The green bond premium: Evidence from a multiverse analysis

Michael Tobias Bauckloh and Paula Kirsch

No 26-06, CFR Working Papers from University of Cologne, Centre for Financial Research (CFR)

Abstract: We study the green bond premium, defined as the yield differential between green and matched conventional bonds in the secondary market. Existing estimates vary widely, raising questions about their robustness. We address this by estimating the premium across more than 500,000 empirical designs spanning common sample and methodological choices. In this multiverse setting, the average premium is -2.59 basis points. It varies systematically with sample composition, with more negative values for municipal bonds, and becomes more negative during periods of heightened climate attention. Finally, we investigate which choices drive variation in premium estimates. We find that it is driven primarily by issuer type and matching choices, while other choices, such as liquidity adjustment, contribute little to overall variation.

JEL-codes: C52 G11 G12 Q54 (search for similar items in EconPapers)
Date: 2026
New Economics Papers: this item is included in nep-fmk
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cfrwps:340841

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