Pricing of sustainability-linked bonds

• 成果类型: Article
• 署名作者: Feldhutter, Peter; Halskov, Kristoffer; Krebbers, Arthur
• 署名单位: Copenhagen Business School; Copenhagen Business School; University of Strathclyde
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2024.103944
• 发表日期: 2024
• 关键词: esg; Sustainability-linked bond; Corporate bonds; Step-up coupon; Sustainium

摘要

We examine the pricing of sustainability-linked bonds (SLBs), where the cash flows depend on the bond issuer achieving one or more Environmental, Social and Governance (ESG) goals. Investors are willing to accept a 1-2bps lower yield due to the bond's ESG label, providing evidence of investors caring about environmental impact. Furthermore, we find the average probability of missing the target is 14%-39% so firms set ESG targets that are easy to reach. We find that the SLB market is efficient: the prices of SLBs depend strongly on the size of the potential penalty and there is no evidence of mispricing. Finally, our results suggest that SLBs serve as financial hedges against ESG risk.