JEL Codes: G12, Q56.
Keywords: Green bonds; BERT model; Sustainable Finance; Bond premium.
학회소식
[2022년 5차 CAFM2022]Different Shades of Green: Estimating the Green Bond Premium using Natural Language Processing
작성자 : 관리자
조회수 : 292
게시일 :
2022-12-20
We document the existence of a premium in the green bond market based on the greenness of green bonds. Using BERT, a natural language processing method for textual analysis, we develop a novel measure for bonds’ greenness and document that a 10 percent increase in the bond’s greenness corresponds to a decrease in annualized yield by between 4.86 to 8.71 basis points. In addition to greener bonds enjoying higher premiums, we find evidence that issuing a green bond has positive spillover effects on the pricing of subsequent conventional bonds’ issuance. Overall, our findings are consistent with firms relying on “green' debt instruments to lower capital costs and raise cheaper financing.
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