The pricing of green bonds
Autor(a) principal: | |
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Data de Publicação: | 2023 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.14/42408 |
Resumo: | Climate change has been for years one of the top priorities of global risk management. Despite the growing recognition of its impacts, addressing this problem has been hindered by a range of political, economic, and social barriers. Green bonds represent one of the most recent and innovative tools to help both public and private sector reach the United Nation’s climate targets. Our study sheds light into the possible existence of greenium in the bond market, additionally providing an empirical study of both green and corporate bond spreads determinants. We also take a closer look at how liquidity may affect both debt instruments. Our results point towards a 7.47 bps (and 8.48 bps if controlling for issuing firms’ credit risk) greenium in the market, given support to the theory that investors would be willing to trade-off financial for environment benefits when investing in green assets. We are also able to verify that both green and brown bonds are differently affected by common pricing variables, such as maturity, number of banks and company rating, among others. Lastly, the present study confirms that green bond spreads are more impacted by an increase in liquidity than their brown counterparts, and that the greenium is effective for investment-grade bonds only. |
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The pricing of green bondsGreen bondsCorporate bondsSpreadsGreeniumLiquidityPricing determinantsDomínio/Área Científica::Ciências Sociais::Economia e GestãoClimate change has been for years one of the top priorities of global risk management. Despite the growing recognition of its impacts, addressing this problem has been hindered by a range of political, economic, and social barriers. Green bonds represent one of the most recent and innovative tools to help both public and private sector reach the United Nation’s climate targets. Our study sheds light into the possible existence of greenium in the bond market, additionally providing an empirical study of both green and corporate bond spreads determinants. We also take a closer look at how liquidity may affect both debt instruments. Our results point towards a 7.47 bps (and 8.48 bps if controlling for issuing firms’ credit risk) greenium in the market, given support to the theory that investors would be willing to trade-off financial for environment benefits when investing in green assets. We are also able to verify that both green and brown bonds are differently affected by common pricing variables, such as maturity, number of banks and company rating, among others. Lastly, the present study confirms that green bond spreads are more impacted by an increase in liquidity than their brown counterparts, and that the greenium is effective for investment-grade bonds only.A mudança climática tem sido há anos uma das principais prioridades da gestão global de riscos. Apesar do reconhecimento crescente dos seus impactos, a abordagem a este problema tem sido prejudicada por uma série de obstáculos políticos, econômicos e sociais. As green bonds representam uma das ferramentas mais recentes e inovadoras para ajudar tanto o setor público quanto o privado a alcançar as metas ambientais das Nações Unidas. O presente estudo, aborda a possível existência de um efeito de "greenium" no mercado de obrigações, para além de fornecer um estudo empírico dos determinantes dos spreads de títulos verdes versus convencionais. Também examinamos como a liquidez pode afetar ambos instrumentos de dívida. Os nossos resultados apontam para um greenium de 7,47 pontos-base (e 8,48 pontos-base se incluirmos o rating da empresa emitente) no mercado, apoiando a teoria de que os investidores estariam dispostos a renunciar a benefícios financeiros em ativos ambientais. Também verificamos que tanto os títulos verdes quanto os títulos "brown" são afetados de maneira diferente por variáveis de preço comuns, como a maturidade, o número de bancos envolvidos e o rating da empresa, entre outros. Por fim, o presente estudo confirma que a liquidez de mercado afeta mais os spreads dos títulos verdes do que seus pares "brown"; e que o greenium é efetivo apenas para as obrigações investment-grade.Pinto, João Filipe MonteiroVeritati - Repositório Institucional da Universidade Católica PortuguesaSá, Francisco Rocha da Costa e2023-09-15T18:51:49Z2023-07-1320232023-07-13T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/42408TID:203350219enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-09-19T01:42:37Zoai:repositorio.ucp.pt:10400.14/42408Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T20:29:36.859013Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
The pricing of green bonds |
title |
The pricing of green bonds |
spellingShingle |
The pricing of green bonds Sá, Francisco Rocha da Costa e Green bonds Corporate bonds Spreads Greenium Liquidity Pricing determinants Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
The pricing of green bonds |
title_full |
The pricing of green bonds |
title_fullStr |
The pricing of green bonds |
title_full_unstemmed |
The pricing of green bonds |
title_sort |
The pricing of green bonds |
author |
Sá, Francisco Rocha da Costa e |
author_facet |
Sá, Francisco Rocha da Costa e |
author_role |
author |
dc.contributor.none.fl_str_mv |
Pinto, João Filipe Monteiro Veritati - Repositório Institucional da Universidade Católica Portuguesa |
dc.contributor.author.fl_str_mv |
Sá, Francisco Rocha da Costa e |
dc.subject.por.fl_str_mv |
Green bonds Corporate bonds Spreads Greenium Liquidity Pricing determinants Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Green bonds Corporate bonds Spreads Greenium Liquidity Pricing determinants Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
Climate change has been for years one of the top priorities of global risk management. Despite the growing recognition of its impacts, addressing this problem has been hindered by a range of political, economic, and social barriers. Green bonds represent one of the most recent and innovative tools to help both public and private sector reach the United Nation’s climate targets. Our study sheds light into the possible existence of greenium in the bond market, additionally providing an empirical study of both green and corporate bond spreads determinants. We also take a closer look at how liquidity may affect both debt instruments. Our results point towards a 7.47 bps (and 8.48 bps if controlling for issuing firms’ credit risk) greenium in the market, given support to the theory that investors would be willing to trade-off financial for environment benefits when investing in green assets. We are also able to verify that both green and brown bonds are differently affected by common pricing variables, such as maturity, number of banks and company rating, among others. Lastly, the present study confirms that green bond spreads are more impacted by an increase in liquidity than their brown counterparts, and that the greenium is effective for investment-grade bonds only. |
publishDate |
2023 |
dc.date.none.fl_str_mv |
2023-09-15T18:51:49Z 2023-07-13 2023 2023-07-13T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.14/42408 TID:203350219 |
url |
http://hdl.handle.net/10400.14/42408 |
identifier_str_mv |
TID:203350219 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
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info:eu-repo/semantics/openAccess |
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openAccess |
dc.format.none.fl_str_mv |
application/pdf |
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reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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