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The Impact of Liquidity Risk on the Yield Spread of Green Bonds

Referierte Aufsätze Web of Science

Febi Wulandari, Dorothea Schäfer, Andreas Stephan, Chen Sun

In: Finance Research Letters 27 (2018), S. 53-59

Abstract

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.

Dorothea Schäfer

Research Director Financial Markets in the Communications Department



JEL-Classification: G12;G32
Keywords: Green Bond, Liquidity Risk, Yield Spread, Sustainable Investment, Fixed Income Security, Financial Innovation
DOI:
https://doi.org/10.1016/j.frl.2018.02.025

https://ars.els-cdn.com/content/image/1-s2.0-S1544612317307171-mmc1.zip

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