ESG Thematic Bonds in Emerging Markets: Risk, Uncertainty, and Ambiguity
研究了风险厌恶、模糊性和不确定性（地缘政治与经济）对新兴国家ESG主题债券市场的影响，发现风险厌恶和经济不确定性会显著降低ESG主权和企业债券回报，而模糊性则产生正面影响。
ABSTRACT We examine the impact of risk aversion, ambiguity, and uncertainty (geopolitical and economic) on the ESG thematic bond markets in emerging countries. We analyze ESG sovereign (both USD and local currency denominated) and corporate bond markets on the aggregate and regional levels. Increasing levels of risk aversion and economic uncertainty are associated with significant declines in both ESG thematic sovereign and corporate emerging bond returns. On the contrary, ambiguity exhibits a positive impact on bond market returns. Finally, geopolitical risk shows a significant negative relationship only in certain regions. The comparison between ESG and non‐ESG emerging market bonds reveals that uncertainty sources are generally reflected in bond returns in the same way, regardless of the ESG nature of the bonds.