An Empirical Analysis of Pricing Determinants in China’s Green Bond Market: A Study on Risk Mitigation Effects Through Certification Signals, Rating Analysis, and Disclosure Quality

Abstract

Green bonds, as an innovative financial instrument, are characterized by the earmarking of funds for low-carbon environmental protection, climate adaptation, and other green projects, thereby integrating environmental benefits with economic returns. Compared to conventional bonds, the "green attribute" of green bonds enables investors to pay a premium for environmental value creation. However, existing academic research on green bond pricing primarily focuses on policy effect evaluations or market size measurements, lacking micro-level analyses of the mechanisms through which risk mitigation factors influence pricing. Prior studies have demonstrated that third-party green certification alleviates information asymmetry via signaling effects, corporate ESG ratings integrate environmental, social, and governance risks into dynamic risk assessment frameworks, and environmental information disclosure quality enhances market transparency. Nevertheless, the synergistic impact of these three dimensions on green bond pricing remains unexplored. Drawing on Asymmetric Information Theory, Credit Risk Theory, and Signaling Theory, this study innovatively constructs a multi-dimensional analytical framework to examine the risk mitigation mechanisms in green bond pricing. Specifically, it investigates the sequential roles of compliance-driven assurance (third-party green certification), comprehensive risk quantification (corporate ESG ratings), and transparency enhancement (environmental information disclosure quality Score). Considering 2017 as the pivotal year marking the deepening of China's green financial system construction, the research employs a multiple linear regression model using green bond data from Wind Database (2017–2024) to conduct empirical tests across three dimensions. Results indicate that third-party certification significantly reduces financing costs by mitigating information asymmetry, with its credibility effects particularly pronounced in publicly offered bonds and non-listed enterprises. Corporate ESG ratings demonstrate superior explanatory power by integrating ESG risks into a dynamic pricing benchmark, outperforming single-dimensional certifications. Environmental information disclosure quality emerges as a critical determinant, directly lowering investor risk premiums through enhanced transparency. Furthermore, the study reveals the moderating effects of issuance methods and issuer characteristics on risk mitigation efficacy, offering theoretical insights for optimizing green financial policies and corporate financing strategies.