Arbeitspapier
Liquidity risk and yield spreads of green bonds
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.
- Language
-
Englisch
- Bibliographic citation
-
Series: DIW Discussion Papers ; No. 1728
- Classification
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- Subject
-
Green Bond
Liquidity Risk
Yield Spread
Sustainable Investment
Fixed Income Security
Financial Innovation
- Event
-
Geistige Schöpfung
- (who)
-
Wulandari, Febi
Schäfer, Dorothea
Stephan, Andreas
Sun, Chen
- Event
-
Veröffentlichung
- (who)
-
Deutsches Institut für Wirtschaftsforschung (DIW)
- (where)
-
Berlin
- (when)
-
2018
- Handle
- Last update
-
11.03.20252025, 8:06 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Wulandari, Febi
- Schäfer, Dorothea
- Stephan, Andreas
- Sun, Chen
- Deutsches Institut für Wirtschaftsforschung (DIW)
Time of origin
- 2018
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