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.本数据集旨在探究ESG(Environmental, Social, Governance)新闻情绪对绿色债券信用利差的影响。其样本覆盖2016至2023年间中国A股上市公司发行的绿色债券，整合了ESG新闻情绪指标与债券信用利差信息。本次实证分析采用双向固定效应模型，且依托所提供的Stata代码与操作流程，可完整复现该研究的全部结果。本数据集为理解ESG新闻情绪作为软信息在绿色债券定价中的作用提供了系统性支撑，同时可为未来绿色金融与ESG披露相关研究提供极具价值的参考。