The effect of pro-environmental preferences on bond prices: Evidence from green bonds

被引：233
作者：
Zerbib, Olivier David [1 ,2 ,3 ,4 ]
机构：
[1] Tilburg Univ, Tilburg Sch Econ & Management, Dept Finance, NL-5000 LE Tilburg, Netherlands
[2] Tilburg Univ, CentER, NL-5000 LE Tilburg, Netherlands
[3] Univ Lyon 1, Univ Lyon, Inst Sci Financiere & Assurances, 50 Ave Tony Garnier, F-69007 Lyon, France
[4] I Care & Consult, 28 Rue 4 Septembre, F-75002 Paris, France
来源：
JOURNAL OF BANKING & FINANCE | 2019年 / 98卷
关键词：
Green bonds; Socially responsible investing; Investment preferences; Liquidity; CORPORATE SOCIAL-RESPONSIBILITY; FINANCIAL PERFORMANCE; CROSS-SECTION; YIELD SPREADS; COST; INVESTMENT; DEBT; ILLIQUIDITY; GOVERNANCE; PROXIES;
D O I：
10.1016/j.jbankfin.2018.10.012
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We use green bonds as an instrument to identify the effect of non-pecuniary motives, specifically pro environmental preferences, on bond market prices. We perform a matching method, followed by a two-step regression procedure, to estimate the yield differential between a green bond and a counterfactual conventional bond from July 2013 to December 2017. The results suggest a small negative premium: the yield of a green bond is lower than that of a conventional bond. On average, the premium is -2 basis points for the entire sample and for euro and USD bonds separately. We show that this negative premium is more pronounced for financial and low-rated bonds. The results emphasize the low impact of investors' pro-environmental preferences on bond prices, which does not represent, at this stage, a disincentive for investors to support the expansion of the green bond market. (C) 2018 Elsevier B.V. All rights reserved.
引用
收藏
页码：39 / 60
页数：22
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