碳信息披露与债券信用利差

Carbon Information Disclosure and Bond Credit Spreads

碳信息披露是指发债企业将其温室气体排放情况、减排方案、执行情况以及与气候相关的风险和机会等相关信息向投资者进行披露的活动。企业作为社会的基本生产单位,有责任和义务进行高质量的碳信息披露,助力社会完成整体减排目标,协助中国实现“碳达峰”“碳中和”的承诺。但目前重点排污企业需依法依规公开其环境信息,而其他企业碳信息披露仍属于自愿披露,披露内容和披露方式都存在较大的差异。企业发债之前通过募集说明书向投资者传递信息,选取2009年至2019年中国发债企业作为研究样本,基于发债企业的募集说明书,采用机器学习的方法测量发债企业的碳信息披露,并按照发债企业环保表现区分样本,研究碳信息披露对债券信用利差的影响。采用不同碳信息披露的测量指标、控制遗漏变量、改变固定效应和采用外生冲击来缓解潜在的内生性问题。进一步分析上述影响的机制,并检验碳信息披露对发债企业绿色行为、财务绩效和环境绩效的影响。研究结果表明,首先,投资者对高碳企业和环保友好型企业披露的碳信息索要了不同的风险溢价。碳信息披露每增加1个标准差,高碳企业的债券融资成本平均提升约3.486%,而环保友好型企业的债券融资成本平均降低约4.862%。定价差异的原因是高碳企业被环保处罚的概率更大,而环保友好型企业的信息透明度更高。其次,投资者对碳信息解读的差异性在募集资金投向绿色项目、市场需要ESG时期以及“绿水青山就是金山银山”提出后更为显著。进一步研究发现,高碳企业披露碳信息主要是因为受到了环境规制。再次,融资成本的提升激发了高碳企业开展源头防治和末端治理的活动,融资成本的降低则促使环保友好型企业提高绿色创新。最后,环保友好型企业的绿色治理行为可以提升环境绩效和财务绩效,而高碳企业开展绿色治理行为带来的环境绩效则是以牺牲自身的财务绩效为代价。研究发现投资者将发债企业的碳信息披露纳入决策,这反过来又影响发债企业的后续表现,对于中国建设低碳经济、推进企业减排和制定碳监管政策具有借鉴意义;同时,也补充了非财务信息披露经济后果的实证证据,丰富了债券信用利差影响因素的相关研究。

Carbon disclosure is the activity whereby a bond issuer discloses to investors relevant information about its greenhouse gas emissions,emissions reduction programs and implementation,as well as climate-related risks and opportunities.As the basic production unit of society,firms have the responsibility and obligation to disclose high quality carbon information to help achieve society′s overall emission reduction targets and to realize their commitment to“Carbon Peak and Carbon Neutrality”.At present,polluting firms are required by law to disclose their environmental information,while other firms still disclose carbon information voluntarily.The content and format of carbon information disclosure varies considerably.Information is conveyed to investors through the prospectus before the issuance of bonds by issuers.We select a sample of Chinese bond issuers from 2009-2019,use a machine learning approach to measure the carbon information disclosure of issuers from the prospectus,and differentiate issuers according to their environmental performance to study the impact of carbon information disclosure on bond credit spreads.Potential endogeneity issues are then mitigated by using different measures of carbon disclosure,adding possible omitted variables,changing fixed effects,and using exogenous shocks,etc.The mechanisms of these effects are further analyzed.In the last,this study examines the effects of carbon information disclosure on the green behavior,financial performance,and environmental performance of issuers.First,carbon information disclosed by high carbon issuers and environmentally friendly issuers have different premiums in the bond market.1 standard deviation increase in carbon information disclosure increases the financing costs of high carbon issuers by 3.486%on average.Whereas 1 standard deviation increase in carbon information disclosure decreases the financing costs of environmentally friendly issuers by 4.862%on average.The difference in price is because high carbon issuers are more likely to face environmental fines,whilst environmentally friendly issuers have more transparent information.Second,the effects are more pronounced for the bonds investing in green projects,when the period that market needing ESG,and after proposing the lucid waters and lush mountains are invaluable assets.According to additional research,environmental regulations are the primary reason for issuers disclosing carbon information.Furthermore,we find that increasing financing costs encourages high carbon issuers to engage in source prevention and end-of-pipe treatment.Environmentally friendly issuers,on the other hand,primarily focus on green innovation and do not significantly improve end-of-pipe governance.Finally,we find that green governance practices of environmentally friendly issuers can improve both environmental and financial performance,while the environmental performance of high-carbon issuers carrying out green governance practices comes at the expense of their own financial performance.Our findings suggest that investors incorporate issuers′exposure to carbon information disclosure into their decisions and charge them a corresponding risk premium,which in turn influenced the subsequent behaviors of issuers.And it has implications for China′s efforts to build a low-carbon economy,promote corporate emissions reductions,and develop carbon regulatory legislation.The study also adds to the empirical evidence on the economic consequences of non-financial information disclosure and enriches the research related to the factors affecting bond credit spreads.