Liquidity Risk and Yield Spreads of Green Bonds
2018; RELX Group (Netherlands); Linguagem: Inglês
10.2139/ssrn.3161323
ISSN1556-5068
AutoresFebi Wulandari, Dorothea Schaefer, Andreas Stephan, Chen Sun,
Tópico(s)Housing Market and Economics
ResumoThis 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.
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