Is carbon price uncertainty priced in the corporate bond yield spreads? Evidence from Chinese corporate bond markets

IF 9.8 1区 经济学 Q1 BUSINESS, FINANCE
Bin Li, Han Wang, Yanyi Ye
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引用次数: 0

Abstract

This study aims to explore the impact of carbon price uncertainty on corporate bond yield spreads using an extensive data set of Chinese corporate bonds issued by publicly listed firms between May 2014 and December 2022. The study finds that the carbon price uncertainty raises the corporate bond yield spreads. Two economic channels are identified through which carbon price uncertainty affects corporate bond yield spreads: credit risk and bond liquidity. The study's results are robust to alternative measures of the carbon price uncertainty, yield spreads, fixed effects, and alternative samples. The impact of carbon price uncertainty on bond yield spreads is more pronounced for firms with higher corporate energy consumption, lower corporate information transparency, and the release of carbon trading regulatory policy. This study suggests that carbon price uncertainty is one of the important determinants of corporate bond pricing.
碳价格的不确定性是否反映在公司债券收益率差中?来自中国公司债券市场的证据
本研究旨在利用2014年5月至2022年12月期间中国上市公司发行的公司债券的大量数据集,探讨碳价格不确定性对公司债券收益率息差的影响。研究发现,碳价格的不确定性提高了公司债券的收益率差。确定了碳价格不确定性影响公司债券收益率价差的两个经济渠道:信用风险和债券流动性。该研究的结果对于碳价格不确定性、收益率差、固定效应和替代样本的替代度量是稳健的。碳价格不确定性对债券收益率息差的影响在企业能源消耗较高、企业信息透明度较低以及碳交易监管政策发布的企业中更为明显。研究表明,碳价格的不确定性是企业债券定价的重要决定因素之一。
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来源期刊
CiteScore
10.30
自引率
9.80%
发文量
366
期刊介绍: The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.
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