ESG Performance and Corporate Bond Volatility

42 Pages Posted: 19 Jul 2023

See all articles by Trevor W. Chamberlain

Trevor W. Chamberlain

McMaster University - Finance & Business Economics

Zehua Zhang

Hunan University

Ran Zhao

San Diego State University

Lu Zhu

affiliation not provided to SSRN

Abstract

This study examines the effects of environmental, social, and governance (ESG) performance on bond volatility. After controlling for bond characteristics and firm fundamentals, we find a robust positive relationship between ESG performance and bond volatility. The empirical results demonstrate that the impact on bond volatility is primarily driven by ESG strengths rather than concerns. Additionally, the increase in bond volatility is concentrated among short-term bonds. The results are robust to alternative measures, sample periods, and endogeneity controls. Furthermore, the effect of ESG performance is more pronounced for firms with higher managerial risk-taking and poor information environments.

Keywords: G10, G12, G30, G32, M14

Suggested Citation

Chamberlain, Trevor W. and Zhang, Zehua and Zhao, Ran and Zhu, Lu, ESG Performance and Corporate Bond Volatility. Available at SSRN: https://ssrn.com/abstract=4515442 or http://dx.doi.org/10.2139/ssrn.4515442

Trevor W. Chamberlain

McMaster University - Finance & Business Economics ( email )

School of Business
1280 Main St. W.
Hamilton, ON L8S 4M4
Canada

Zehua Zhang (Contact Author)

Hunan University ( email )

Lushan Road, Yuelu District
Changsha, Hunan
China

Ran Zhao

San Diego State University ( email )

San Diego, CA 92182-0763
United States

Lu Zhu

affiliation not provided to SSRN

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