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ESG Rating Disagreement and the Green Bond Premium: Evidence from the European Corporate Bond Market

Róbertsson, Ragnar Ágúst LU (2025) NEKP01 20251
Department of Economics
Abstract
This thesis investigates the existence of a green bond premium, or greenium, in
the European corporate bond market. It examines how ESG disagreements affect
this premium. By utilising secondary market data for 515 green bonds and 2.325
conventional bonds issued between 2018 and 2025, a matching methodology based
on Zerbib (2019) is employed to isolate the yield differential attributed to the green
label. The analysis reveals a statistically significant greenium of approximately
15,2 basis points, indicating that green bonds tend to trade at lower yields than
comparable conventional bonds, consistent with theories of taste-based preferences
and signalling. However, the premium diminishes with increased ESG rating disagreement,
as... (More)
This thesis investigates the existence of a green bond premium, or greenium, in
the European corporate bond market. It examines how ESG disagreements affect
this premium. By utilising secondary market data for 515 green bonds and 2.325
conventional bonds issued between 2018 and 2025, a matching methodology based
on Zerbib (2019) is employed to isolate the yield differential attributed to the green
label. The analysis reveals a statistically significant greenium of approximately
15,2 basis points, indicating that green bonds tend to trade at lower yields than
comparable conventional bonds, consistent with theories of taste-based preferences
and signalling. However, the premium diminishes with increased ESG rating disagreement,
as measured by the standard deviation of ESG scores from four major
providers. This suggests that inconsistencies in ESG assessments introduce informational
frictions that reduce investor confidence in green labels and weaken the
associated pricing benefits. These findings emphasise the importance of consistency
in ESG data for effective pricing in sustainable finance markets and carry significant
implications for regulators seeking to enhance ESG transparency and standardisation. (Less)
Please use this url to cite or link to this publication:
author
Róbertsson, Ragnar Ágúst LU
supervisor
organization
course
NEKP01 20251
year
type
H2 - Master's Degree (Two Years)
subject
keywords
Greenium, ESG, Finance, Economics, Sustainability
language
English
id
9195229
date added to LUP
2025-09-12 11:14:54
date last changed
2025-09-12 11:14:54
@misc{9195229,
  abstract     = {{This thesis investigates the existence of a green bond premium, or greenium, in
the European corporate bond market. It examines how ESG disagreements affect
this premium. By utilising secondary market data for 515 green bonds and 2.325
conventional bonds issued between 2018 and 2025, a matching methodology based
on Zerbib (2019) is employed to isolate the yield differential attributed to the green
label. The analysis reveals a statistically significant greenium of approximately
15,2 basis points, indicating that green bonds tend to trade at lower yields than
comparable conventional bonds, consistent with theories of taste-based preferences
and signalling. However, the premium diminishes with increased ESG rating disagreement,
as measured by the standard deviation of ESG scores from four major
providers. This suggests that inconsistencies in ESG assessments introduce informational
frictions that reduce investor confidence in green labels and weaken the
associated pricing benefits. These findings emphasise the importance of consistency
in ESG data for effective pricing in sustainable finance markets and carry significant
implications for regulators seeking to enhance ESG transparency and standardisation.}},
  author       = {{Róbertsson, Ragnar Ágúst}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{ESG Rating Disagreement and the Green Bond Premium: Evidence from the European Corporate Bond Market}},
  year         = {{2025}},
}