Brown and Green – What’s the Yield in Between?
(2021) NEKH02 20202Department 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:
http://lup.lub.lu.se/student-papers/record/9036341
- author
- Werleus, Eric LU and Höckerfelt, Emil LU
- supervisor
- organization
- course
- NEKH02 20202
- year
- 2021
- 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}}, }