摘要
本文以媒体对公司环境、社会和治理(ESG)实践的报道为切入点,基于2009—2022年中国上市公司债券样本,采用远期密度模型对信用利差进行分解,系统考察报道情绪如何影响公司债券风险溢价。研究发现,积极的媒体ESG报道情绪主要通过缓解投资者风险感知,进而降低超额风险溢价的方式发挥作用,而非直接改变公司基本面违约风险。该影响具有显著的条件依赖性:当公司信息披露质量较差、分析师覆盖不足、机构持股比例较低或审计质量欠佳时,媒体ESG报道情绪发挥更强的信息协同作用;当经济政策不确定性上升、信用风险集中暴露、重大安全生产事故频发以及市场信心低迷时,其预期修正效应更为显著。进一步分析表明,积极的媒体情绪能够显著增强ESG偏好投资者的资产配置意愿,而负面报道的持续积累则会推高风险溢价。本文为理解媒体在债券市场ESG信息传导中的作用提供了新视角,对完善我国绿色金融体系建设具有一定启示。
While Environmental,Social,and Governance(ESG)considerations have gained prominence in global financial markets,persistent information asymmetries continue to impede efficient ESG pricing,particularly in emerging bond markets where institutional infrastructure remains underdeveloped.Traditional ESG information channels—corporate disclosures,regulatory filings,and third-party ratings—often suffer from limited timeliness,reliability concerns,and strategic reporting biases.These limitations create substantial information gaps that may distort investment decisions,elevate financing costs,and hinder optimal capital allocation toward sustainable projects.Understanding the information transmission mechanisms of ESG,becomes crucial for enhancing market efficiency and advancing sustainable finance development.We investigate how media ESG reporting sentiment affects corporate bond risk premium through its information transmission role.Using 1,970 corporate bonds issued by 512 Chinese listed companies from 2009 to 2022,we analyze how media coverage shapes investor risk perception and bond pricing,distinguishing between fundamental risk changes and sentiment adjustments.We employ an innovative forward intensity approach developed by the Credit Research Initiative(CRI)to decompose credit spreads into default risk and excess risk premium components,providing more precise measurements than traditional approaches.Our empirical strategy addresses endogeneity concerns through an instrumental variable approach based on geographic proximity between firms and county-level integrated media centers.We find that positive media ESG sentiment significantly reduces bond credit spreads—a one standard deviation improvement corresponds to a 3.44%decrease in spreads relative to the sample mean.Importantly,spread decomposition reveals this effect operates primarily through the excess risk premium channel rather than fundamental default probability,indicating that media sentiment influences investor expectations and risk perceptions rather than directly altering firm fundamentals.Media ESG sentiment exerts stronger influence when traditional information intermediaries'function inadequately—specifically,when firms exhibit weak disclosure practices,limited analyst coverage,low institutional ownership,or poor audit quality.The effect intensifies during periods of heightened market uncertainty,including episodes of elevated economic policy uncertainty,concentrated credit market stress,frequent safety incidents,or deteriorating market confidence,when investors actively seek additional signals about firm stability.Further analysis reveals that positive media ESG sentiment enhances ESG-focused investors'asset allocation decisions,while consecutive negative media coverage significantly increases corporate credit spreads.This research contributes by introducing precise credit spread decomposition methods,developing a comprehensive information coordination framework,and demonstrating that media ESG sentiment influences bond pricing through investor expectations rather than fundamental risk changes.Our findings provide crucial policy implications for China's green finance development,suggesting that regulators should strengthen media's role in ESG information dissemination while encouraging companies to diversify disclosure channels beyond traditional periodic reporting.These findings underscore the need to integrate green finance policies with ESG frameworks,enabling effective alignment between ESG evaluation systems and green financial instruments to enhance sustainable capital allocation.
作者
邓国营
李欣媛
颜镜洲
邓启运
DENG Guoying;LI Xinyuan;YAN Jingzhou;DENG Qiyun(School of Economics,Sichuan University)
出处
《金融研究》
北大核心
2025年第5期133-151,共19页
Journal of Financial Research
基金
国家社会科学基金重大项目(23ZDA024)的资助。
