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How do a company’s ESG scores affect their GSS+ bond yield to maturity?
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This paper investigates the impact of Environmental, Social, and Governance (ESG)
scores on the yield to maturity (YTM) of Green, Social, Sustainable, and Other Labelled (GSS+)
bonds issued by companies in the S&P 500 index. Using a multi-linear regression model, the
study reveals a statistically significant but negligible relationship between ESG scores and
GSS+ bond YTMs. The findings suggest that investors may not consider ESG scores when
making investment decisions, pointing to a lack of value attributed to these scores. Additionally,
the paper explores the effects of other variables, such as principal currency and ESG bond type,
on bond yields, highlighting the need for further research in this evolving field
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ESG scores Green bonds Sustainable finance Corporate sustainability