Summary:
While Environmental, Social, and Governance (ESG) considerations have gained prominence in global financial markets, persistent information asymmetries continue to impede efficient ESG pricing, particularly in emerging bond markets where institutional infrastructure remains underdeveloped. Traditional ESG information channels—corporate disclosures, regulatory filings, and third-party ratings—often suffer from limited timeliness, reliability concerns, and strategic reporting biases. These limitations create substantial information gaps that may distort investment decisions, elevate financing costs, and hinder optimal capital allocation toward sustainable projects. Understanding the information transmission mechanisms of ESG, becomes crucial for enhancing market efficiency and advancing sustainable finance development. We investigate how media ESG reporting sentiment affects corporate bond risk premium through its information transmission role. Using 1,970 corporate bonds issued by 512 Chinese listed companies from 2009 to 2022, we analyze how media coverage shapes investor risk perception and bond pricing, distinguishing between fundamental risk changes and sentiment adjustments. We employ an innovative forward intensity approach developed by the Credit Research Initiative (CRI) to decompose credit spreads into default risk and excess risk premium components, providing more precise measurements than traditional approaches. Our empirical strategy addresses endogeneity concerns through an instrumental variable approach based on geographic proximity between firms and county-level integrated media centers. We find that positive media ESG sentiment significantly reduces bond credit spreads—a one standard deviation improvement corresponds to a 3.44% decrease in spreads relative to the sample mean. Importantly, spread decomposition reveals this effect operates primarily through the excess risk premium channel rather than fundamental default probability, indicating that media sentiment influences investor expectations and risk perceptions rather than directly altering firm fundamentals. Media ESG sentiment exerts stronger influence when traditional information intermediaries' function inadequately—specifically, when firms exhibit weak disclosure practices, limited analyst coverage, low institutional ownership, or poor audit quality. The effect intensifies during periods of heightened market uncertainty, including episodes of elevated economic policy uncertainty, concentrated credit market stress, frequent safety incidents, or deteriorating market confidence, when investors actively seek additional signals about firm stability. Further analysis reveals that positive media ESG sentiment enhances ESG-focused investors' asset allocation decisions, while consecutive negative media coverage significantly increases corporate credit spreads. This research contributes by introducing precise credit spread decomposition methods, developing a comprehensive information coordination framework, and demonstrating that media ESG sentiment influences bond pricing through investor expectations rather than fundamental risk changes. Our findings provide crucial policy implications for China's green finance development, suggesting that regulators should strengthen media's role in ESG information dissemination while encouraging companies to diversify disclosure channels beyond traditional periodic reporting. These findings underscore the need to integrate green finance policies with ESG frameworks, enabling effective alignment between ESG evaluation systems and green financial instruments to enhance sustainable capital allocation.
邓国营, 李欣媛, 颜镜洲, 邓启运. 媒体ESG报道情绪与公司债券风险溢价——基于信息传导视角的证据[J]. 金融研究, 2025, 539(5): 133-151.
DENG Guoying, LI Xinyuan, YAN Jingzhou, DENG Qiyun. Media ESG Reporting Sentiment and Corporate Bond Risk Premium: Evidence from an Information Transmission Perspective. Journal of Financial Research, 2025, 539(5): 133-151.
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