How environmental, social, and governance (ESG) news sentiment affects green bond credit spreads ? Evidence from China

This dataset is designed to investigate the impact of ESG news sentiment on green bond credit spreads. It covers green bonds issued by Chinese A-share listed firms from 2016 to 2023, combining ESG news sentiment indicators with bond credit spread information. The empirical analysis employs a two-way fixed effects model, and the results can be fully replicated using the Stata codes and procedures provided. This dataset provides systematic support for understanding the role of ESG news sentiment as soft information in green bond pricing and offers a valuable reference for future research on green finance and ESG disclosure.