The Impact of Environmental Information Disclosure on the Credit Spread of Green Bonds: Empirical Evidence from China

The credit spread of green bonds—the “green premium”—fundamentally reflects the market’s monetary valuation of environmental benefits as a key financing instrument for green projects. This study constructs an environmental information disclosure (EID) quality index through content analysis and the entropy method to empirically examine EID’s impact on credit spreads in primary and secondary markets using data from China’s green bond market (2016–2023). The findings reveal that: (1) high-quality EID significantly reduces credit spreads; (2) environmental regulation can weaken the effect of EID in reducing credit spreads; (3) investor subscription willingness in the primary market and liquidity risk expectations in the secondary market mediate the relationship between EID and credit spreads; (4) heterogeneity analysis indicates that labeled green bonds, non-listed firms, and first-time issuers benefit more prominently from EID in lowering credit spreads; and (5) high-quality EID can also reduce the pricing discrepancy between the primary and secondary markets. The results have significant policy implications for improving the green bond market pricing efficiency and advancing sustainable finance.