This study offers a novel explanation for the dynamics of the ‘greenium,’ that is the negative yield differential of corporate green bonds relative to equivalent conventional bonds. Utilising a matched dataset of green and conventional corporate bonds from January 2014 to July 2022, we find that the ‘greenium’ in the secondary market responds significantly, even if briefly, to climate policy events. It reaches its peak of 16 basis points shortly after the 2015 Paris Agreement. This response is economically significant as it accounts for 20% of the average yield spread observed in all the bonds within our matched sample. In addition, we find that when natural disasters strike, certified green bonds exhibit a positive return, in stark contrast to the negative performance of conventional bonds. We also show that heightened media coverage of climate change leads to a narrowing of yield spreads for both green and conventional bonds issued by green bond issuers. The impact is even more pronounced for certified green bonds. Taken together, these insights support the view that market sentiment is a key driver of the time variation of the greenium.

中文翻译：

---

公司债券市场的绿化波动和气候意识

这项研究为“绿色”的动态提供了一种新颖的解释，即公司绿色债券相对于同等传统债券的负收益率差异。利用 2014 年 1 月至 2022 年 7 月期间绿色和传统公司债券的匹配数据集，我们发现二级市场的“绿色”对气候政策事件的反应显著，即使是短暂的。它在 2015 年《巴黎协定》后不久达到 16 个基点的峰值。这一回答具有经济意义，因为它占我们匹配样本中所有债券观察到的平均收益率利差的 20%。此外，我们发现，当自然灾害来袭时，经认证的绿色债券表现出正回报，与传统债券的负面表现形成鲜明对比。我们还表明，媒体对气候变化的报道增加导致绿色债券发行人发行的绿色债券和传统债券的收益率利差缩小。对于经认证的绿色债券，这种影响更为明显。综上所述，这些见解支持了市场情绪是 greenium 时间变化的关键驱动因素的观点。