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.
- Sprache
-
Englisch
- Erschienen in
-
Series: DIW Discussion Papers ; No. 1728
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- Thema
-
Green Bond
Liquidity Risk
Yield Spread
Sustainable Investment
Fixed Income Security
Financial Innovation
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Wulandari, Febi
Schäfer, Dorothea
Stephan, Andreas
Sun, Chen
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsches Institut für Wirtschaftsforschung (DIW)
- (wo)
-
Berlin
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Wulandari, Febi
- Schäfer, Dorothea
- Stephan, Andreas
- Sun, Chen
- Deutsches Institut für Wirtschaftsforschung (DIW)
Entstanden
- 2018
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