Is There a Green Bond Premium? The Yield Differential Between Green and Conventional Bonds

In this paper, we examine the yield premium of green bonds. We use a matching method, followed by a two-step regression procedure, to estimate the yield differential between a green bond and an otherwise identical synthetic conventional bond from July 2013 to December 2017. The results suggest a small negative premium: the yield of a green bond is lower than that of a conventional bond. On average, the premium is -2 basis points for the entire sample as well as for EUR and USD bonds separately. We show that the main determinants of the premium are the rating and the issuer type: the negative premia are more pronounced for financial and low-rated bonds

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Year of publication:	2019
Authors:	Zerbib, Olivier David
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Anleihe \| Bond \| Zinsstruktur \| Yield curve \| Risikoprämie \| Risk premium \| Theorie \| Theory \| Nachhaltige Kapitalanlage \| Sustainable investment \| Öffentliche Anleihe \| Public bond

Extent:	1 Online-Ressource (67 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Published in the Journal of Banking and Finance, Vol. 98 (p. 39-60), 2019, as "The effect of pro-environmental preferences on bond prices: Evidence from green bonds" Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 25, 2016 erstellt
Other identifiers:	10.2139/ssrn.2889690 [DOI]
Classification:	C23 - Models with Panel Data ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; G20 - Financial Institutions and Services. General ; Q56 - Environment and Development; Environment and Trade; Sustainability; Environmental Accounting
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012902507