法成令修:新《环保法》对债券定价的影响研究

摘要/Abstract

摘要： 本文将环境规制效应延伸到债券市场,以新《环保法》的实施作为准自然实验,采用双重差分法考察环境规制对企业债券信用利差的影响。研究发现,新《环保法》的实施能够显著提高重污染企业债券信用利差。将债券信用利差分解为流动性利差和违约利差之后发现,新《环保法》的实施显著提高了债券违约利差,对流动性利差未产生显著影响。机制检验表明,新《环保法》的实施对债券信用利差的提升作用主要通过处罚效应、投资者情绪效应以及资源效应来实现。异质性分析发现,新《环保法》的实施对债券信用利差的作用会随着客户集中度的降低、社会关注度的提高以及企业积极改善自身环境绩效而减弱。本文的研究对评估新《环保法》的经济效果,推动政策进一步精准发力,实现经济绿色转型具有一定的参考意义。

关键词: 环境规制, 新《环保法》, 信用利差, 准自然实验

Abstract: This paper extends the effect of environmental regulation to the bond market, using the implementation of the new Environmental Protection Law as a quasi-natural experiment, and employing the difference-in-difference method to examine the impact of environmental regulation on the credit spreads of corporate bonds. The findings of the study are as follows: (1)The implementation of the new Environmental Protection Law can significantly increase the credit spreads in the secondary market of bonds of heavily-polluting enterprises, and the conclusion still holds after a series of robustness tests. After decomposing bond credit spreads into liquidity spreads and default spreads, this paper finds that the implementation of the new Environmental Protection Law significantly improves bond default spreads and does not have a significant impact on liquidity spreads. (2)The mechanism test shows that the new Environmental Protection Law's effect on bond credit spreads is mainly realised through the penalty effect, the investor sentiment effect and the resource effect. (3)Further analysis reveals that the effect of the new Environmental Protection Law on bond credit spreads will diminish with the reduction of customer concentration, the increase of social concern, and the active improvement of enterprises' own environmental performance. The research in this paper is of some reference significance in assessing the economic effects of the new Environmental Protection Law, promoting further policy precision and realising the green transformation of the economy.

Key words: Environmental Regulation, New Environmental Protection Law, Credit Spreads, Quasi-Natural Experiments

中图分类号:

F832
X196

王倩, 边浩东, 魏远国. 法成令修:新《环保法》对债券定价的影响研究[J]. 财经论丛, 2024, 40(11): 69-79.

WANG Qian, BIAN Haodong, WEI Yuanguo. Effective Regulation of the Law:A Study of the Impact of the New Environmental Protection Law on Bond Pricing[J]. Collected Essays on Finance and Economics, 2024, 40(11): 69-79.

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