Liquidity risk and yield spreads of green bonds
Dorothea Schäfer (),
Andreas Stephan () and
Additional contact information
Febi Wulandaria: Jönköping International Business School, Postal: Jönköping International Business School, Jönköping, Sweden
Chen Sun: CERBE
Authors registered in the RePEc Author Service: Febi Jensen (Wulandari) ()
No 305, Ratio Working Papers from The Ratio Institute
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)
Pages: 23 pages
New Economics Papers: this item is included in nep-ene and nep-env
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Working Paper: Liquidity Risk and Yield Spreads of Green Bonds (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:ratioi:0305
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