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Percorrer por autor "Ribeiro, Pedro Nuno dos Santos Costa"

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  • An updated test to the greenium in the corporate bond market
    Publication . Ribeiro, Pedro Nuno dos Santos Costa; Pinto, João Filipe Monteiro
    This thesis examines the existence of a greenium, the yield differential between green and conventional bonds, in the corporate bond primary market. As sustainable finance continues to expand, understanding whether green bonds offer issuers a pricing advantage has become a critical question for investors, firms, and regulators. The research focuses on corporate bonds issued between 2018 and 2025, aiming to determine whether green bonds are priced higher than their conventional counterparts. The analysis relies on a comprehensive dataset comprising 3,495 green bond tranches and 47,565 conventional bond tranches, with a matched sample of 1,282 bond pairs issued by the same firm. The empirical analysis is based on ordinary least squares (OLS) regressions using yield to maturity and credit spread as dependent variables. The core tests are conducted on yield to maturity, while spread regressions serve as robustness checks. Fixed effects for year, industry, and country are applied, along with controls for credit rating, macroeconomic variables, and contractual features. Additionally, a matched sample is constructed to improve identification by comparing green and non-green bonds issued by the same firm with the same rating. The results consistently indicate that green bonds do not enjoy a statistically significant pricing advantage over conventional bonds. In most model specifications, the green label has no impact on yields. In one of the robustness checks using credit spreads, green bonds are even associated with a statistically significant spread increase of 13.6 basis points, suggesting a pricing discount rather than a greenium. The findings suggest that credit quality, macroeconomic conditions, and contractual characteristics, rather than the green label, are the dominant drivers of bond pricing in the corporate market.
    2025-12-17Dissertação de mestrado Acesso aberto Ver mais