The Green Bond Premium: A Comparative Analysis

Mariantonietta Intonti (), Laura Serlenga (), Giovanni Ferri and Matteo De Leonardis ()
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Mariantonietta Intonti: Department of Economics and Finance - University “Aldo Moro†of Bari
Matteo De Leonardis: Department of Economics and Finance - University “Aldo Moro†of Bari

No wpC40, CERBE Working Papers from CERBE Center for Relationship Banking and Economics

Abstract: The paper aims to analyze the presence of a premium on Green Bonds (GBs greenium), financial instruments issued with the specific purpose of contributing to the ecological transition, to facilitate the transformation of our economic system into a low carbon economy, resilient to climate change and resource efficient. The study, starting from the indications provided by Zerbib (2019), was carried out in four steps: the first, to determine the actual existence of a differential between the GB yields compared to a sample of traditional bonds; the second step, based on a panel analysis, to demonstrate that the differential is not due to typical market factors, but rather to the nature of GBs; the third step, characterized by a cross-section analysis, that has the objective to verify whether the characterizing components of the GBs, identified in the qualitative variables of currency, issued quantity, rating and type of issuer, are determinants of the "greenium" factor. Lastly, the evolution of the “greenium constant†over time is calculated to draw some final conclusions. The analysis period is from 2017 to 2022 for a total of 248 weekly observations. The analysis shows that greenium does not seem to be present for all categories of issuers. One of the possible reasons may be linked to the different degree of transparency observed by the different issuers. Finally, considering the time frame of the analysis (2017-2021) we can assert that the premium for GBs has undergone an evolution, over time, due to some triggering factors. The first is certainly the growth of interest in green finance. Secondly, the pandemic (as seen also by estimates made over time and by the presence of a structural break) played its role as protagonist, bringing with it an increase in the value of the differential for both government and corporate bonds, precisely in the period due to the first lockdown, characterized by a strong instability of the markets. Estimates have also shown that, for government bonds, the increase in greenium was not driven by liquidity shocks, unlike corporate bonds. This result reflects the importance that investors attach to the disclosure of information that is provided at the time of issue and during the life of the bond.

Keywords: Perceived Inequality; Green Bonds; Greenium; Yields; Sustainable Transition (search for similar items in EconPapers)
JEL-codes: G15 H23 Q56 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2022-07
New Economics Papers: this item is included in nep-ene and nep-env
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