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Vanishing anomaly or persisting force? Exploring the temporal variability of the green bond premium
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This study investigates the temporal variability of the green bond premium.
Employing a rigorous matching method and a fixed-effects panel regression model, no yield
differential between green and comparable conventional bonds of economic and statistical
significance could be evidenced. Whilst this finding is in line with traditional pricing theory, it
challenges prior greenium literature. Further exploration suggests a role of the green halo effect
on pricing dynamics, thereby broadening the greenium discourse to the possibility of issuer wide positive externalities resulting from green bond issuance as opposed to a theoretical
greenium capturing the entire pricing benefit of green bond issuance.
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Green bonds Green bond Ppremium Sustainable finance Impact investing Fixed income