Green bonds: shades of green and brown

Moritz Immel, Britta Hachenberg, Florian Kiesel () and Dirk Schiereck
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Moritz Immel: Technical University of Darmstadt
Britta Hachenberg: Technische Hochschule Köln
Florian Kiesel: Grenoble Ecole de Management
Dirk Schiereck: Technical University of Darmstadt

Journal of Asset Management, 2021, vol. 22, issue 2, No 3, 96-109

Abstract: Abstract We analyse the existence of a green bond premium and find a negative premium of 8 to 14 basis points. We are further interested in the influence of ESG ratings on green bonds to determine if investors differentiate between the shade of green. Examining a unique dataset of green bonds, we find a statistically significant influence of ESG ratings on bond spreads. A one-point increase in the weighted average ESG score leads to a decrease in the spread of 6 to 13 basis points. Interestingly, the results are not driven by the environmental friendliness of the green bond issuer, but through the company’s governance.

Keywords: Green bonds; ESG ratings; Green bond premium; Governance (search for similar items in EconPapers)
JEL-codes: G12 M14 Q50 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (16)

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DOI: 10.1057/s41260-020-00192-z

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