定价问题，这种债券的现金流取决于债券发行人是否实现了一个或多个环境、社会和治理（ESG）目标。由于债券的 ESG 标签，投资者愿意接受低 1-2 个基点的收益率，这为投资者关心环境影响提供了证据。此外，我们发现错过目标的平均概率为 14%-39%，因此企业设定的 ESG 目标很容易达到。我们发现 SLB 市场是有效的：SLB 的价格很大程度上取决于潜在惩罚的大小，没有证据表明存在错误定价。最后，我们的研究结果表明，可持续减排债券可作为针对环境、社会和治理风险的金融对冲工具。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Economics Multiple-

CiteScore

15.80

自引率

4.50%

发文量

192

审稿时长

37 days

期刊介绍： The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.