Keywords
Environmental risk factors
Pricing model
ESG scoring
Submitted : 2025-08-13
Accepted : 2025-08-28
Published : 2025-09-12
Abstract
Amid the global shift toward climate governance and low-carbon transformation, accurately quantifying environmental risk factors within green bond pricing mechanisms has emerged as a critical issue. Drawing on data from China’s green bond market between 2018 and 2023, this study develops a multifactor pricing model that integrates environmental risk premiums. Through regression analysis, it empirically investigates the effects of environmental reputation, transparency of information disclosure, and third-party certification on bond risk premiums. The results indicate that green-labeled bonds carry, on average, a 42.6 basis point lower risk premium compared to non-green bonds, while third-party certification further reduces this premium by an additional 54.1 basis points. Moreover, a one standard deviation improvement in the quality of environmental information disclosure leads to a reduction in bond financing costs by approximately 18 to 25 basis points. Issuers operating in high-energy-consuming industries bear significantly higher environmental risk premiums relative to those in low-energy-consuming sectors. By integrating an ESG scoring framework into bond pricing, this study reveals the transmission channels of environmental risks into market pricing and provides a theoretical foundation for enhancing pricing benchmarks in the green bond market.
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