An Empirical Study On The Impact Of ESG Scores On The Market Risk Of Corporate Bond

Since China announced the "double carbon" goal to the world in 2020,it has accelerated the green transformation of enterprises in the marketand,the ESG scoring system has developed rapidly.the role of ESG in screening investment targets and guiding the flow of funds has made it a key tool to solve the contradictions between enterprise environmental problems,governance level problems,social ethics problems and high-quality development in the new era.At present,the realization of low-carbon transformation still faces many challenges.Since the "dual carbon" goal was proposed,relevant institutions in China have successively issued documents to guide enterprises and investors to pay attention to ESG.At the same time,domestic research on ESG has become a hot issue.In the existing literature,scholars mostly analyze the impact of ESG on enterprise value improvement and financial risk reduction from the perspective of the stock market.Now,scholars have begun to pay attention to ESG research from the perspective of the bond market.This paper attempts to explore the impact of ESG score on the market price of bonds and the potential loss of investors,that is,to study the impact of ESG on the market risk of corporate bonds and the performance of its transmission mechanism.Specifically,this paper takes the corporate bonds of A-share listed companies in China from 2012 to 2020 as the research object.First,it matches the ESG score of the company with the corporate bonds,calculates the corporate bond market risk of each bond using the historical simulation method,and constructs a panel data model to study the impact of the ESG score on the corporate bond market risk.Finally,we further study the performance of the impact mechanism of ESG score on corporate bond market risk.This paper draws the following conclusions through theoretical analysis and empirical test: First,corporate bonds with high ESG scores have low bond market risk.Secondly,the impact of ESG score on the market risk of corporate bonds is not only more prominent in enterprises with large assets or non-industrial nature,but also more significant with the improvement of the intensity of ESG information disclosure by the government.It will also play a greater role in the environment of weak market competition and strong legal constraints.Finally,this paper selects two intermediary variables,debt financing cost and real earnings management,to verify the impact of ESG on corporate bond market risk from transaction cost and cash flow.Specifically,the study found that companies with high ESG scores can obtain lower debt financing costs to reduce corporate bond market risk,and that bond investors pay lower transaction costs;In addition,it is found that the long-term earnings obtained by enterprises due to high ESG scores make their cash flow more stable,resulting in lower degree of real earnings management.Government subsidies play a mediating role in this process.