ESG performance and bond return volatility

IF 6.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Stability Pub Date : 2025-06-13 DOI:10.1016/j.jfs.2025.101434

Zehua Zhang , Ran Zhao , Lu Zhu , Trevor Chamberlain

引用次数: 0

Abstract

This study examines the effects of environmental, social, and governance (ESG) performance on bond return volatility. After controlling for bond characteristics and firm fundamentals, we find a robust positive relationship between ESG performance and bond return volatility. The empirical results demonstrate that the impact on bond return volatility is primarily driven by ESG strengths rather than concerns. The results are robust to alternative measures, sample periods, and endogeneity controls. Furthermore, the effect of ESG performance is more pronounced for firms with opportunistic managers and poor information environments.

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ESG绩效与债券回报波动性

本研究考察了环境、社会和治理（ESG）绩效对债券回报波动性的影响。在控制了债券特征和坚实的基本面之后，我们发现ESG绩效与债券回报波动之间存在强大的正相关关系。实证结果表明，对债券收益波动的影响主要是由ESG优势驱动的，而不是由担忧驱动的。结果是稳健的替代措施，样本周期和内生性控制。此外，对于拥有机会主义经理人和较差信息环境的公司，ESG绩效的影响更为明显。

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 Stability Multiple-

CiteScore

7.70

自引率

9.30%

发文量

审稿时长

34 days

期刊介绍： The Journal of Financial Stability provides an international forum for rigorous theoretical and empirical macro and micro economic and financial analysis of the causes, management, resolution and preventions of financial crises, including banking, securities market, payments and currency crises. The primary focus is on applied research that would be useful in affecting public policy with respect to financial stability. Thus, the Journal seeks to promote interaction among researchers, policy-makers and practitioners to identify potential risks to financial stability and develop means for preventing, mitigating or managing these risks both within and across countries.