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題名 綠色認證對債券信用利差之評估分析
Examining the impact of green certification on bond credit spreads作者 鄒佳蓉
Tsou, Chia-Jung貢獻者 張士傑<br>陳松興
Chang, Shih-Chieh<br>Chen, Chung-Hsing
鄒佳蓉
Tsou, Chia-Jung關鍵詞 信用評等
綠色債券
綠色溢價
Credit rating
Green bonds
Green premium日期 2023 上傳時間 3-十月-2023 10:41:37 (UTC+8) 摘要 在極端氣候加劇影響，ESG (Environment、Social、Governance)永續發展被視為最重要之課題之一，在資本市場發展上，綠色金融已成為全球最重視的核心價值，其中綠色債券與可持續債券(稱綠色債券)作為專門為環保項目融資或再融資的固定收益工具，在推動向低碳經濟轉型發揮著重要作用。本研究探討綠色認證與否(是否符合綠色債券)對債券定價是否造成顯著差異，以及加入信用評等、發行人產業類別、不同債券期間與上市區域等變因對該顯著程度的影響；本研究針對2022年初至2023年3月15日期間，全球所發行的美元債資料進行詳細的分析。主要研究結果為(1) 針對本研究取樣期間發行的美元債，經統計檢定驗證綠色認證對其定價具有顯著影響，該期間平均綠色債券溢價(Green Bond Premium, 即綠色溢價)為83.81bps。(2)非投資級債券的綠色溢價較投資級債券更為顯著。(3)瀕臨信用評等懸崖級距之債券的綠色溢價平均值呈現負值，包括BBB區間或淪到CCC評等的B區間。(4)產業分布方面，一般企業與金融業相較於國有企業與公用事業而言，其所發行的債券享有較高綠色溢價。 (5)在歐洲區域上市的債券相較於其他區域呈現顯著的綠色溢價。
Under the impact of intensified extreme climate, ESG (Environment, Social, Governance) sustainable development is regarded as one of the hottest topics today. In the development of the capital market, green finance has become the most important core value in the world. Among various financial instruments, green bonds and sustainable bonds (i.e., green bonds) play a crucial role in facilitating the financing or refinancing of environmentally friendly projects, thus driving the transition towards a low-carbon economy. The purpose of this study is to explore whether green certification (eligible for green bonds) has a significant difference in bond pricing, and the impact of variables such as credit rating, issuer industry category, different bond periods, and listing regions on this significant degree. This study conducts a detailed analysis of the US dollar bonds issued globally from the beginning of 2022 to March 15, 2023.The results show that: (1) For the US dollar bonds issued during the sampling period of this study, it has been verified by statistical verification that green certification has a significant impact on their pricing. The average green bond premium (Green Bond Premium, i.e., green premium) during this period was 83.81bps. (2) Non-investment-grade bonds exhibit a more significant green premium compared to investment-grade bonds. (3) Bonds on the verge of rating cliffs, including those in the BBB range or those in the B range that may be downgraded to CCC rating, show negative green premiums. (4) In terms of industry distribution, bonds issued by general corporations and financial institutions enjoy higher green premiums compared to state-owned enterprises and utilities. (5) Bonds listed in the European region have the most significant green premium compared to other regions.參考文獻 周冬華，周花 (2023),綠色債券獲得投資者偏好了嗎？基於信用利差的視角.外國經濟與管理陳志遠，郭凱，& 閻實 (2022) . 我國綠色債券發行利差及影響因素的實證研究. 地方財政研究.Bachelet, M. J., Becchetti, L., & Manfredonia, S. (2019). The green bonds premium puzzle: The role of issuer characteristics and third-party verification. Sustainability, 11(4), 1098.Houqe, M. N., Ahmed, K., & Richardson, G. (2020). The effect of environmental, social, and governance performance factors on firms’ cost of debt: International evidence. The International Journal of Accounting, 55(03), 2050014.Hyun, S., Park, D., & Tian, S. (2021). Pricing of green labeling: a comparison of labeled and unlabeled green bonds. Finance Research Letters, 41, 101816.Janda, K., Kortusova, A., & Zhang, B. (2022). Estimation of green bond premiums in the Chinese secondary market. Australian National University, Crawford School of Public Policy.Kapraun, J., Latino, C., Scheins, C., & Schlag, C. (2021, April). (In)-credibly green: which bonds trade at a green bond premium? In Proceedings of Paris December 2019 Finance Meeting EUROFIDAI-ESSEC.Li, H., Zhang, X., & Zhao, Y. (2022). ESG and firm`s default risk. Finance Research Letters, 47, 102713.MacAskill, S., Roca, E., Liu, B., Stewart, R. A., & Sahin, O. (2021). Is there a green premium in the green bond market? Systematic literature review revealing premium determinants. Journal of Cleaner Production, 280, 124491.Molnár, K., & Zaryab, A. (2023). The Green Premium.Polbennikov, S., Desclée, A., Dynkin, L., & Maitra, A. (2016). ESG ratings and performance of corporate bonds. The Journal of Fixed Income, 26(1), 21-41.Roch, F., Ando, S., Fu, C., & Wiriadinata, U. (2023). How Large is the Sovereign Greenium? Available at SSRN 4427184.Wang, S., & Wang, D. (2022). Exploring the relationship between ESG performance and green bond issuance. Frontiers in public health, 10, 897577.Wongaree, P., Chiyachantana, C. N., & Ding, D. K. (2023). Green Bond Premiums in the Asia-Pacific and European Markets.Xu, G., Lu, N., & Tong, Y. (2022). Greenwashing and credit spread: Evidence from the Chinese green bond market. Finance research letters, 48, 102927.Zerbib, O. D. (2019). The effect of pro-environmental preferences on bond prices: Evidence from green bonds. Journal of banking & finance, 98, 39-60. 描述 碩士
國立政治大學
國際金融碩士學位學程
111ZB1053資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111ZB1053 資料類型 thesis dc.contributor.advisor 張士傑<br>陳松興 zh_TW dc.contributor.advisor Chang, Shih-Chieh<br>Chen, Chung-Hsing en_US dc.contributor.author (作者) 鄒佳蓉 zh_TW dc.contributor.author (作者) Tsou, Chia-Jung en_US dc.creator (作者) 鄒佳蓉 zh_TW dc.creator (作者) Tsou, Chia-Jung en_US dc.date (日期) 2023 en_US dc.date.accessioned 3-十月-2023 10:41:37 (UTC+8) - dc.date.available 3-十月-2023 10:41:37 (UTC+8) - dc.date.issued (上傳時間) 3-十月-2023 10:41:37 (UTC+8) - dc.identifier (其他 識別碼) G0111ZB1053 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/147725 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際金融碩士學位學程 zh_TW dc.description (描述) 111ZB1053 zh_TW dc.description.abstract (摘要) 在極端氣候加劇影響，ESG (Environment、Social、Governance)永續發展被視為最重要之課題之一，在資本市場發展上，綠色金融已成為全球最重視的核心價值，其中綠色債券與可持續債券(稱綠色債券)作為專門為環保項目融資或再融資的固定收益工具，在推動向低碳經濟轉型發揮著重要作用。本研究探討綠色認證與否(是否符合綠色債券)對債券定價是否造成顯著差異，以及加入信用評等、發行人產業類別、不同債券期間與上市區域等變因對該顯著程度的影響；本研究針對2022年初至2023年3月15日期間，全球所發行的美元債資料進行詳細的分析。主要研究結果為(1) 針對本研究取樣期間發行的美元債，經統計檢定驗證綠色認證對其定價具有顯著影響，該期間平均綠色債券溢價(Green Bond Premium, 即綠色溢價)為83.81bps。(2)非投資級債券的綠色溢價較投資級債券更為顯著。(3)瀕臨信用評等懸崖級距之債券的綠色溢價平均值呈現負值，包括BBB區間或淪到CCC評等的B區間。(4)產業分布方面，一般企業與金融業相較於國有企業與公用事業而言，其所發行的債券享有較高綠色溢價。 (5)在歐洲區域上市的債券相較於其他區域呈現顯著的綠色溢價。 zh_TW dc.description.abstract (摘要) Under the impact of intensified extreme climate, ESG (Environment, Social, Governance) sustainable development is regarded as one of the hottest topics today. In the development of the capital market, green finance has become the most important core value in the world. Among various financial instruments, green bonds and sustainable bonds (i.e., green bonds) play a crucial role in facilitating the financing or refinancing of environmentally friendly projects, thus driving the transition towards a low-carbon economy. The purpose of this study is to explore whether green certification (eligible for green bonds) has a significant difference in bond pricing, and the impact of variables such as credit rating, issuer industry category, different bond periods, and listing regions on this significant degree. This study conducts a detailed analysis of the US dollar bonds issued globally from the beginning of 2022 to March 15, 2023.The results show that: (1) For the US dollar bonds issued during the sampling period of this study, it has been verified by statistical verification that green certification has a significant impact on their pricing. The average green bond premium (Green Bond Premium, i.e., green premium) during this period was 83.81bps. (2) Non-investment-grade bonds exhibit a more significant green premium compared to investment-grade bonds. (3) Bonds on the verge of rating cliffs, including those in the BBB range or those in the B range that may be downgraded to CCC rating, show negative green premiums. (4) In terms of industry distribution, bonds issued by general corporations and financial institutions enjoy higher green premiums compared to state-owned enterprises and utilities. (5) Bonds listed in the European region have the most significant green premium compared to other regions. en_US dc.description.tableofcontents 第一章 緒論 10第一節 研究動機 10第二節 研究目的 12第三節 研究架構與流程 13第二章 文獻回顧 15第一節 綠色溢價的相關文獻 15第二節 國內外學者對信用利差和綠色溢價的相關文獻 19第三章 研究方法 22第一節 樣本選取與資料來源 22第二節 敘述性統計分析 25第四章 實證結果與分析 26第一節 綠色債券市場的發行情況分析 26第二節 綠色溢價的影響變因分析 30第三節 綠色溢價顯著性之統計檢定 41第五章 結論與建議 57參考文獻 60 zh_TW dc.format.extent 1261223 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111ZB1053 en_US dc.subject (關鍵詞) 信用評等 zh_TW dc.subject (關鍵詞) 綠色債券 zh_TW dc.subject (關鍵詞) 綠色溢價 zh_TW dc.subject (關鍵詞) Credit rating en_US dc.subject (關鍵詞) Green bonds en_US dc.subject (關鍵詞) Green premium en_US dc.title (題名) 綠色認證對債券信用利差之評估分析 zh_TW dc.title (題名) Examining the impact of green certification on bond credit spreads en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 周冬華，周花 (2023),綠色債券獲得投資者偏好了嗎？基於信用利差的視角.外國經濟與管理陳志遠，郭凱，& 閻實 (2022) . 我國綠色債券發行利差及影響因素的實證研究. 地方財政研究.Bachelet, M. J., Becchetti, L., & Manfredonia, S. (2019). The green bonds premium puzzle: The role of issuer characteristics and third-party verification. Sustainability, 11(4), 1098.Houqe, M. N., Ahmed, K., & Richardson, G. (2020). The effect of environmental, social, and governance performance factors on firms’ cost of debt: International evidence. The International Journal of Accounting, 55(03), 2050014.Hyun, S., Park, D., & Tian, S. (2021). Pricing of green labeling: a comparison of labeled and unlabeled green bonds. Finance Research Letters, 41, 101816.Janda, K., Kortusova, A., & Zhang, B. (2022). Estimation of green bond premiums in the Chinese secondary market. Australian National University, Crawford School of Public Policy.Kapraun, J., Latino, C., Scheins, C., & Schlag, C. (2021, April). (In)-credibly green: which bonds trade at a green bond premium? In Proceedings of Paris December 2019 Finance Meeting EUROFIDAI-ESSEC.Li, H., Zhang, X., & Zhao, Y. (2022). ESG and firm`s default risk. Finance Research Letters, 47, 102713.MacAskill, S., Roca, E., Liu, B., Stewart, R. A., & Sahin, O. (2021). Is there a green premium in the green bond market? Systematic literature review revealing premium determinants. Journal of Cleaner Production, 280, 124491.Molnár, K., & Zaryab, A. (2023). The Green Premium.Polbennikov, S., Desclée, A., Dynkin, L., & Maitra, A. (2016). ESG ratings and performance of corporate bonds. The Journal of Fixed Income, 26(1), 21-41.Roch, F., Ando, S., Fu, C., & Wiriadinata, U. (2023). How Large is the Sovereign Greenium? Available at SSRN 4427184.Wang, S., & Wang, D. (2022). Exploring the relationship between ESG performance and green bond issuance. Frontiers in public health, 10, 897577.Wongaree, P., Chiyachantana, C. N., & Ding, D. K. (2023). Green Bond Premiums in the Asia-Pacific and European Markets.Xu, G., Lu, N., & Tong, Y. (2022). Greenwashing and credit spread: Evidence from the Chinese green bond market. Finance research letters, 48, 102927.Zerbib, O. D. (2019). The effect of pro-environmental preferences on bond prices: Evidence from green bonds. Journal of banking & finance, 98, 39-60. zh_TW
