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Dorfleitner, Gregor ; Utz, Sebastian ; Zhang, Rongxin

The pricing of green bonds: external reviews and the shades of green

Article

Dorfleitner, Gregor , Utz, Sebastian and Zhang, Rongxin (2021) The pricing of green bonds: external reviews and the shades of green. Review of Managerial Science 16, pp. 797-834.

DOI to cite this document: 10.5283/epub.45472


Abstract

We investigate the asset pricing implications of the greenness of bonds. To estimate a green-pricing effect, we determine the 'green bond premium' as the difference between the yields of matched conventional and green-labeled bonds. On a cross-sectional average, green bonds experience a statistically significant positive premium. This premium increases with external greenness evaluations, i.e., ...

We investigate the asset pricing implications of the greenness of bonds. To estimate a green-pricing effect, we determine the 'green bond premium' as the difference between the yields of matched conventional and green-labeled bonds. On a cross-sectional average, green bonds experience a statistically significant positive premium. This premium increases with external greenness evaluations, i.e., investors accept premiums of up to 5 basis points for bonds with a substantial environmental agenda. This external validation effect, which is strongest for bonds that are rated dark-green, may offset not incurring information costs, as this effect decreases with increasing age of bonds.



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Details

Item typeArticle
Journal or Publication TitleReview of Managerial Science
PublisherSPRINGER HEIDELBERG
Open Access TypeDEAL (Springer)
Place of PublicationHEIDELBERG
Volume16
Page Rangepp. 797-834
Date1 April 2021
Date of publication22 Apr 2021 08:08
InstitutionsBusiness, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner)
Identification Number
ValueType
10.1007/s11846-021-00458-9DOI
KeywordsGreen bond premium; External review; Second-party opinion; Shade of green; Climate finance; Impact investing
Dewey Decimal Classification300 Social sciences > 330 Economics
StatusPublished
RefereedYes, this version has been refereed
Created at the University of RegensburgYes
URN of the UB Regensburgurn:nbn:de:bvb:355-epub-454729
Item ID45472

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