Climate Change News Risk and Corporate Bond Returns
研究发现，公司债券对气候变化新闻的敏感度越高，未来收益越低，表明投资者愿意为能对冲气候风险的债券支付更高价格，且市场关注气候风险时，环境绩效好的企业债券更受青睐。
Abstract We examine whether climate change news risk is priced in corporate bonds. We estimate bond covariance with a climate change news index and find that bonds with a higher climate change news beta earn lower future returns, consistent with the asset pricing implications of demand for bonds with high potential to hedge against climate risk. Moreover, when investors are concerned about climate risk, they are willing to pay higher prices for bonds issued by firms with better environmental performance. Our findings suggest that corporate policies aimed at improving environmental performance pay off when the market is concerned about climate change risk.