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題名 綠色債券的報酬分析
The analysis of green bond return作者 絲絲
Szu, Szu貢獻者 岳夢蘭
絲絲
Szu, Szu關鍵詞 債券報酬
綠色債券
綠色溢酬
Bond return
Green bond
Green premium日期 2024 上傳時間 5-八月-2024 13:41:57 (UTC+8) 摘要 本研究欲探討綠色債券及非綠色債券之間是否存在報酬率差異，研究樣本採用於美國債券市場所發行之美國公司債，資料期間為2016年1月至2022年8月。實證結果顯示，無論在全樣本分析還是配對樣本分析下，同時控制系統性風險因子、債券特徵及發行公司特徵後，綠色債券與非綠色債券之間不存在顯著的 報酬率差異。 另外，本研究也發現在樣本期間內，綠色溢酬的大小會發生變化，甚至時而為正，時而為負，而先前有研究認為此現象與大家對氣候變遷的關注度有關，卻沒有實際證明兩者之間的關係。因此，本研究進一步分析氣候變遷消息是否會影響綠色溢酬，實證結果顯示，無論在全樣本分析還是配對樣本分析下，氣候變遷消息對綠色溢酬皆無顯著影響。
Our study aims to examine whether there is a difference between green bond return and non-green bond return. Our research sample comprises U.S. corporate bonds issued in the U.S. bond market, covering the period from January 2016 to August 2022. The empirical results indicate that there is no significant difference between green bond return and non-green bond return when controlling for systematic risks, bond characteristics, and company characteristics. In addition, our study finds that the green premium fluctuates over the sample period. Previous research suggests that this phenomenon is related to the level of public concern about climate change, but there has been no concrete evidence to substantiate the relation. Therefore, our study further analyzes whether climate change news affects the green bond premium. The empirical results show that climate change news does not have a significant impact on the green bond premium.參考文獻 Ardia, D., Bluteau, K., Boudt, K., Inghelbrecht, K. (2023). Climate Change Concerns and the Performance of Green vs. Brown Stocks. Management Science, 69(12), 7607-7632. Bai, J., Bali, T. G., & Wen, Q. (2019). Common risk factors in the cross-section of corporate bond returns. Journal of Financial Economics, 131(3), 619-642. Baker, M., Bergstresser, D., Serafeim, G., & Wurgler, J. (2022). The pricing and ownership of US green bonds. Annual Review of Financial Economics, 14, 415- 437. Bao, J., Pan, J., & Wang, J. (2011). The illiquidity of corporate bonds. The Journal of Finance, 66(3), 911-946. Billett, M.T., Flannery, M.J., Garfinkel J.A. (2011). Frequent issuers’ influence on long run post-issuance returns. Journal of Financial Economics, 99(2), 349-364. Bhojraj, S., & Sengupta, P. (2003). Effect of Corporate Governance on Bond Ratings and Yields: The Role of Institutional Investors and Outside Directors. The Journal of Business, 76(3), 455–475. Chiang, J. (2017). Growing the U.S. Green Bond Market. California State Treasurer’s Office. Dickerson, A., Mueller, P., & Robotti, C. (2023). Priced risk in corporate bonds. Journal of Political Economy, 150(2), 103707 Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56. 31 Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607-636. Flammer, C. (2021). Corporate green bonds. Journal of Financial Economics, 142(2), 499–516. Greenwood, R., & Hanson, S. G. (2013). Issuer quality and corporate bond returns. Review of Financial Studies, 26(6), 1483-1525. Karpf, A., Mandel, A. (2017). Does it pay to be green?. Unpublished working paper. Pantheon-Sorbonne University. Larcker, D.F., Watts, E.M. (2020). Where’s the greenium? Journal of Accounting and Economics, 69, 101312. Lin, H., Wang, J., & Wu, C. (2011). Liquidity risk and expected corporate bond returns. Journal of Financial Economics, 99(3), 628-650. Lins, K. V., Servaes, H., & Tamayo, A. (2017). Social capital, trust, and firm performance: The value of corporate social responsibility during the financial crisis. Journal of Finance, 72(4), 1785-1824. Newey, W. K., & West, K. D. (1986). A simple, positive semi-definite, heteroskedasticity and Econometrica, 55, 703-708. autocorrelation consistent covariance matrix. Pastor, L, Stambaugh, R. F., and Taylor, L. A. (2022). Dissecting green returns. Journal of Financial Economics, 146(2), 403-424. Zerbib, O.D. (2019). The effect of pro-environmental preferences on bond prices: evidence from green bonds. Journal of Banking & Finance, 98, 39-60. Zindler E, Locklin K. (2015). Mapping the gap: the road to Paris. Rep., Bloomberg New Energy Finance, New York. 描述 碩士
國立政治大學
財務管理學系
111357007資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111357007 資料類型 thesis dc.contributor.advisor 岳夢蘭 zh_TW dc.contributor.author (作者) 絲絲 zh_TW dc.contributor.author (作者) Szu, Szu en_US dc.creator (作者) 絲絲 zh_TW dc.creator (作者) Szu, Szu en_US dc.date (日期) 2024 en_US dc.date.accessioned 5-八月-2024 13:41:57 (UTC+8) - dc.date.available 5-八月-2024 13:41:57 (UTC+8) - dc.date.issued (上傳時間) 5-八月-2024 13:41:57 (UTC+8) - dc.identifier (其他 識別碼) G0111357007 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/152719 - 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) 111357007 zh_TW dc.description.abstract (摘要) 本研究欲探討綠色債券及非綠色債券之間是否存在報酬率差異，研究樣本採用於美國債券市場所發行之美國公司債，資料期間為2016年1月至2022年8月。實證結果顯示，無論在全樣本分析還是配對樣本分析下，同時控制系統性風險因子、債券特徵及發行公司特徵後，綠色債券與非綠色債券之間不存在顯著的 報酬率差異。 另外，本研究也發現在樣本期間內，綠色溢酬的大小會發生變化，甚至時而為正，時而為負，而先前有研究認為此現象與大家對氣候變遷的關注度有關，卻沒有實際證明兩者之間的關係。因此，本研究進一步分析氣候變遷消息是否會影響綠色溢酬，實證結果顯示，無論在全樣本分析還是配對樣本分析下，氣候變遷消息對綠色溢酬皆無顯著影響。 zh_TW dc.description.abstract (摘要) Our study aims to examine whether there is a difference between green bond return and non-green bond return. Our research sample comprises U.S. corporate bonds issued in the U.S. bond market, covering the period from January 2016 to August 2022. The empirical results indicate that there is no significant difference between green bond return and non-green bond return when controlling for systematic risks, bond characteristics, and company characteristics. In addition, our study finds that the green premium fluctuates over the sample period. Previous research suggests that this phenomenon is related to the level of public concern about climate change, but there has been no concrete evidence to substantiate the relation. Therefore, our study further analyzes whether climate change news affects the green bond premium. The empirical results show that climate change news does not have a significant impact on the green bond premium. en_US dc.description.tableofcontents 第一章 緒論 1 第一節 研究背景 1 第二節 研究動機與目的 4 第二章 文獻回顧 5 第一節 債券系統性風險因子 5 第二節 債券是否存在綠色溢酬 5 第三節 綠色溢酬是否受氣候變遷消息影響 6 第三章 研究方法 8 第一節 研究樣本說明 8 第二節 變數定義 8 第三節 研究方法 13 第四章 實證結果 16 第一節 綠色債券及非綠色債券之比較 16 第二節 敘述統計及相關性 18 第三節 全樣本分析 22 第四節 配對樣本分析 26 第五章 結論與建議 29 第一節 研究結論 29 第二節 研究限制與建議 30 參考文獻 31 zh_TW dc.format.extent 1574531 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111357007 en_US dc.subject (關鍵詞) 債券報酬 zh_TW dc.subject (關鍵詞) 綠色債券 zh_TW dc.subject (關鍵詞) 綠色溢酬 zh_TW dc.subject (關鍵詞) Bond return en_US dc.subject (關鍵詞) Green bond en_US dc.subject (關鍵詞) Green premium en_US dc.title (題名) 綠色債券的報酬分析 zh_TW dc.title (題名) The analysis of green bond return en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Ardia, D., Bluteau, K., Boudt, K., Inghelbrecht, K. (2023). Climate Change Concerns and the Performance of Green vs. Brown Stocks. Management Science, 69(12), 7607-7632. Bai, J., Bali, T. G., & Wen, Q. (2019). Common risk factors in the cross-section of corporate bond returns. Journal of Financial Economics, 131(3), 619-642. Baker, M., Bergstresser, D., Serafeim, G., & Wurgler, J. (2022). The pricing and ownership of US green bonds. Annual Review of Financial Economics, 14, 415- 437. Bao, J., Pan, J., & Wang, J. (2011). The illiquidity of corporate bonds. The Journal of Finance, 66(3), 911-946. Billett, M.T., Flannery, M.J., Garfinkel J.A. (2011). Frequent issuers’ influence on long run post-issuance returns. Journal of Financial Economics, 99(2), 349-364. Bhojraj, S., & Sengupta, P. (2003). Effect of Corporate Governance on Bond Ratings and Yields: The Role of Institutional Investors and Outside Directors. The Journal of Business, 76(3), 455–475. Chiang, J. (2017). Growing the U.S. Green Bond Market. California State Treasurer’s Office. Dickerson, A., Mueller, P., & Robotti, C. (2023). Priced risk in corporate bonds. Journal of Political Economy, 150(2), 103707 Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56. 31 Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607-636. Flammer, C. (2021). Corporate green bonds. Journal of Financial Economics, 142(2), 499–516. Greenwood, R., & Hanson, S. G. (2013). Issuer quality and corporate bond returns. Review of Financial Studies, 26(6), 1483-1525. Karpf, A., Mandel, A. (2017). Does it pay to be green?. Unpublished working paper. Pantheon-Sorbonne University. Larcker, D.F., Watts, E.M. (2020). Where’s the greenium? Journal of Accounting and Economics, 69, 101312. Lin, H., Wang, J., & Wu, C. (2011). Liquidity risk and expected corporate bond returns. Journal of Financial Economics, 99(3), 628-650. Lins, K. V., Servaes, H., & Tamayo, A. (2017). Social capital, trust, and firm performance: The value of corporate social responsibility during the financial crisis. Journal of Finance, 72(4), 1785-1824. Newey, W. K., & West, K. D. (1986). A simple, positive semi-definite, heteroskedasticity and Econometrica, 55, 703-708. autocorrelation consistent covariance matrix. Pastor, L, Stambaugh, R. F., and Taylor, L. A. (2022). Dissecting green returns. Journal of Financial Economics, 146(2), 403-424. Zerbib, O.D. (2019). The effect of pro-environmental preferences on bond prices: evidence from green bonds. Journal of Banking & Finance, 98, 39-60. Zindler E, Locklin K. (2015). Mapping the gap: the road to Paris. Rep., Bloomberg New Energy Finance, New York. zh_TW
