This study tests whether ESG bond pricing advantages during geopolitical crises reflect investor clientele effects (sticky capital) or issuer selection (composition). Using difference-in-differences analysis on 17,174 U.S. corporate bond observations (234 ESG, 16,940 conventional) during the Russia-Ukraine war (November 2021-January 2025), we implement four nested identification strategies. Cross-sectional estimates suggest modest ESG resilience (-17.09 bp), consistent with inconclusive “greenium” literature. However, same-issuer fixed-effects comparing ESG and conventional bonds from identical firms remove this advantage entirely (+2.463 bp), implying firm selection, not labelling, drives observed patterns. Propensity score matching on pre-war rating, maturity, and sector (N = 10,800) confirms robustness (-18.25 bp). Moderation tests show high-quality ESG issuers receive no crisis premium (-19.21 bp), contradicting investor-preference theories. Sector stratification shows financial ESG bonds underperformed (+47 bp), implying composition effects dominate. These findings clarify that ESG disclosure creates information-based market segmentation conditional on issuer characteristics and sector exposure, not universal investor preferences. Regulators should justify disclosure mandates on transparency and comparability grounds enabling efficient price discovery, rather than expectations of crisis-resilience premiums. For Asia-Pacific policymakers developing ISSB-aligned taxonomies, our evidence that long-maturity resilience reflects issuer selection (+2.46 bp) rather than investor commitment supports mandatory disclosure on information-quality grounds.