Endre søk
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf
Liquidity Risk and Yield Spreads of Green Bonds: Evidence from International Green Bonds Market
Högskolan i Jönköping, Internationella Handelshögskolan.
Högskolan i Jönköping, Internationella Handelshögskolan.
2017 (engelsk)Independent thesis Advanced level (degree of Master (One Year)), 10 poäng / 15 hpOppgave
Hållbar utveckling
Hållbar utveckling
Abstract [en]

Our thesis aims to help the market participants to understand the source of the risk in green bonds market. We estimate the liquidity risk effects in green bonds' yield spreads as well as controlling for credit risk, bond-specific chracteristics and macroeconomic variables. Both of our liquidity measures suggest that green bonds are more liquid than investment grade US corporate bonds. We find that liquidity effect in green bonds' yield spreads is pronounced, and the result is robust after controlling for potential endogeneity bias. The power of green bonds' liquidity premium is about 10 to 100 times as strong as speculative grade German bonds and investment grade US corporate bonds respectively. In addition to the lack of clear risk profile in green bonds market, our three-stage least squares regression shows that credit risk influences the liquidity risk of green bonds, this indicates that credit risk is a potential source of private information that affects the high liquidity of green bonds. This result has an implication for policy as the credit risk and liquidity risk could be the pitfalls in green bonds market.  

sted, utgiver, år, opplag, sider
2017.
Emneord [en]
Green Bonds, Yield Spreads, Liquidity Risk, Credit Risk, Sustainable Investment, Fixed Income Securities, Financial Innovation
HSV kategori
Identifikatorer
URN: urn:nbn:se:hj:diva-35819ISRN: JU-IHH-FÖA-2-20170353OAI: oai:DiVA.org:hj-35819DiVA, id: diva2:1105832
Veileder
Examiner
Tilgjengelig fra: 2017-06-14 Laget: 2017-06-05 Sist oppdatert: 2017-11-23bibliografisk kontrollert

Open Access i DiVA

Fulltekst mangler i DiVA

Av organisasjonen

Søk utenfor DiVA

GoogleGoogle Scholar

urn-nbn

Altmetric

urn-nbn
Totalt: 3963 treff
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf