Determinants of Sustainable Corporate Bond Yields: The Impact of Macroeconomics and the Moderating Role of ESG on Company Fundamental Factors

The development of sustainable corporate bonds in Indonesia has shown significant growth alongside the integration of Environmental, Social, and Governance (ESG) principles into corporate financing practices. However, the yield formation mechanism of these instruments remains influenced by firm-specific fundamentals and macroeconomic conditions that have not been fully examined empirically within the context of an emerging market. This study aims to analyze the effects of liquidity (CR), profitability (ROE), solvency (DER), bond ratings, inflation, and interest rates on the yield of sustainable corporate bonds, while also examining the moderating role of ESG. The research adopts a quantitative causal approach using secondary data for the 2023–2024 period, with 82 observations selected through purposive sampling. The analysis employs Moderated Regression Analysis (MRA) to test both direct effects and ESG interaction effects. The findings indicate that bond ratings and interest rates have a significant impact on yield, while inflation is significant at the 10 percent level. Liquidity and profitability do not exhibit a direct effect on yield. Furthermore, ESG is found to moderate the relationship between profitability and bond ratings on yield, suggesting that sustainability factors can strengthen or alter the influence of certain fundamental variables on bond returns. The study contributes theoretically by integrating traditional financial models with sustainable finance through an ESG moderation framework and offers practical implications for investors, issuers, and regulators in developing more comprehensive and sustainability-based yield valuation models.