The impact of liquidity risk on the yield spread of green bonds
By Wulandari Febi, Dorothea Schäfer, Andreas Stephan, Chen Sun. Finance Research Letters, 2018
243 citations recorded by the source corpus.
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.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/18de33f3dc870dcc78c8d2439a1dcef8f01828bb
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Citations in the corpus
- The pricing of green bonds: external reviews and the shades of green (2020, unknown): “Hachenberg and Schiereck (2018) and Zerbib (2019) show that basic bond features such as the credit rating and issuer type influence the green bond premium.”
- Analyzing the Characteristics of Green Bond Markets to Facilitate Green Finance in the Post-COVID-19 World (2021, background): “Generally, green bonds are strongly affected by changes in stock, changes in energy, and high-yield corporate bond markets [28], as well as the liquidity risk of the bond market [29].”
- Why do institutional investors buy green bonds: Evidence from a survey of European asset managers (2021, unknown): “For instance, both Bachelet et al. (2019) and Febi (2018) find that, contrary to initial expectations, green bonds are more liquid than their plain vanilla counterparts, while results by Febi et al. (2018) also show that liquidity risks of green bonds have diminished over time and are now regarded…”