Corporate Bond Market Reaction to the Mandatory ESG Disclosure Act: Is Sustainium Sustainable?
Corporate Bond Market Reaction to the Mandatory ESG Disclosure Act: Is Sustainium Sustainable?
이정화(School of Business and Technology Management, College of Business, Korea Advanced Institute of Science and Technology); 최대웅(School of Business, University of Washington); 최호용(School of Business and Technology Management, College of Business, Korea Advanced Institute of Science and Technology); 한승헌(School of Business and Technology Management, College of Business, Korea Advanced Institute of Science and Technology)
53권 5호, 596~625쪽
초록
We investigate the primary and secondary market reactions of US corporate bonds to the mandatory Environmental, Social, and Governance (ESG) Disclosure Act of 2021 (hereafter, the ESG Disclosure Act). We compare ESG bonds with non‐ESG bonds through a yield spread analysis for the primary market and a bond event study for the secondary market, assessing the impact on a sustainable premium (“sustainium”) following the enactment. Sustainium disappears from the primary market after the ESG Disclosure Act. Abnormal corporate bond returns in the secondary market are negative, and the impact on the sustainium is not economically different from zero. We also find that long‐term corporate bonds are more vulnerable to the ESG Disclosure Act. These findings indicate that investors should assess ESG bonds according to long‐term horizons if the sustainium is expected to persist.
Abstract
We investigate the primary and secondary market reactions of US corporate bonds to the mandatory Environmental, Social, and Governance (ESG) Disclosure Act of 2021 (hereafter, the ESG Disclosure Act). We compare ESG bonds with non‐ESG bonds through a yield spread analysis for the primary market and a bond event study for the secondary market, assessing the impact on a sustainable premium (“sustainium”) following the enactment. Sustainium disappears from the primary market after the ESG Disclosure Act. Abnormal corporate bond returns in the secondary market are negative, and the impact on the sustainium is not economically different from zero. We also find that long‐term corporate bonds are more vulnerable to the ESG Disclosure Act. These findings indicate that investors should assess ESG bonds according to long‐term horizons if the sustainium is expected to persist.
- 발행기관:
- 한국증권학회
- 분류:
- 경영학