Skip to main content

LUP Student Papers

LUND UNIVERSITY LIBRARIES

Brown and Green – What’s the Yield in Between?

Werleus, Eric LU and Höckerfelt, Emil LU (2021) NEKH02 20202
Department of Economics
Abstract
The growing need for green investments has contributed to the increased issuance of green bonds. This research investigates if green bonds are priced differently from conventional bonds by measuring yield spread discrepancies. To estimate the potential yield premium, we perform a matching method and a fixed effect generalized least squares estimator from October 2016 to December 2020. We observe three time periods to account for the impact of the COVID-19 crisis, and our results show a decreasing green bond premium over time. Ultimately, we notice an indication of a no longer existing green bond premium in the real estate sector.
Please use this url to cite or link to this publication:
author
Werleus, Eric LU and Höckerfelt, Emil LU
supervisor
organization
course
NEKH02 20202
year
type
M2 - Bachelor Degree
subject
keywords
green bond premium, matching method, z-spread, bid-ask spread
language
English
id
9036341
date added to LUP
2021-03-11 11:56:55
date last changed
2021-03-11 11:57:52
@misc{9036341,
  abstract     = {{The growing need for green investments has contributed to the increased issuance of green bonds. This research investigates if green bonds are priced differently from conventional bonds by measuring yield spread discrepancies. To estimate the potential yield premium, we perform a matching method and a fixed effect generalized least squares estimator from October 2016 to December 2020. We observe three time periods to account for the impact of the COVID-19 crisis, and our results show a decreasing green bond premium over time. Ultimately, we notice an indication of a no longer existing green bond premium in the real estate sector.}},
  author       = {{Werleus, Eric and Höckerfelt, Emil}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Brown and Green – What’s the Yield in Between?}},
  year         = {{2021}},
}