The impact of liquidity risk on the yield spread of green bonds

Wulandari Febi, Dorothea Schäfer, Andreas Stephan and Chen Sun
Authors registered in the RePEc Author Service: Febi Jensen (Wulandari) ()

Finance Research Letters, 2018, vol. 27, issue C, 53-59

Abstract: This study analyses how liquidity risk affects bonds’ yield spreads after controlling for credit risk, bond-specific characteristics and macroeconomic variables. Using two liquidity estimates, LOT liquidity and the bid-ask spread, we find that, in particular, the LOT liquidity measure has explanatory power for the yield spread of green bonds. Overall, however, the impact of LOT decreases over time, implying that, nowadays liquidity risk is negligible for green bonds.

Keywords: Green bond; Liquidity risk; Yield spread; Sustainable investment; Fixed income security; Financial innovation (search for similar items in EconPapers)
JEL-codes: G12 G32 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (109)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:27:y:2018:i:c:p:53-59

DOI: 10.1016/j.frl.2018.02.025

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