The price of being green

Christian Koziol, Juliane Proelss, Philipp Roßmann and Denis Schweizer

Finance Research Letters, 2022, vol. 50, issue C

Abstract: This paper analyzes the funding advantage of green bonds and the determinants of what is referred to as the “greenium” (the “green” premium). To this end, we first separate the greenium from a simultaneously prevailing liquidity premium in empirical yield spreads. For green German government bonds, we determine a greenium of 68.0 to 81.2 basis points. Further panel regressions provide evidence that the greenium benefits from environmental awareness (such as daily aggregated green bond volume, Google search volume, and CO2 allowance prices) and a higher yield to maturity. But it suffers from higher market uncertainty as measured by the marketwide credit spread.

Keywords: ESG; Green bond; Greenium; Sustainability (search for similar items in EconPapers)
JEL-codes: G12 G18 K22 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004688

DOI: 10.1016/j.frl.2022.103285

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