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The impact of liquidity risk on the yield spread of green bonds
Jönköping University, Jönköping International Business School, JIBS, Economics.ORCID iD: 0000-0001-9707-4847
Jönköping University, Jönköping International Business School. DIW Berlin, Germany.ORCID iD: 0000-0003-3879-7361
Jönköping University, Jönköping International Business School, JIBS, Center for Family Enterprise and Ownership (CeFEO). Jönköping University, Jönköping International Business School, JIBS, Economics. DIW Berlin, Germany.ORCID iD: 0000-0001-5776-9396
Jönköping University, Jönköping International Business School.
2018 (English)In: Finance Research Letters, ISSN 1544-6123, E-ISSN 1544-6131, Vol. 27, p. 53-59Article in journal (Refereed) Published
Abstract [en]

This study analyses how liquidity risk affects bonds’ yield spreads after controlling for credit risk, bond-specific characteristics and macroeconomic variables. Using two liquidity estimates, LOT liquidity and the bid-ask spread, we find that, in particular, the LOT liquidity measure has explanatory power for the yield spread of green bonds. Overall, however, the impact of LOT decreases over time, implying that, nowadays liquidity risk is negligible for green bonds.

Place, publisher, year, edition, pages
Elsevier, 2018. Vol. 27, p. 53-59
Keywords [en]
Green Bond, Liquidity Risk, Yield Spread, Sustainable Investment, Fixed Income Security, Financial Innovation
National Category
Economics
Identifiers
URN: urn:nbn:se:hj:diva-38962DOI: 10.1016/j.frl.2018.02.025ISI: 000454462300009Scopus ID: 2-s2.0-85043308391OAI: oai:DiVA.org:hj-38962DiVA, id: diva2:1188072
Available from: 2018-03-06 Created: 2018-03-06 Last updated: 2019-02-28Bibliographically approved

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The full text will be freely available from 2020-02-24 00:00
Available from 2020-02-24 00:00

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Wulandari, FebiSchäfer, DorotheaStephan, Andreas

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  • apa
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More styles
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  • de-DE
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