Greenium, credit rating, and the COVID-19 pandemic

Emre Arat, Britta Hachenberg, Florian Kiesel () and Dirk Schiereck
Additional contact information
Emre Arat: Technical University of Darmstadt
Britta Hachenberg: Technische Hochschule Köln
Florian Kiesel: Free University of Bozen-Bolzano
Dirk Schiereck: Technical University of Darmstadt

Journal of Asset Management, 2023, vol. 24, issue 7, No 4, 547-557

Abstract: Abstract We analyze green and conventional bonds during regular market periods and within times of extreme volatility, the COVID-19 pandemic. We find a negative premium (greenium) of 1.6 bp before the outbreak of COVID-19, but during the times of extreme market stress, this greenium widens to 3.5 bp as our results show a significant outperformance of green bonds. The results indicate that green bonds are more resilient during risk-off periods than non-green bonds. In addition, the greenium effect is moderated by the issuer's country environmental performance as the greenium is more pronounced for issuers from non-green countries prior to COVID-19. We do not find differences between green and non-green countries since COVID-19.

Keywords: Green bonds; Green bond premium; COVID-19; Credit rating; Crisis (search for similar items in EconPapers)
JEL-codes: G12 M14 Q50 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://link.springer.com/10.1057/s41260-023-00320-5 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:assmgt:v:24:y:2023:i:7:d:10.1057_s41260-023-00320-5

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/41260

DOI: 10.1057/s41260-023-00320-5

Access Statistics for this article

Journal of Asset Management is currently edited by Marielle de Jong and Dan diBartolomeo

More articles in Journal of Asset Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().