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Liquidity risk and yield spreads of green bonds
Jönköping University, Jönköping International Business School, JIBS, Economics.ORCID iD: 0000-0001-9707-4847
Jönköping University, Jönköping International Business School. German Institute for Economic Research DIW Berlin and CERBE.ORCID iD: 0000-0003-3879-7361
Jönköping University, Jönköping International Business School, JIBS, Economics. Jönköping University, Jönköping International Business School, JIBS, Center for Family Enterprise and Ownership (CeFEO). German Institute for Economic Research DIW Berlin and Ratio institute.ORCID iD: 0000-0001-5776-9396
Jönköping University, Jönköping International Business School.
2018 (English)Report (Other academic)
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
Berlin: DIW Berlin, German Institute for Economic Research , 2018. , p. 22
Series
Discussion Papers, E-ISSN 1619-4535 ; 1728
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-41595OAI: oai:DiVA.org:hj-41595DiVA, id: diva2:1251194
Available from: 2018-09-26 Created: 2018-09-26 Last updated: 2019-02-28Bibliographically approved

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Wulandari, FebiSchäfer, DorotheaStephan, Andreas

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
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More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
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  • Other locale
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Output format
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