Pricing of sustainability-linked bonds
研究了可持续发展挂钩债券的定价，发现投资者因ESG标签接受1-2个基点的较低收益率，且企业设定的ESG目标平均有14%-39%的失败概率，表明市场有效且债券可对冲ESG风险。
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.