Corporate green bond is a novel sustainable finance instrument promising environmental risk neutrality impacts. Being a new area of research, the issue of environmental risk neutrality on green bond pricing remains new to industry practitioners and has been largely ignored in existing research. This research aims to advance this field by examining the impacts of environmental risk and controlling common risk factors in an asset pricing context of green bonds. This research analyses 135 corporate bonds issued by corporations from 12 countries representing both the developed and developing Asia markets, covering data from 2015 to 2019. The analysis performed using panel regression methods considering baseline and robustness analysis confirmed the impact of environmental risk neutrality on corporate green bond pricing (positive significant or positive insignificant or negative insignificant), in addition to bond’s common risk factors. This evidence supports the validity of green bonds as a sustainable finance instrument that could minimise environmental risk, offering dual benefits of financial returns and impact climate neutrality.