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Liquidity risk and yield spreads of green bonds

Febi Wulandaria, Dorothea Schäfer (), Andreas Stephan () and Chen Sun
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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

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)
Pages: 23 pages
Date: 2018-01-17
New Economics Papers: this item is included in nep-ene and nep-env
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