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Corporate green bond issuances : an international evidence
Lebelle, Martin; Lajili Jarjir, Souad; Sassi, Syrine - In: Journal of risk and financial management : JRFM 13 (2020) 2/25, pp. 1-21
Using an international sample of corporate Green bond issuances over the recent period, this paper highlights the … potential consequences of the issuance of a Green bond on the issuer's financial performance. Starting with a first sample of … 2079 Green bond issuances of 190 unique issuers from 2009 to 2018, we investigate only corporate green bond issuances. Our …
Persistent link: https://www.econbiz.de/10012173945
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What future for the green bond market? : how can policymakers, companies, and investors unlock the potential of the green bond market?
Deschryver, Pauline; Mariz, Frédéric Rozeira de - In: Journal of risk and financial management : JRFM 13 (2020) 3/61, pp. 1-26
The green bond market is attracting new issuers and a more diversified base of investors. However, the size of the … green bond market remains small compared to the challenges it is meant to address and to the overall traditional bond market … with a large spectrum of green bond market participants. We identify the current barriers explaining the lack of …
Persistent link: https://www.econbiz.de/10012302466
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The use of principal component analysis (PCA) in building yield curve scenarios and identifying relative-value trading opportunities on the Romanian government bond market
Oprea, Andreea - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-37
sovereign yield curves, in this paper, we investigate certain characteristics of the Romanian government bond market. We perform …
Persistent link: https://www.econbiz.de/10013273600
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Extreme connectedness between green bonds, government bonds, corporate bonds and other asset classes : insights for portfolio investors
Abakah, Emmanuel Joel Aikins; Tiwari, Aviral Kumar; … - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-17
economic downturn. Specifically, we examine quantile-based time-varying connectedness between the green bond market and other ….S. Treasury Bond Index, S&P US Aggregate Bond Index, S&P US Treasury Bond Current 10Y Index, S&P 500 Bond Index, S&P 500 … Financials index, S&P 500 Energy Bond Index and S&P 500, giving a total of 784 observations, and using Composite Index as a …
Persistent link: https://www.econbiz.de/10013471139
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Do REITs outperform stocks and fixed-income assets? : new evidence from mean-variance and stochastic dominance approaches
Chiang, Thomas C.; Hooi Hooi Lean; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 1 (2008) 1, pp. 1-40
This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first-order stochastic dominance and no arbitrage opportunity...
Persistent link: https://www.econbiz.de/10011556251
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Bond risk premia and restrictions on risk prices
Hevia, Constantino; Sola, Martin - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-22
Researchers who estimate affine term structure models often impose overidentifying restrictions (restrictions on parameters beyond those necessary for identification) for a variety of reasons. While some of those restrictions seem to have minor effects on the extracted factors and some measures...
Persistent link: https://www.econbiz.de/10011961381
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The determinants of green bond issuance in the European Union
Dan, Anamaria; Tiron-Tudor, Adriana - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-14
environmental, social, governance, and macroeconomic indicators on the level of green bond issues in the period 2014-2019. The … higher volume of green bond issuances. Our findings provide valuable insights into the development of the green bond market. …
Persistent link: https://www.econbiz.de/10012628555
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Does heterogeneity in COVID-19 news affect asset market? : Monte-Carlo simulation based wavelet transform
Siddique, Asima; Kayani, Ghulam Mujtaba; Ashfaq, Saira - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-16
The current study investigates the connectedness between US COVID-19 news, Dowes Jones Index (DJI), green bonds, gold, and bitcoin prices for the period 22 January 2020-3 August 2021. The study has employed wavelet coherency, the continuous wavelet transform, and the wavelet-based Granger...
Persistent link: https://www.econbiz.de/10012628812
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Green bond : a systematic literature review for future research agendas
Cortellini, Giuseppe; Panetta, Ida Claudia - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-29
Agreement of 2015, the climate bond market is expected to thrive in the near future. Green bonds are gaining increasing … literature contributions on the green bond market to indicate the way forward for future research. Herein, through a systematic … literature review on the green bond market, our ultimate goal is to provide investors, main markets actors, and policymakers with …
Persistent link: https://www.econbiz.de/10012799145
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Climate transition risk and the impact on green bonds
Antoniuk, Yevheniia; Leirvik, Thomas - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-19
The green bond market develops rapidly and aims to contribute to climate mitigation and adaptation significantly. Green …
Persistent link: https://www.econbiz.de/10012799212