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.
Authors
- Ran Zhao (ORCID: https://orcid.org/0000-0001-8502-0024)
- Trevor W. Chamberlain (ORCID: https://orcid.org/0000-0002-3429-2457)
- Zehua Zhang (ORCID: https://orcid.org/0000-0003-0053-6107)
- Lu Zhu (ORCID: https://orcid.org/0000-0001-5428-6559)
Institutions
- Hunan University (CN)
- San Diego State University (US)
- Hunan University of Finance and Economics (CN)
- California State University, Long Beach (US)
- McMaster University (CA)
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