Salta alla navigazione principale Salta alla ricerca Salta al contenuto principale

Uncovering the greenium: investigating the yield spread between green nad conventional bonds

Risultato della ricerca: Contributo in rivistaArticolo

Abstract

Green bonds are an increasingly used instrument to catalyze cash flows towards a low-carbon economy. Nonetheless, the existence of an actual price advantage is still uncertain. This research paper aims to assess whether there is a green bond premium (“greenium”) for green bonds relative to conventional bonds with similar characteristics, and how liquidity may affect the determination of a price advantage. It analyzes the yield differentials between green and conventional bonds using three different methods. First, a Nelson-Siegel-Svensson method is executed, estimating the premium both as the yield spreads and as the differentials in Z-spreads. Using a matching method and creating a sample of green and synthetic conventional bonds, the second methodology consists in calculating the distances between each categories’ yield for the same duration. Finally, a fixed-effect regression is performed to better control the liquidity bias. In the first case, a positive premium emerges when analyzing the yield spreads (+37, 89 basis points) and the Z-spreads (+10.62 basis points). The second method mitigates the liquidity risk by creating a sample of synthetic bonds and reveals a yield spread of –15.89 basis points. Lastly, the regression method shows a negative greenium equal to –17,1487 basis points. Thus, a greenium emerges from all the three different methods, but its nature, sign, and real determinants are still uncertain. It is, therefore, not possible to conclude a definite price advantage for issuers of green bonds.
Lingua originaleInglese
pagine (da-a)1-14
Numero di pagine14
RivistaINVESTMENT MANAGEMENT & FINANCIAL INNOVATIONS
VolumeVolume 21, Issue 2, 2024
DOI
Stato di pubblicazionePubblicato - 2024

OSS delle Nazioni Unite

Questo processo contribuisce al raggiungimento dei seguenti obiettivi di sviluppo sostenibile

  1. SDG 8 - Lavoro dignitoso e crescita economica
    SDG 8 Lavoro dignitoso e crescita economica
  2. SDG 12 - Consumo e produzione responsabili
    SDG 12 Consumo e produzione responsabili

Keywords

  • Green bonds, yield spread, greenium, liquidity, matching, duration, regression

Fingerprint

Entra nei temi di ricerca di 'Uncovering the greenium: investigating the yield spread between green nad conventional bonds'. Insieme formano una fingerprint unica.

Cita questo