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ESG report tone and bond spreads

Author

Listed:
  • Zou, Jin
  • Gao, Li
  • Yan, Jingzhou
  • Liu, Yuan

Abstract

As global attention to sustainable development increases, the short-term market shocks associated with corporate ESG report information remain underexplored and warrant further attention. This paper develops a theoretical model and empirically examines the impact of ESG report tone on bond spreads using data from China’s credit bond market between 2008 and 2022. The results show that negative tones in ESG reports significantly widen bond spreads, reflecting the market’s sensitivity to management’s risk attitude. Further analysis reveals that the effect of negative tones is more pronounced when report quality is higher and market attention is greater. Additionally, long-term performance indicators, such as high ESG ratings and audit quality, help mitigate the short-term shocks caused by negative tones, while the effect of tone is amplified in a negative public sentiment environment. This study offers new insights into how corporate ESG information influences capital market pricing and provides policy recommendations for companies to optimize ESG risk management and enhance their disclosure frameworks.

Suggested Citation

  • Zou, Jin & Gao, Li & Yan, Jingzhou & Liu, Yuan, 2025. "ESG report tone and bond spreads," Energy Economics, Elsevier, vol. 152(C).
    • Handle: RePEc:eee:eneeco:v:152:y:2025:i:c:s0140988325007820
    DOI: 10.1016/j.eneco.2025.108955
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    Keywords

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    JEL classification:

    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • M14 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility

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