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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 type | Article | ||||
| Journal or Publication Title | Review of Managerial Science | ||||
| Publisher | SPRINGER HEIDELBERG | ||||
| Open Access Type | DEAL (Springer) | ||||
| Place of Publication | HEIDELBERG | ||||
| Volume | 16 | ||||
| Page Range | pp. 797-834 | ||||
| Date | 1 April 2021 | ||||
| Date of publication | 22 Apr 2021 08:08 | ||||
| Institutions | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner) | ||||
| Identification Number |
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| Keywords | Green bond premium; External review; Second-party opinion; Shade of green; Climate finance; Impact investing | ||||
| Dewey Decimal Classification | 300 Social sciences > 330 Economics | ||||
| Status | Published | ||||
| Refereed | Yes, this version has been refereed | ||||
| Created at the University of Regensburg | Yes | ||||
| URN of the UB Regensburg | urn:nbn:de:bvb:355-epub-454729 | ||||
| Item ID | 45472 |
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