ESG and bond market resilience: Evidence from the Covid crisis
研究发现，新冠危机期间，高环境与社会评分企业的债券负CDS-债券基差扩张更小、抛售压力更低，这源于可持续基金的资金流出较少，而非基金经理的差别抛售。
We document a smaller expansion of the negative CDS-bond basis and lower selling pressure during the Covid crisis for bonds issued by firms with high environmental and social (E&S) scores, relative to bonds from low E&S firms. This pattern is consistent with lower investor outflows from sustainability focused funds rather than fund managers discriminating among which bonds to sell. Our results suggest that the relative performance of high and low E&S bonds during a crisis is influenced not only by shifts in firm fundamentals, but also by non-fundamental factors such as investor preferences and trading behaviour.