مشخصات مقاله | |
ترجمه عنوان مقاله | تأثیر ریسک نقدینگی بر اختلاف بازده اوراق قرضه سبز |
عنوان انگلیسی مقاله | The impact of liquidity risk on the yield spread of green bonds |
انتشار | مقاله سال 2018 |
تعداد صفحات مقاله انگلیسی | 7 صفحه |
هزینه | دانلود مقاله انگلیسی رایگان میباشد. |
پایگاه داده | نشریه الزویر |
نوع نگارش مقاله |
مقاله پژوهشی (Research Article) |
مقاله بیس | این مقاله بیس نمیباشد |
نمایه (index) | Scopus – Master Journals List – JCR |
نوع مقاله | ISI |
فرمت مقاله انگلیسی | |
ایمپکت فاکتور(IF) |
2.022 در سال 2018 |
شاخص H_index | 24 در سال 2019 |
شاخص SJR | 0.770 در سال 2018 |
شناسه ISSN | 1544-6123 |
شاخص Quartile (چارک) | Q2 در سال 2018 |
مدل مفهومی | ندارد |
پرسشنامه | ندارد |
متغیر | دارد |
رفرنس | دارد |
رشته های مرتبط | اقتصاد، مدیریت |
گرایش های مرتبط | اقتصاد مالی، مدیریت مالی، توسعه اقتصادی و برنامه ریزی، مهندسی مالی و ریسک، مدیریت عملکرد |
نوع ارائه مقاله |
ژورنال |
مجله | نامه های تحقیقات مالی – Finance Research Letters |
دانشگاه | Jönköping International Business School, Sweden |
کلمات کلیدی | اوراق قرضه سبز، ریسک نقدینگی، اختلاف بازده، سرمایه گذاری پایدار، امنیت درآمد ثابت، نوآوری مالی |
کلمات کلیدی انگلیسی | Green bond، Liquidity risk، Yield spread، Sustainable investment، Fixed income security، Financial innovation |
شناسه دیجیتال – doi |
https://doi.org/10.1016/j.frl.2018.02.025 |
کد محصول | E12852 |
وضعیت ترجمه مقاله | ترجمه آماده این مقاله موجود نمیباشد. میتوانید از طریق دکمه پایین سفارش دهید. |
دانلود رایگان مقاله | دانلود رایگان مقاله انگلیسی |
سفارش ترجمه این مقاله | سفارش ترجمه این مقاله |
فهرست مطالب مقاله: |
Abstract
1- Introduction 2- Data and method 3- Empirical results 4- Conclusions References |
بخشی از متن مقاله: |
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. Introduction This study investigates the effects of the liquidity premium on the green bond yield spreads. We control for credit risk, as well as bond-specific and macroeconomic factors. Liquidity concerns may be pertinent in green bonds market due to (1) its disproportional thinness, and (2) its unclear solvency profile. The demand for green bonds is likely to surpass the supply due to investors’ need to address the ESG (Environmental, Social, and Governance) and SRI (Social Responsible Investment) mandates. In addition, green bonds show low correlation with other fixed income securities and provide diversification benefits to investors (Inderst et al., 2012). Despite the rapid growth of green bonds’ demand in the market, the supply of green bonds is insufficient due to: (1) a lack of fiscal incentive for green investment (Zerbib, 2017), and (2) a lack of an official and universal classification system for green bonds that is in accordance with market based frameworks, such as, the Green Bonds Principle (Cochu et al., 2016). The latter might cause opacity on the definition of “green” investment and bonds, and issuers will be subject to additional transaction costs, e.g., contracting with external reviewers pre and post green bonds’ issuance. This leaves the issuance of green bonds less attractive than that of conventional bonds. Due to the shortage of green bonds’ supply in the market, issuers are able to offer green bonds at lower interest rates, relative to the wider bonds market (Preclaw and Bakshi, 2015; Bloomberg, 2017; Zerbib, 2017). However, the shortage of supply and the excess of demand in green bonds market imply a thin market, and, liquidity becomes relevant. Consequently, a liquidity premium may emerge. The second factor that may cause illiquidity in the green bonds market, such as, a lack of credit risk profile, is partly endogenous for the issuers. Cochu et al. (2016) put forward that the green bonds’ credit risk profile is unclear, since: (1) transparency in the reporting of green projects is lacking, and (2) the ratings of green bonds rely heavily on the balance sheets of the issuers instead of green project investment. |