ESG Performance and Corporate Bond Volatility.

This article examines the relationship between corporate social responsibility (CSR) activities and bond return volatility. While previous research has focused on the impact of CSR on equity markets and stockholders, there is limited research on its effect on debt markets and bondholders. The study finds a strong positive relationship between corporate social performance and bond return volatility. The impact of CSR strengths and concerns on bond return volatility is also examined, with CSR strengths having a greater effect. Additionally, the study finds that CSR spending is associated with higher tax avoidance and managerial risk-taking, which further increases bond return volatility. Overall, the findings suggest that a firm's social engagement increases the risk associated with its bonds, potentially leading to higher return volatility. [Extracted from the article]