ESG performance and bond return volatility

This study examines the effects of environmental, social, and governance (ESG) performance on bond return volatility. After controlling for bond characteristics and firm fundamentals, we find a robust positive relationship between ESG performance and bond return volatility. The empirical results demonstrate that the impact on bond return volatility is primarily driven by ESG strengths rather than concerns. The results are robust to alternative measures, sample periods, and endogeneity controls. Furthermore, the effect of ESG performance is more pronounced for firms with opportunistic managers and poor information environments.

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Publication Details

Journal
Journal of Financial Stability
Published
2025-06-13
DOI
https://doi.org/10.1016/j.jfs.2025.101434
Citations
1
Primary Topic
Corporate Finance and Governance
Type
article
Field-Weighted Citation Impact
3.91
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article

ESG performance and bond return volatility

Ran Zhao, Trevor W. Chamberlain, Zehua Zhang, Lu Zhu
1 citations
Journal of Financial Stability
Corporate Finance and Governance
3.91
article

ESG performance and bond return volatility

Ran Zhao, Trevor W. Chamberlain, Zehua Zhang, Lu Zhu
article en
1 citations

Abstract

This study examines the effects of environmental, social, and governance (ESG) performance on bond return volatility. After controlling for bond characteristics and firm fundamentals, we find a robust positive relationship between ESG performance and bond return volatility. The empirical results demonstrate that the impact on bond return volatility is primarily driven by ESG strengths rather than concerns. The results are robust to alternative measures, sample periods, and endogeneity controls. Furthermore, the effect of ESG performance is more pronounced for firms with opportunistic managers and poor information environments.

Journal of Financial StabilityVol. 79
Hunan University (CN), San Diego State University (US), Hunan University of Finance and Economics (CN), California State University, Long Beach (US), McMaster University (CA)
Openalex Percentile: Top 8%
Corporate Finance and Governance
3.91
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