The price of going green: the role of greenness in green bond markets

Suk Hyun · Donghyun Park · Shu Tian

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Sustainable Finance and Green Bonds Financial Markets and Investment Strategies Credit Risk and Financial Regulations

Abstract

Abstract In this paper, we empirically investigate how greenness information is priced in the green bond market. Our comparison of liquidity‐adjusted yield premiums of green bonds versus synthetic conventional bonds indicates that, on average, there is no robust and significant yield premium or discount on green bonds. However, green bonds certified by an external reviewer enjoy a discount of about 6 bps. Furthermore, green bonds that obtain a Climate Bonds Initiative certificate show a discount of around 15 bps. The findings suggest that a universally accepted greenness measure can benefit the development of the green bond market.

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References

2018The effect of pro-environmental preferences on bond prices: Evidence from green bonds 2011Evidence of assurance enhancing the quality of voluntary environmental disclosures: an empirical analysis 2017Green bond finance and certification 2017Women on boards and greenhouse gas emission disclosures

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