Does Climate Information Disclosure Affect Climate Risk Pricing in Bond Issuances?

ABSTRACT As global climate risk intensifies, capital markets, particularly bond markets, increasingly account for climate risk in asset pricing. Climate information disclosure, a key element of corporate environmental strategies and governance, plays a pivotal role in pricing climate risk in bonds. This study uses a sample of Chinese‐listed firms that issued corporate bonds from 2015 to 2021 to explore the role of climate information disclosure in bond pricing. The findings reveal that such disclosure heightens investors’ risk perceptions, amplifies the impact of climate risk on bond credit spreads, and increases the climate risk premium during bond issuance. It supports the “risk perspective”, suggesting that, as a form of risk information, climate information disclosure makes downside risk more salient to bond investors, rather than simply providing more information in a neutral manner. Further analysis indicates that high‐reputation underwriters mitigate this adverse effect by enhancing credibility, while limited media information availability exacerbates it. Additionally, refinancing risk and elevated climate risk levels intensify the adverse impact of climate information disclosure on bond pricing. These results offer policy implications for regulators to guide enterprises in developing robust climate and environmental strategies and governance frameworks for capital market risk management.