近年來極端天氣事件頻傳，造成人員傷亡以及各國重大經濟損失，因此投資人如何對日漸增長的氣候風險進行定價，成為許多學者關注的焦點。由於針對氣候風險與金融市場關聯的研究較為匱乏，因此本文旨在研究氣候風險是否會對公司債市場主要參與者提供資訊效果，進而影響公司債利率定價，發現氣候風險與公司債票面利率確實存在顯著正相關。本文也研究ESG評分對於兩者是否存在調節效果，發現公司環境與治理績效越佳能減弱氣候風險對公司債利率的影響，為公司內部管理階層說明氣候變遷風險帶來之衝擊，以及ESG績效在公司面對企業氣候風險時的重要性，鼓勵企業持續在環境、社會與治理層面維持良好的表現，善盡社會責任與環境永續的理念。本文以美國2010年至2023年的公司債樣本為研究對象，氣候風險資料使用National Oceanic and Atmospheric Administration (NOAA) 於2009年至2022年發佈的美國Regional Climate Extremes Index(RCEI)作為氣候風險的衡量指標。

This study investigates the impact of climate risk on corporate bond coupon rates and the role of environmental performance in mitigating these effects. In recent years, the frequency of extreme weather events has increased, resulting in casualties and significant economic losses worldwide. Consequently, how investors price the growing climate risk has garnered considerable attention from scholars. Due to the relative paucity of research on the relationship between climate risk and financial markets, this study aims to examine whether climate risk influences the information effect for major participants in the corporate bond market, thereby affecting corporate bond coupon rate pricing.
The findings reveal a significant positive correlation between climate risk and corporate bond coupon rates. Additionally, this study explores the moderating effect of ESG ratings on these effects, discovering that superior environmental and governance performance can attenuate the impact of climate risk on corporate bond coupon rates. These findings underscore the importance for corporate management to comprehend the impacts of climate change risk and the critical role of ESG performance in mitigating corporate climate risk impacts. This research encourages companies to continuously maintain strong performance in environmental, social, and governance aspects, thereby fulfilling their social responsibilities and commitment to environmental sustainability.
This study utilizes a sample of U.S. corporate bonds from 2010 to 2023, and company financial information from the Compustat on S&P Capital IQ database. Climate risk is measured using the U.S. Regional Climate Extremes Index (RCEI) published by the National Oceanic and Atmospheric Administration (NOAA) from 2009 to 2022.

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