Liquidity risk and yield spreads of green bonds

Febi Wulandari, Dorothea Schäfer, Andreas Stephan and Chen Sun

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.

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Year of publication:	2018
Authors:	Wulandari, Febi ; Schäfer, Dorothea ; Stephan, Andreas ; Sun, Chen
Publisher:	Berlin : DIW Berlin, German Institute for Economic Research
Subject:	Green Bond \| Liquidity Risk \| Yield Spread \| Sustainable Investment \| Fixed Income Security \| Financial Innovation \| Anleihe \| Bond \| Zinsstruktur \| Yield curve \| Nachhaltige Kapitalanlage \| Sustainable investment \| Unternehmensanleihe \| Corporate bond \| Finanzprodukt \| Financial product \| Risikoprämie \| Risk premium \| Liquidität \| Liquidity \| Kapitaleinkommen \| Capital income \| Portfolio-Management \| Portfolio selection \| Kreditrisiko \| Credit risk

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Extent:	1 Online-Ressource (circa 25 Seiten) Illustrationen
Series:	Discussion papers / Deutsches Institut für Wirtschaftsforschung. - Berlin : [Verlag nicht ermittelbar], ISSN 1619-4535, ZDB-ID 2125067-4. - Vol. 1728
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	hdl:10419/176793 [Handle]
Classification:	G12 - Asset Pricing ; G32 - Financing Policy; Capital and Ownership Structure
Source:	ECONIS - Online Catalogue of the ZBW

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