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The price of going green: the role of greenness in green bond markets
Author(s) -
Hyun Suk,
Park Donghyun,
Tian Shu
Publication year - 2020
Publication title -
accounting and finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.645
H-Index - 49
eISSN - 1467-629X
pISSN - 0810-5391
DOI - 10.1111/acfi.12515
Subject(s) - bond , bond market , yield (engineering) , market liquidity , financial economics , economics , bond valuation , econometrics , business , monetary economics , finance , materials science , metallurgy
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.