Using a firm’s geographic footprint to measure its exposure to sea level rise (SLR), I find that corporate bonds bear a climate risk premium upon issuance. A one standard deviation increase in firms’ SLR exposure is associated with a 7 basis point premium, representing a 3% increase in average yield spread. This effect is more pronounced for geographically concentrated firms, within industries vulnerable to extreme weather conditions, and after the Paris Agreement. I do not find evidence that credit rating agencies account for SLR exposure at bond issuance. Results are robust to placebo tests and inverse propensity weighting to address possible endogeneity.

使用公司的地理足迹来衡量其对海平面上升 (SLR) 的敞口，我发现公司债券在发行时承担气候风险溢价。公司的 SLR 敞口增加一个标准差与 7 个基点的溢价相关，代表平均收益率差增加 3%。这种影响对于地理上集中的公司、易受极端天气条件影响的行业以及《巴黎协定》之后更为明显。我没有找到信用评级机构在债券发行时考虑 SLR 敞口的证据。结果对安慰剂测试和逆向倾向加权是稳健的，以解决可能的内生性问题。