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題名 綠色債券溢價研究—以美國市場為例
Analysis of Green Bond Premium – Evidence from the U.S. Market作者 王莙貽
Wang, Chun-Yi貢獻者 岳夢蘭
王莙貽
Wang, Chun-Yi關鍵詞 綠色債券
綠色債券溢價
永續投資
Green bonds
Green premium
Sustainable investing日期 2019 上傳時間 5-二月-2020 17:09:23 (UTC+8) 摘要 本研究以美國市場發行之綠色債券作為研究對象，探討綠色債券是否相對於普通債券具有綠色債券溢價，以及債券特性與發行人對於綠色債券的資訊揭露，是否與綠色債券溢價具關聯性。本研究首先採用配對法，為25檔綠色債券配對一檔同發行人及同債券特性之普通債券，並運用兩階段迴歸得到經流動性修正後之收益率差作為綠色債券溢價，進一步分析債券特性對於綠色債券溢價之影響性。除此之外，本研究亦進一步探討綠色債券發行人發行綠債後，對於綠色債券資訊揭露之各種方式，以分析資訊透明對於綠色債券溢價是否亦具有影響性。\n本研究之實證結果顯示，美國發行之綠色債券存在-2bp之綠色債券溢價，顯示綠色債券收益率低於相比較之普通債券。進一步分析影響綠色債券溢價之因素，實證結果發現評等、發行人產業、附帶可贖回條款、債券發行人定期公布綠色債券相關資訊以及公布資金管理報告皆顯著影響綠色債券溢價。但發行人是否提供綠色債券的資金保證提供者之資訊，則對綠色債券溢價不具影響力。故根據本研究之實證結果，可說明當綠色債券資訊透明度愈高、資訊不對稱降低時，的確可增加投資人的投資信心進而提高綠色債券發行人之融資能力、降低綠色債券投資項目之融資成本。
This paper examines whether green bonds exist green bond premium compared to otherwise similar conventional bonds in the U.S. bond market. Further, this paper also studies the relationship between the variation of green bond premium and the bond characteristics as well as the disclosure of green bonds. First, we use a matching method to match 25 green bonds to conventional bonds with same issuers and characteristics. Then, applying a two-step regression procedure, we estimate liquidity-adjusted yield premium and use it as green bond premium. Finally, we analyze how bond features and information transparency can affect green bond premium.\nOur empirical result indicates that on average there is a green bond premium of -2 basis points in the U.S. bond market, which means green binds’ yields are lower than conventional bonds’. Furthermore, evidence shows that rating, sectors, call options, and disclosure of loan reports and loan management of proceeds all have significant effects on the magnitude of green bond premium, while whether issuers disclose loan assurance providers does not. In conclusion, the result provides evidence that greater information transparency of green bonds can boost investors’ confidence, so that green bond issuers are able to expand the funding capacity of green bond issuers and lower the cost of green projects.參考文獻 Baker, M., Bergstresser, D., Serafeim, G., & Jeffrey, W. (2018). Financing the respo-\nnse to climate change: the pricing and ownership of U.S. green bonds. SSRN. Retrieved\nform https://ssrn.com/abstract=3275327\n\nBao, J., Pan, J., & Wang, J. (2011). The illiquidity of corporate bonds. The Journal of Finance, 66(3), 911–946.\n\nBachelet, M., Becchetti, L., & Manfredonia, S. (2019). The green bonds premium puzzle: the role of issuer characteristics and third-party verification. Sustainability, 11(4), 1098.\n\nBour, T. (2019). The green bond premium and non-financial disclosure: financing the future, or merely greenwashing? Maastricht University. Master’s thesis. Retrieved form https://finance-ideas.nl/wp-content/uploads/2019/02/msc.-thesis-tom-bour.pdf\n\nClimate Bonds Initiative. (2019). Green bonds: the state of the market 2018. Retrieved form https://www.climatebonds.net/resources/reports/green-bonds-state-market-2018\n\nChandrasekaran. (2018). The liquidity risk effects on green bond yield spreads. Erasmus University Rotterdam. Master’s thesis. Retrieved form https://pdfs.semant-\nics-cholar.org/fef3/ab159168e2f2484d2222386be10bc9a78a21.pdf\n\nChen, L., Lesmond, D., & Wei, J. (2007). Corporate yield spreads and bond liquidity.\nJournal of Finance, 62 (1), 119–149.\n\nDerwall, J., Koedijk, K., & Horst, J. Ter. (2011). A tale of values-driven and profit-\nseeking social investors. Journal of Banking & Finance, 35(8), 2137–2147.\n\nDhaliwal, D., Radhakrishnan, S., Tsang, A., & Yang, Y. G. (2012). Nonfinancial disc-\nlosure and analyst forecast accuracy: international evidence on corporate social respo-\nnsibility disclosure. The Accounting Review, 87(3), 723–759.\n\nEhlers, T., & Packer, F. Green Bond Finance and Certification. (2017). BIS Quarterly Review. SSRN. Retrieved form https://ssrn.com/abs-tract=3042378\n\nFlaherty, M., Gevorkyan, A., Radpour, S. & Semmler, W. (2017), Financing climate policies through climate bonds–a three stage model and empirics, Research in Interna-\ntional Business and Finance, 42, 468–479.\n\nFlammer, C. Corporate green bonds. (2018). Boston University. Working paper. SSRN.\nhttps://ssrn.com/abstract=3125-518\n\nFong, K. Y. L., Holden, C. W., & Trzcinka, C. A. (2017). What are the best liquidity proxies for global research? Review of Finance, 21(4), 1355–1401.\n\nHelwege, J., Huang, J.-Z., & Wang, Y. (2014). Liquidity effects in corporate bond sp-\nreads. Journal of Banking and Finance, 45, 105–116.\n\nInternational Capital Market Association. (2017). The green bond principle 2017. Retrieved from https://www.icmagroup.org/assets/documents/Regulatory/Green-\nBonds/GreenBondsBrochure-JUNE2017.pdf\n\nIoannou, I., & Serafeim, G. (2017). The consequences of mandatory corporate sustai-\nnability reporting. Harvard Business School. Working paper (11-100). SSRN.\nhttps://ssrn.com/abstract=1799589\n\nKapraun, J., and Scheins, C. (In)-Credibly green: which bonds trade at a green bond\npremium? (2019). SSRN. https://ssrn.com/abstract=3347337\n\nLu, C. W., Chen, T. K., and Liao, H. H. (2010). Information uncertainty, information asymmetry and corporate bond yield spreads. Journal of Banking and Finance, 34(9), 2265-2279\n\nÖstlund, E. (2015). Are investors rational profit maximisers or do they exhibit a green preference? – evidence from the green bond market. Stockholm School of Economics.\nMaster’s thesis in Economics (21875).\n\nPark, S. K. (2018). Investors as regulators: green bonds and the governance challeng-\nes of the sustainable finance revolution. Stanford Journal of International Law, 54(1), 1–48.\n\nPeng, J., & Brucato, P. F. (2004). An empirical analysis of market and institutional mechanisms for alleviating information asymmetry in the municipal bond market.\nJournal of Economics and Finance, 28(6), 226-238\n\nPetrova, A. (2016). Green bonds: lower returns or higher responsibility? Radboud University. Master’s thesis (S4461746). Retrieved from https://theses.ubn.ru.nl/bits-\ntream/handle/123456789/3225/Petrova%2C_Antoniya_1.pdf?sequence=1\n\nReed, P., Cort, T., & Yonavjak, L. (2019). Data-driven green bond ratings as a market\ncatalyst. The Journal of Investing, 28(2), 66-76\n\nSchmitt, S. (2017). A parametric approach to estimate the green bond premium. NOVA\nUniversity. Master’s work project. Retrieved from https://run.unl.pt/bitstream/10362/-\n28402/1/Schmitt_2018.pdf\n\nSchuster, P., & Uhrig-Hombourg, M. (2012). The term structure of bond market liqu-\nidity conditional on the economic environment: an analysis of government guaranteed bonds. Working paper. Retrieved from https://papers.ssrn.com/sol3/papers.cfm?abstr-\nact_id=2033170.\n\nWulandari, F., Dorothea, S., Andreas, S., & Chen, S. (2018). The impact of liquidity risk on the yield spread of green bonds. Finance Research Letters, 27, 53–59.\n\nZerbib, O. D. (2019). The effect of pro-environmental preferences on bond prices: ev-\nidence from green bonds. Journal of Banking & Finance, 98(1), 39-60. 描述 碩士
國立政治大學
財務管理學系
106357021資料來源 http://thesis.lib.nccu.edu.tw/record/#G0106357021 資料類型 thesis dc.contributor.advisor 岳夢蘭 zh_TW dc.contributor.author (作者) 王莙貽 zh_TW dc.contributor.author (作者) Wang, Chun-Yi en_US dc.creator (作者) 王莙貽 zh_TW dc.creator (作者) Wang, Chun-Yi en_US dc.date (日期) 2019 en_US dc.date.accessioned 5-二月-2020 17:09:23 (UTC+8) - dc.date.available 5-二月-2020 17:09:23 (UTC+8) - dc.date.issued (上傳時間) 5-二月-2020 17:09:23 (UTC+8) - dc.identifier (其他 識別碼) G0106357021 en_US dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=147363 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 106357021 zh_TW dc.description.abstract (摘要) 本研究以美國市場發行之綠色債券作為研究對象，探討綠色債券是否相對於普通債券具有綠色債券溢價，以及債券特性與發行人對於綠色債券的資訊揭露，是否與綠色債券溢價具關聯性。本研究首先採用配對法，為25檔綠色債券配對一檔同發行人及同債券特性之普通債券，並運用兩階段迴歸得到經流動性修正後之收益率差作為綠色債券溢價，進一步分析債券特性對於綠色債券溢價之影響性。除此之外，本研究亦進一步探討綠色債券發行人發行綠債後，對於綠色債券資訊揭露之各種方式，以分析資訊透明對於綠色債券溢價是否亦具有影響性。\n本研究之實證結果顯示，美國發行之綠色債券存在-2bp之綠色債券溢價，顯示綠色債券收益率低於相比較之普通債券。進一步分析影響綠色債券溢價之因素，實證結果發現評等、發行人產業、附帶可贖回條款、債券發行人定期公布綠色債券相關資訊以及公布資金管理報告皆顯著影響綠色債券溢價。但發行人是否提供綠色債券的資金保證提供者之資訊，則對綠色債券溢價不具影響力。故根據本研究之實證結果，可說明當綠色債券資訊透明度愈高、資訊不對稱降低時，的確可增加投資人的投資信心進而提高綠色債券發行人之融資能力、降低綠色債券投資項目之融資成本。 zh_TW dc.description.abstract (摘要) This paper examines whether green bonds exist green bond premium compared to otherwise similar conventional bonds in the U.S. bond market. Further, this paper also studies the relationship between the variation of green bond premium and the bond characteristics as well as the disclosure of green bonds. First, we use a matching method to match 25 green bonds to conventional bonds with same issuers and characteristics. Then, applying a two-step regression procedure, we estimate liquidity-adjusted yield premium and use it as green bond premium. Finally, we analyze how bond features and information transparency can affect green bond premium.\nOur empirical result indicates that on average there is a green bond premium of -2 basis points in the U.S. bond market, which means green binds’ yields are lower than conventional bonds’. Furthermore, evidence shows that rating, sectors, call options, and disclosure of loan reports and loan management of proceeds all have significant effects on the magnitude of green bond premium, while whether issuers disclose loan assurance providers does not. In conclusion, the result provides evidence that greater information transparency of green bonds can boost investors’ confidence, so that green bond issuers are able to expand the funding capacity of green bond issuers and lower the cost of green projects. en_US dc.description.tableofcontents 目錄\n摘要 I\nAbstract II\n第一章 緒論 1\n第一節 研究背景與動機 1\n第二節 研究目的 3\n第三節 研究架構與研究流程 4\n第二章 文獻回顧 5\n第一節 綠色債券定義 5\n第二節 綠色債券發展歷程及現況 6\n第三節 綠債債券溢價相關之研究 7\n第四節 資訊揭露對企業永續與債券之效果 9\n第三章 研究方法 10\n第一節 樣本來源與選取方式 10\n第二節 研究模型與變數定義 13\n第四章 實證結果分析 17\n第一節 敘述統計分析 17\n第二節 綠色債券溢價分析 24\n第五章 穩健性檢定 29\n第六章 研究結論與建議 34\n第一節 研究結論 34\n第二節 研究限制與未來研究建議 35\n參考文獻 36 zh_TW dc.format.extent 857674 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0106357021 en_US dc.subject (關鍵詞) 綠色債券 zh_TW dc.subject (關鍵詞) 綠色債券溢價 zh_TW dc.subject (關鍵詞) 永續投資 zh_TW dc.subject (關鍵詞) Green bonds en_US dc.subject (關鍵詞) Green premium en_US dc.subject (關鍵詞) Sustainable investing en_US dc.title (題名) 綠色債券溢價研究—以美國市場為例 zh_TW dc.title (題名) Analysis of Green Bond Premium – Evidence from the U.S. Market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Baker, M., Bergstresser, D., Serafeim, G., & Jeffrey, W. (2018). Financing the respo-\nnse to climate change: the pricing and ownership of U.S. green bonds. SSRN. Retrieved\nform https://ssrn.com/abstract=3275327\n\nBao, J., Pan, J., & Wang, J. (2011). The illiquidity of corporate bonds. The Journal of Finance, 66(3), 911–946.\n\nBachelet, M., Becchetti, L., & Manfredonia, S. (2019). The green bonds premium puzzle: the role of issuer characteristics and third-party verification. Sustainability, 11(4), 1098.\n\nBour, T. (2019). The green bond premium and non-financial disclosure: financing the future, or merely greenwashing? Maastricht University. Master’s thesis. Retrieved form https://finance-ideas.nl/wp-content/uploads/2019/02/msc.-thesis-tom-bour.pdf\n\nClimate Bonds Initiative. (2019). Green bonds: the state of the market 2018. Retrieved form https://www.climatebonds.net/resources/reports/green-bonds-state-market-2018\n\nChandrasekaran. (2018). The liquidity risk effects on green bond yield spreads. Erasmus University Rotterdam. Master’s thesis. Retrieved form https://pdfs.semant-\nics-cholar.org/fef3/ab159168e2f2484d2222386be10bc9a78a21.pdf\n\nChen, L., Lesmond, D., & Wei, J. (2007). Corporate yield spreads and bond liquidity.\nJournal of Finance, 62 (1), 119–149.\n\nDerwall, J., Koedijk, K., & Horst, J. Ter. (2011). A tale of values-driven and profit-\nseeking social investors. Journal of Banking & Finance, 35(8), 2137–2147.\n\nDhaliwal, D., Radhakrishnan, S., Tsang, A., & Yang, Y. G. (2012). Nonfinancial disc-\nlosure and analyst forecast accuracy: international evidence on corporate social respo-\nnsibility disclosure. The Accounting Review, 87(3), 723–759.\n\nEhlers, T., & Packer, F. Green Bond Finance and Certification. (2017). BIS Quarterly Review. SSRN. Retrieved form https://ssrn.com/abs-tract=3042378\n\nFlaherty, M., Gevorkyan, A., Radpour, S. & Semmler, W. (2017), Financing climate policies through climate bonds–a three stage model and empirics, Research in Interna-\ntional Business and Finance, 42, 468–479.\n\nFlammer, C. Corporate green bonds. (2018). Boston University. Working paper. SSRN.\nhttps://ssrn.com/abstract=3125-518\n\nFong, K. Y. L., Holden, C. W., & Trzcinka, C. A. (2017). What are the best liquidity proxies for global research? Review of Finance, 21(4), 1355–1401.\n\nHelwege, J., Huang, J.-Z., & Wang, Y. (2014). Liquidity effects in corporate bond sp-\nreads. Journal of Banking and Finance, 45, 105–116.\n\nInternational Capital Market Association. (2017). The green bond principle 2017. Retrieved from https://www.icmagroup.org/assets/documents/Regulatory/Green-\nBonds/GreenBondsBrochure-JUNE2017.pdf\n\nIoannou, I., & Serafeim, G. (2017). The consequences of mandatory corporate sustai-\nnability reporting. Harvard Business School. Working paper (11-100). SSRN.\nhttps://ssrn.com/abstract=1799589\n\nKapraun, J., and Scheins, C. (In)-Credibly green: which bonds trade at a green bond\npremium? (2019). SSRN. https://ssrn.com/abstract=3347337\n\nLu, C. W., Chen, T. K., and Liao, H. H. (2010). Information uncertainty, information asymmetry and corporate bond yield spreads. Journal of Banking and Finance, 34(9), 2265-2279\n\nÖstlund, E. (2015). Are investors rational profit maximisers or do they exhibit a green preference? – evidence from the green bond market. Stockholm School of Economics.\nMaster’s thesis in Economics (21875).\n\nPark, S. K. (2018). Investors as regulators: green bonds and the governance challeng-\nes of the sustainable finance revolution. Stanford Journal of International Law, 54(1), 1–48.\n\nPeng, J., & Brucato, P. F. (2004). An empirical analysis of market and institutional mechanisms for alleviating information asymmetry in the municipal bond market.\nJournal of Economics and Finance, 28(6), 226-238\n\nPetrova, A. (2016). Green bonds: lower returns or higher responsibility? Radboud University. Master’s thesis (S4461746). Retrieved from https://theses.ubn.ru.nl/bits-\ntream/handle/123456789/3225/Petrova%2C_Antoniya_1.pdf?sequence=1\n\nReed, P., Cort, T., & Yonavjak, L. (2019). Data-driven green bond ratings as a market\ncatalyst. The Journal of Investing, 28(2), 66-76\n\nSchmitt, S. (2017). A parametric approach to estimate the green bond premium. NOVA\nUniversity. Master’s work project. Retrieved from https://run.unl.pt/bitstream/10362/-\n28402/1/Schmitt_2018.pdf\n\nSchuster, P., & Uhrig-Hombourg, M. (2012). The term structure of bond market liqu-\nidity conditional on the economic environment: an analysis of government guaranteed bonds. Working paper. Retrieved from https://papers.ssrn.com/sol3/papers.cfm?abstr-\nact_id=2033170.\n\nWulandari, F., Dorothea, S., Andreas, S., & Chen, S. (2018). The impact of liquidity risk on the yield spread of green bonds. Finance Research Letters, 27, 53–59.\n\nZerbib, O. D. (2019). The effect of pro-environmental preferences on bond prices: ev-\nidence from green bonds. Journal of Banking & Finance, 98(1), 39-60. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202000039 en_US
